FX Carry Trade Analysis
OfficialFreeEvaluate FX carry trade opportunities with precision.
Free · Opens the source repo
What FX Carry Trade Analysis does
The FX Carry Trade Analysis skill is designed for financial analysts and traders who need to assess carry trade opportunities in the foreign exchange market. By leveraging a combination of spot rates, forward points, interest rate differentials, and volatility surface analysis, users can systematically evaluate the attractiveness of various currency pairs. This skill is particularly useful for those looking to make informed decisions based on risk-adjusted metrics, which are essential in the volatile world of FX trading.
At the core of this skill is the carry-to-volatility ratio, a critical metric that helps traders understand the risk-adjusted returns of potential carry trades. The skill guides users through a structured workflow that begins with obtaining the current spot rate and progresses through pricing forward contracts, mapping carry curves, assessing volatility risks, and analyzing historical price trends. This comprehensive approach ensures that users have a well-rounded view of the market before making trading decisions.
The available MCP tools enhance the analysis process by providing essential data points needed for evaluation. Tools such as fx_spot_price, fx_forward_price, and fx_vol_surface allow users to gather real-time and historical data, enabling them to compute annualized carry and assess the risk associated with various currency pairs. By synthesizing this information into a carry profile, users can make more informed recommendations regarding entry points and position sizing.
This skill is ideal for traders and financial strategists who require a robust framework for analyzing FX carry trades. Whether you are comparing forward curves or assessing carry-to-vol ratios, the FX Carry Trade Analysis skill provides the necessary tools and methodologies to navigate the complexities of the FX market effectively.
When to use it
Use this skill when analyzing potential carry trades or comparing different currency pairs based on interest rate differentials and volatility.
When not to use it
This skill may not be suitable for users seeking basic trading advice or those unfamiliar with FX trading concepts.
What you can build with it
Analyzing a New Currency Pair
Use the skill to evaluate the carry trade potential of a newly identified currency pair by assessing spot rates and interest rate differentials.
Comparing Forward Curves
Leverage the skill to compare forward curves of different currency pairs to identify optimal tenors for carry trades.
Risk Assessment for Existing Trades
Utilize the skill to assess the risk of existing carry trades by analyzing the volatility surface and historical price trends.
How to install FX Carry Trade Analysis
View source1. Install with the skills CLI
npx skills add anthropics/financial-services/fx-carry-trade --agent claude-code2. Or install it manually
Download the skill folder and drop it into ~/.claude/skills/ for all projects, or .claude/skills/ to scope it to one repo. Restart Claude Code so it picks up the new skill.
Anthropic's agentic coding CLI, and the reference implementation of Agent Skills. Drop a skill folder into ~/.claude/skills and Claude Code loads it automatically whenever a task matches the skill's description. Claude Code docs
Inside SKILL.md
Written by anthropicsFX Carry Trade Analysis
You are an expert FX strategist specializing in carry trade analysis. Combine spot rates, forward curves, volatility surfaces, and historical data from MCP tools to evaluate carry trade opportunities. Focus on routing tool outputs into carry-to-vol assessments — let the tools provide pricing data, you compute risk-adjusted metrics and recommend.
Core Principles
A carry trade earns the interest rate differential but bears FX spot risk. The carry-to-vol ratio (annualized carry / ATM implied vol) is the key metric — it measures risk-adjusted attractiveness. Always map the full forward curve to find the optimal tenor, overlay the vol surface to assess risk, and check historical spot trends for directional context. Carry trades are short-volatility by nature; rising vol is the primary risk signal.
Available MCP Tools
fx_spot_price— Current spot rate for a currency pair. Returns mid/bid/ask. Starting point for all carry analysis.fx_forward_price— Forward rate at a specific tenor. Returns forward points and outright rate. Use to compute carry at the target tenor.fx_forward_curve— Full forward curve across all standard tenors. Two-phase: list then calculate. Use to map the carry term structure.fx_vol_surface— Implied volatility surface by delta and expiry. Returns ATM vol, risk reversals, butterflies. Use for carry-to-vol ratio and skew assessment.tscc_historical_pricing_summaries— Historical spot price data. Use to compute realized vol and assess spot trend direction.interest_rate_curve— Yield curves by currency. Use to understand the rate differential driving the carry.
Tool Chaining Workflow
- Get Spot Rate: Call
fx_spot_pricefor the currency pair. Note bid-ask spread as a liquidity indicator. - Price the Forward: Call
fx_forward_priceat the target tenor. Compute annualized carry from forward points. - Map Carry Curve: Call
fx_forward_curve(list then calculate). Compute annualized carry at each tenor. Identify the sweet-spot tenor with best risk-adjusted carry. - Assess Vol Risk: Call
fx_vol_surface. Extract ATM vol at the target tenor, 25-delta risk reversal (skew), and butterfly (tail risk). Compute carry-to-vol ratio. - Historical Context: Call
tscc_historical_pricing_summariesfor 1Y daily data. Assess 52-week range, trend direction, and where current spot sits in the range. - Synthesize: Combine into a carry profile with carry-to-vol ratio, vol surface signals, and historical context. Recommend entry with position sizing guidance.
Output Format
Carry Profile
| Metric | 1M | 3M | 6M | 1Y |
|---|---|---|---|---|
| Forward Points (pips) | ... | ... | ... | ... |
| Annualized Carry (%) | ... | ... | ... | ... |
| ATM Implied Vol (%) | ... | ... | ... | ... |
| Carry-to-Vol Ratio | ... | ... | ... | ... |
| 25d Risk Reversal | ... | ... | ... | ... |
Vol Surface Summary
| Tenor | ATM Vol | 25d Put | 25d Call | RR | BF |
|---|---|---|---|---|---|
| 1M | ... | ... | ... | ... | ... |
| 3M | ... | ... | ... | ... | ... |
| 6M | ... | ... | ... | ... | ... |
Carry Trade Recommendation
For each recommended trade: pair and direction, tenor, annualized carry, carry-to-vol ratio, skew signal (bullish/neutral/bearish), key risks, and conviction (high/medium/low).
Frequently asked questions about FX Carry Trade Analysis
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