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.
Best for Basis tradersWorks with GitHubLow risk
⌘source
- author
@anthropics- language
- Python
★11kstars
1.5kforks
May 6, 2026
✦overview.md
Key Features
- ·CTD identification
- ·Basis metrics computation
- ·Implied repo rate comparison
- ·Delivery option value analysis
- ·Historical basis tracking
Use Cases
- →Evaluating basis trade opportunities
- →Computing bond futures basis
- →Identifying CTD bonds
Best for
- ✓Basis traders
- ✓Futures analysts
Not ideal for
- !Novice traders
FAQs
name
bond-futures-basis
description
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.
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
bond_future_price— Price bond futures. Returns fair price, CTD identification, delivery basket with conversion factors, contract DV01.bond_price— Price individual cash bonds. Returns clean/dirty price, yield, duration, DV01, convexity.interest_rate_curve— Government yield curves. Two-phase: list available curves, then calculate. Use short end as repo rate proxy.
$install
1-click copynpx skills add anthropics/financial-services --skill bond-futures-basisSafety assessment
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Clarity score
How clear and easy to understand the SKILL.md instructions are, rated from 1 to 5.
3/ 5
goodMostly clear, but there are still a few confusing or poorly structured parts.
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Actionability score
How directly an agent can act on the SKILL.md instructions, rated from 1 to 5.
4/ 5
highMostly actionable with clear steps; only a few small gaps remain.