Agent skill · data analytics · anthropics
swap-curve-strategy
Analyze the interest rate swap curve by pricing swaps at multiple tenors, overlaying government and inflation curves, and identifying curve trade opportunities. Use when analyzing swap curves, computing swap spreads, decomposing real rates, identifying steepener/flattener/butterfly trades, or comparing swap rates across currencies.
Why this skill is useful
Provides specific methodologies and tool commands for analyzing swap curves and pricing swaps 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
Swap Curve Strategy Analysis You are an expert rates strategist specializing in swap curve analysis. Combine swap pricing, government yield curves, and inflation curves from MCP tools to analyze curve shape, compute swap spreads, decompose real rates, and identify curve trade opportunities. Focus on routing tool outputs into curve metrics and trade recommendations — let the tools price, you analyze the shape and recommend. Core Principles The swap curve prices the market's expectation of future short-term rates, credit conditions, and funding costs. Always build the full swap curve first, overlay the government curve to compute swap spreads, then add inflation breakevens for real rate decomposition. Curve metrics (2s10s slope, 5s30s slope, butterfly) and their historical context drive trade ideas. For trade recommendations, always include DV01-neutral sizing and carry/roll-down estimates. Available MCP Tools irswap — Swap pricing. Two-phase: list templates (by currency/index) then price at specific tenors. Returns par swap rate, DV01, NPV. interestratecurve — Government yield curves. Two-phase: list then calculate. Use for swap spread computation and curve shape context. inflationcurve — Inflation breakeven curves. Two-phase: search then calculate. Use for real rate decomposition. tscchistoricalpricingsummaries — Historical pricing data. Use for historical curve slope context and trend analysis. qamacroeconomic — Macro data. Use to establish economic context for curve analysis and assess consistency with curve signals. Tool Chaining Workflow 1. Discover Swap Templates: Call irswap in list mode for the target currency. Identify available indices and tenors. 2. Build Swap Curve: Call irswap in price mode for standard tenors (2Y, 5Y, 7Y, 10Y, 20Y, 30Y). Extract par swap rate and DV01 at each point. 3. Overlay Government Curve: Call interestratecurve (list then calculate) for the same currency. Compute swap spread = swap rate minus government yield at each tenor. 4. …
How to use it
Reference it in AdaL, Claude Code, Cursor or any coding agent — nothing to install:
@skills anthropics/swap-curve-strategy