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.
Best for Rates strategistsWorks with GitHub
⌘source
- author
@anthropics- language
- Python
★11kstars
1.5kforks
May 6, 2026
✦overview.md
Key Features
- ·Swap curve construction from multiple tenors
- ·Swap spread calculation vs government curve
- ·Real rate decomposition via inflation breakevens
- ·Curve trade identification: steepener/flattener/butterfly
- ·DV01-neutral sizing with carry/roll-down estimates
Use Cases
- →Analyze swap curve shape for investment strategy
- →Compute swap spreads for relative value trades
- →Decompose real rates using inflation breakevens
- →Identify and size curve trade opportunities
Best for
- ✓Rates strategists
- ✓Fixed income traders
- ✓Curve relative value analysis
Not ideal for
- !Simple rate forecasts
- !Non-derivative bond analysis
FAQs
name
swap-curve-strategy
description
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.
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.
$install
1-click copynpx skills add anthropics/financial-services --skill swap-curve-strategySafety assessment
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3/ 5
goodMostly clear, but there are still a few confusing or poorly structured parts.
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3/ 5
mediumPartially actionable with several concrete steps, but still missing important details.