Swap Curve Strategy

作者 anthropics574ed3624aeb无许可证39K 个星标收录于 2026年10月8日更新于 2026年10月8日仓库2周前更新

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.

AI 生成的概览

利用 MCP 定价工具分析利率互换曲线、互换利差、实际利率与曲线交易机会。

功能
指导智能体在标准期限上为互换定价以构建完整互换曲线,叠加政府收益率曲线计算互换利差,并加入通胀盈亏平衡率以分解实际利率。随后推导 2s10s、5s30s 斜率与 2s5s10s 蝶式等曲线指标,判断曲线形态,并输出包含表格与曲线交易建议的结构化结果,建议含 DV01 中性规模和持有/下滑收益估算。该技能仅提供指令,不含脚本。
适用场景
适用于分析互换曲线、计算互换利差、分解实际利率、识别陡峭化、平坦化或蝶式交易,或比较不同币种的互换利率。
运行要求
需要访问 MCP 工具 ir_swap、interest_rate_curve、inflation_curve、tscc_historical_pricing_summaries 和 qa_macroeconomic。不附带脚本,仅为指令。

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).

来源与署名

来源:anthropics/financial-services位于plugins/partner-built/lseg/skills/swap-curve-strategy提交574ed36

许可证: 无许可证

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