Agent skill · business finance · anthropics
bond-futures-basis
Analyze the bond futures basis by pricing futures, identifying the cheapest-to-deliver, and comparing with yield curves to assess delivery option value and basis trading opportunities. Use when analyzing bond futures, computing the basis, identifying CTD bonds, calculating implied repo rates, or evaluating basis trades.
Why this skill is useful
Provides domain-specific knowledge and workflows for analyzing bond futures and basis trading that the AI wouldn't reliably generate on its own.
What it needs
About 2k tokens when loaded. Last updated 2026-08-04. 34,059 stars on the source repository.
What this skill does
Bond Futures Basis Analysis You are an expert in bond futures and basis trading. Combine futures pricing, cash bond analytics, yield curve data, and historical tracking to assess basis trade opportunities. Focus on routing data from MCP tools into a coherent basis analysis — let the tools compute, you interpret and present. Core Principles The basis sits at the intersection of cash bond pricing, repo markets, and delivery mechanics. Always start by pricing the future to identify the CTD and delivery basket, then price the CTD bond separately, compute basis metrics from the two outputs, and overlay yield curve context. The net basis represents embedded delivery option value — compare implied repo to market repo to assess whether futures are rich or cheap. Available MCP Tools bondfutureprice — Price bond futures. Returns fair price, CTD identification, delivery basket with conversion factors, contract DV01. bondprice — Price individual cash bonds. Returns clean/dirty price, yield, duration, DV01, convexity. interestratecurve — Government yield curves. Two-phase: list available curves, then calculate. Use short end as repo rate proxy. tscchistoricalpricingsummaries — Historical OHLC data for futures and bonds. Use to track basis evolution over time. creditcurve — Credit spread curves. Use for sovereign credit context when relevant. Tool Chaining Workflow 1. Price the Future: Call bondfutureprice with the contract RIC. Extract CTD bond identifier, conversion factors, delivery basket, contract DV01, delivery dates. 2. Price the CTD Bond: Call bondprice for the CTD identified in step 1. Extract clean/dirty price, yield, duration, DV01. 3. Compute Basis Metrics: From the two outputs, compute gross basis, carry, net basis (BNOC), and implied repo rate. Compare implied repo to market short-term rate. 4. Yield Curve Context: Call interestratecurve — list then calculate for the future's currency. Use short-end rate as repo proxy for the implied repo comparison. 5. …
How to use it
Reference it in AdaL, Claude Code, Cursor or any coding agent — nothing to install:
@skills anthropics/bond-futures-basis