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Swap Curve Strategy

AnthropicOfficialCreated by LSEGDistributed by Anthropic

  • Skill
  • Research and analysis
  • Business and productivity
  • Apache-2.0
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From the author

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.
— the description by LSEG

AutoGineer summary

Written by AutoGineer from the skill’s own files, not by the author

This skill provides an expert persona for interest rate swap curve analysis. It guides the user through a structured workflow to build swap curves, integrate government and inflation data, and derive key metrics like swap spreads and real rates. The skill focuses on synthesizing complex market data into actionable trade recommendations, including DV01-neutral sizing and carry/roll-down estimates.

What it does

  • Builds comprehensive swap curves across multiple tenors.
  • Computes swap spreads by overlaying government yield curves.
  • Decomposes nominal rates into real rates using inflation breakeven data.
  • Calculates curve metrics such as 2s10s slope, 5s30s slope, and butterfly spreads.
  • Generates structured trade recommendations with risk-neutral sizing.
  • Provides historical context and macroeconomic alignment for curve signals.

When to use it

  • When analyzing the shape and direction of interest rate swap curves.
  • When computing swap spreads to assess credit and funding conditions.
  • When decomposing real rates to evaluate monetary policy stance.
  • When identifying and structuring steepener, flattener, or butterfly trades.
  • When comparing swap rates across different currencies.

Advantages

  • Standardizes the analysis of complex interest rate derivatives.
  • Ensures consistent, data-driven trade recommendations.
  • Integrates multiple data sources for a holistic view of the rates market.
  • Includes essential risk management metrics like DV01-neutral sizing.

Usage examples

“Analyze the current USD swap curve and identify a potential 2s10s steepener trade.”
The agent will price the USD swap curve, compute the 2s10s slope, compare it against historical trends, and provide a trade recommendation with DV01-neutral sizing and a thesis.
“Decompose the 10-year real rate for the EUR swap curve.”
The agent will retrieve the 10Y nominal swap rate and inflation breakeven data to calculate the real rate and provide an assessment of the current monetary policy environment.

Install

  1. Download the skill as a ZIP:

    https://mp-staging.autogineer.com/agent-skills/anthropics/swap-curve-strategy/download
  2. Unzip it into the cross-client skills folder of your project:

    mkdir -p .agents/skills && unzip swap-curve-strategy.zip -d .agents/skills

Documentation by LSEG

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
TenorSwap Rate (%)Govt Yield (%)Swap Spread (bp)DV01Inflation BE (%)Real Rate (%)
2Y..................
5Y..................
10Y..................
30Y..................
Curve Metrics
MetricCurrent
2s10s slope (bp)...
5s30s slope (bp)...
2s5s10s butterfly (bp)...
Curve shapeNormal / Flat / Inverted / Humped
Real Rate Decomposition
TenorNominal SwapInflation BEReal RateSignal
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 carry, estimated 3M roll-down, breakeven curve move, target, stop-loss, and thesis (1-2 sentences).

Files

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Requirements and compatibility

Written for: Claude Code, Claude apps

Works with: Claude Code, Claude apps, OpenAI Codex, GitHub Copilot, Cursor, Gemini CLI, Kiro, OpenCode, Goose, Amp, Roo Code, JetBrains Junie, Factory Droid, Devin (ex-Windsurf), Mistral Vibe, OpenHands, Letta

“Works with” means the tool reads the open Agent Skills format; a skill written for one tool may use features others lack.

Security

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Attribution and licence

Created by
LSEG
Publisher
Anthropic (Official)
Distributed by
Anthropic
Source
anthropics/financial-services · plugins/partner-built/lseg/skills/swap-curve-strategy · commit 6056506
Licence
Apache License 2.0 (redistribution allowed)
  • LICENSE (added by AutoGineer from LICENSE)
  • ATTRIBUTION.md (written by AutoGineer)
Synced

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