/analyze-swap-curve

Analyze Swap Curve

This command uses LSEG swap pricing, interest rate curves, and inflation curve tools. See 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 interest_rate_curve (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.