Swap Curve Strategy
OfficialFreeAnalyze interest rate swaps for trading opportunities.
Free · Opens the source repo
What Swap Curve Strategy does
The Swap Curve Strategy skill provides a comprehensive framework for analyzing interest rate swap curves. It allows users to price swaps at various tenors, overlay government yield curves, and incorporate inflation data to identify potential trade opportunities. This skill is particularly useful for rates strategists and financial analysts who need to understand the dynamics of swap spreads, real rates, and curve shapes in order to make informed trading decisions.
By utilizing the built-in MCP tools, users can seamlessly build a complete swap curve, compute swap spreads, and decompose real rates. The workflow begins with discovering swap templates for the desired currency, followed by pricing swaps at standard tenors such as 2Y, 5Y, and 10Y. The skill then overlays the government yield curve to compute swap spreads, and incorporates inflation breakeven data to analyze real rates. The resulting analysis includes detailed tables and metrics that summarize the curve's characteristics and provide actionable trade recommendations.
This skill is designed for professionals in finance who specialize in fixed income and derivatives trading. It is particularly beneficial for those who require a systematic approach to analyze swap curves and derive insights that can drive trading strategies. By focusing on key metrics such as DV01 and historical context, users can enhance their decision-making process and identify whether to steepen, flatten, or engage in butterfly trades based on current market conditions.
Overall, the Swap Curve Strategy skill empowers users to leverage sophisticated analytical techniques to navigate the complexities of interest rate swaps, making it an essential tool for anyone involved in rates strategy or fixed income trading.
When to use it
Use this skill when you need to analyze swap curves, compute swap spreads, and identify curve trade opportunities in fixed income markets.
When not to use it
This skill may not be suitable for users focused on equity markets or those requiring analysis outside the scope of interest rate swaps and fixed income instruments.
What you can build with it
Pricing Swaps for Analysis
Use the skill to price swaps at various tenors, establishing a foundation for further analysis.
Identifying Trade Opportunities
Leverage the skill to analyze curve metrics and identify potential steepener, flattener, or butterfly trades.
Decomposing Real Rates
Utilize the inflation curve data to decompose nominal rates into real rates, enhancing your trading insights.
How to install Swap Curve Strategy
View source1. Install with the skills CLI
npx skills add anthropics/financial-services/swap-curve-strategy --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 anthropicsSwap 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
- Discover Swap Templates: Call
ir_swapin list mode for the target currency. Identify available indices and tenors. - Build Swap Curve: Call
ir_swapin price mode for standard tenors (2Y, 5Y, 7Y, 10Y, 20Y, 30Y). Extract par swap rate and DV01 at each point. - 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. - Inflation Decomposition: Call
inflation_curve(search then calculate). Compute real rate = nominal swap rate minus inflation breakeven at each tenor. - Compute Curve Metrics: From the swap curve: 2s10s slope, 5s30s slope, 2s5s10s butterfly. Note curve shape classification.
- 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 carry, estimated 3M roll-down, breakeven curve move, target, stop-loss, and thesis (1-2 sentences).
Frequently asked questions about Swap Curve Strategy
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