SKILL.md
Analyze Swap Curve
This command uses LSEG swap pricing, interest rate curves, and inflation curve tools. See [CONNECTORS.md](../CONNECTORS.md) for available tools.
Build and analyze the interest rate swap curve, overlay government yields and inflation breakevens, and identify curve trade opportunities.
See the swap-curve-strategy skill for domain knowledge on curve analysis and trade construction.
Workflow
1. Gather Input
Ask the user for:
- Currency (required) — e.g., EUR, USD, GBP, CHF, JPY
- Reference rate index (optional) — e.g., ESTR, SOFR, SONIA, TONA
- Valuation date (optional, defaults to today)
2. Discover Swap Templates
Call ir_swap in list mode with the currency and optional index.
Extract: available template references, index details, conventions.
3. Build the 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 tenor.
4. Overlay the Government Curve
Call interestratecurve (list then calculate) for the same currency.
Compute swap spread = swap rate minus government yield at each tenor.
5. Decompose Real Rates
Call inflation_curve (search then calculate) for the currency.
Compute real swap rate = nominal swap rate minus inflation breakeven at each tenor.
6. Synthesize Curve Strategy Views
Compute curve metrics: 2s10s slope, 5s30s slope, 2s5s10s butterfly.
Identify opportunities: steepener, flattener, butterfly, or swap spread trades based on current levels vs historical norms.
Present: swap curve table with government overlay, curve metrics, real rate decomposition, and trade recommendations with DV01-neutral ratios.
Output Format
Lead with curve shape summary and key metrics (2s10s, butterfly). Follow with detailed tables and trade idea section.