Swap Curve Strategy
Analyze interest-rate swap curves, swap spreads, real-rate decomposition, and DV01-neutral steepener/flattener/butterfly ideas via MCP pricing tools.
Overview
Swap Curve Strategy is an agent skill for the Validate phase that analyzes interest-rate swap curves, spreads, and curve trades using MCP swap and yield-curve tools.
Install
npx skills add https://github.com/anthropics/financial-services-plugins --skill swap-curve-strategyWhat is this skill?
- Build full swap curve first, then overlay government yields for swap spreads
- Decompose real rates using inflation breakevens after curve construction
- Curve metrics: 2s10s slope, 5s30s slope, and butterfly context for trade ideas
- MCP routing: ir_swap for par rate/DV01/NPV; interest_rate_curve for government overlays
- Trade recommendations require DV01-neutral sizing plus carry and roll-down estimates
- Core curve metrics called out: 2s10s slope, 5s30s slope, and butterfly context
- Two-phase ir_swap flow: list templates by currency/index then price tenors
Adoption & trust: 654 installs on skills.sh; 30.5k GitHub stars; 3/3 security scanners passed (skills.sh audits).
What problem does it solve?
You have MCP swap pricers but no disciplined process to build the curve, overlay governments and inflation, and turn shape metrics into sized trade ideas.
Who is it for?
Builders prototyping rates research agents or internal tools where swap curve shape and relative-value trades are the core user question.
Skip if: General indie SaaS founders without fixed-income data feeds, MCP tooling, or mandate to discuss DV01-neutral derivatives structures.
When should I use this skill?
Analyzing swap curves, computing swap spreads, decomposing real rates, identifying steepener/flattener/butterfly trades, or comparing swap rates across currencies.
What do I get? / Deliverables
You get curve-level metrics, spread and real-rate decomposition, and trade recommendations with DV01-neutral sizing and carry/roll-down context.
- Swap curve construction notes across tenors
- Swap spread and real-rate decomposition summary
- Curve trade ideas with DV01-neutral sizing and carry/roll-down estimates
Recommended Skills
Journey fit
Rates strategy sits where you validate economic assumptions and price structures before committing capital or product logic—Validate/pricing is the canonical shelf. Pricing subphase covers par rates, spreads, carry/roll, and relative-value—not generic market research alone.
How it compares
Use instead of generic LLM bond math when you need tool-grounded par swap rates, DV01, and explicit curve-trade framing.
Common Questions / FAQ
Who is swap-curve-strategy for?
Developers and quants building agentic fixed-income workflows who already expose ir_swap and yield-curve MCP tools and need strategist-grade analysis prompts.
When should I use swap-curve-strategy?
During Validate when pricing macro assumptions or demoing a rates copilot; when users ask for swap curve analysis, swap spreads, real-rate decomposition, or steepener/flattener/butterfly trades.
Is swap-curve-strategy safe to install?
The skill orchestrates financial MCP calls and market interpretations—not live execution—but you should review the Security Audits panel on this Prism page and lock down API keys and data licenses in your environment.
SKILL.md
READMESKILL.md - Swap Curve Strategy
# 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 - **`ir_swap`** — Swap pricing. Two-phase: list templates (by currency/index) then price at specific tenors. Returns par swap rate, DV01, NPV. - **`interest_rate_curve`** — Government yield curves. Two-phase: list then calculate. Use for swap spread computation and curve shape context. - **`inflation_curve`** — Inflation breakeven curves. Two-phase: search then calculate. Use for real rate decomposition. - **`tscc_historical_pricing_summaries`** — Historical pricing data. Use for historical curve slope context and trend analysis. - **`qa_macroeconomic`** — Macro data. Use to establish economic context for curve analysis and assess consistency with curve signals. ## Tool Chaining Workflow 1. **Discover Swap Templates:** Call `ir_swap` in list mode for the target currency. Identify available indices and tenors. 2. **Build Swap Curve:** Call `ir_swap` 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 `interest_rate_curve` (list then calculate) for the same currency. Compute swap spread = swap rate minus government yield at each tenor. 4. **Inflation Decomposition:** Call `inflation_curve` (search then calculate). Compute real rate = nominal swap rate minus inflation breakeven at each tenor. 5. **Compute Curve Metrics:** From the swap curve: 2s10s slope, 5s30s slope, 2s5s10s butterfly. Note curve shape classification. 6. **Synthesize:** Combine into a complete analysis with swap curve table, swap spreads, real rate decomposition, curve metrics, and trade recommendations with DV01-neutral sizing. ## Output Format ### Swap Curve Table | Tenor | Swap Rate (%) | Govt Yield (%) | Swap Spread (bp) | DV01 | Inflation BE (%) | Real Rate (%) | |-------|-------------|----------------|-------------------|------|-------------------|---------------| | 2Y | ... | ... | ... | ... | ... | ... | | 5Y | ... | ... | ... | ... | ... | ... | | 10Y | ... | ... | ... | ... | ... | ... | | 30Y | ... | ... | ... | ... | ... | ... | ### Curve Metrics | Metric | Current | |--------|---------| | 2s10s slope (bp) | ... | | 5s30s slope (bp) | ... | | 2s5s10s butterfly (bp) | ... | | Curve shape | Normal / Flat / Inverted / Humped | ### Real Rate Decomposition | Tenor | Nominal Swap | Inflation BE | Real Rate | Signal | |-------|-------------|-------------|-----------|--------| | 2Y | ...% | ...% | ...% | Accommodative/Restrictive | | 5Y | ...% | ...% | ...% | Accommodative/Restrictive | | 10Y | ...% | ...% | ...% | Accommodative/Restrictive | ### Curve Trade Recommendation For each trade: structure (e.g., 2s10s steepener), legs, DV01-neutral notionals, estimated 3M c