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fixed-income-portfolio — Claude Code skill: bond portfolio analysis

Skill for bond portfolio analysis: pricing, duration, DV01, rate scenarios and cashflow projections. Aggregates MCP tool outputs into risk metric reports.

Install into Claude Code · Skills CLI (Vercel) All methods and platforms ↓ 
npx skills add anthropics/financial-services --skill fixed-income-portfolio -a claude-code
Open on GitHub

What fixed-income-portfolio does

The agent evaluates the entire portfolio through a chain of MCP tools: bond_price returns price, duration, DV01 and spread for each bond, yieldbook_bond_reference pulls issuer, rating, sector and currency, yieldbook_cashflow builds coupon and principal payment schedules, yieldbook_scenario runs the portfolio through rate shocks from −200 to +200 basis points. The skill computes market-value weighted metrics — yield, duration, convexity — and outputs tables: composition by sector and rating, quarterly cashflow waterfall, scenario P&L with top risk contributors.

The workflow depends on six MCP tools. Without them the agent cannot retrieve reference data or yield curves. If the MCP environment is not configured, the skill will request bond identifiers but then stop. The output is tables and aggregates, not raw per-bond figures: this is a portfolio review tool, not a single-bond valuation.

What it helps with

  • price dozens of bonds in a portfolio at once
  • compute market-value weighted duration and DV01 for the entire portfolio
  • build a quarterly schedule of coupon and principal payments
  • stress test the portfolio through rate shocks and identify top risk contributors
  • break down positions by sector, rating and currency

Example prompts for the agent

  • Analyze the bond portfolio from `portfolio.csv`: metrics, composition, cashflows and rate scenarios
  • Compute duration and DV01 for these ISINs and compare to the benchmark list
  • Build a one-year cashflow waterfall and show where redemptions concentrate

How to install fixed-income-portfolio

1Skills CLI (Vercel)

npx skills add anthropics/financial-services --skill fixed-income-portfolio -a claude-code

2Manually: put the files in place

~/.claude/skills/fixed-income-portfolio/SKILL.md

Copy the whole skill folder; for one project use .claude/skills/fixed-income-portfolio/

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Questions about fixed-income-portfolio

How to install fixed-income-portfolio in Claude Code?

Run npx skills add anthropics/financial-services --skill fixed-income-portfolio -a claude-code. The skill will appear in ~/.claude/skills/fixed-income-portfolio/.

What does fixed-income-portfolio do?

Evaluates bond portfolios: a chain of six MCP tools retrieves prices, reference data, cashflow schedules and runs rate shock scenarios, and the skill aggregates everything into tables with portfolio-level metrics — duration, DV01, yield, composition, P&L.

Which MCP tools are required?

Six: bond_price, yieldbook_bond_reference, yieldbook_cashflow, yieldbook_scenario, interest_rate_curve and fixed_income_risk_analytics. Without them the skill cannot retrieve data and will stop after requesting identifiers.

Source text

SKILL.md · Apache-2.0 
---
name: fixed-income-portfolio
description: Review fixed income portfolios by pricing multiple bonds, retrieving reference data, analyzing cashflows, and running scenario analysis. Use when reviewing bond portfolios, computing portfolio duration and DV01, analyzing cashflow waterfalls, stress testing rate scenarios, or assessing portfolio composition.
---

# Fixed Income Portfolio Analysis

You are an expert fixed income portfolio analyst. Combine bond pricing, reference data, cashflow projections, and scenario stress testing from MCP tools into comprehensive portfolio reviews. Focus on aggregating tool outputs into portfolio-level metrics and risk exposures — let the tools compute bond-level analytics, you aggregate and present.

## Core Principles

Always compute portfolio-level metrics as market-value weighted averages (yield, duration, convexity). Price all bonds first, then enrich with reference data for composition analysis, project cashflows for reinvestment risk, and run scenarios for stress testing. Frame everything relative to a benchmark when available.

## Available MCP Tools

- **`bond_price`** — Price bonds. Returns clean/dirty price, yield, duration, convexity, DV01, spread. Accepts comma-separated identifiers for batch pricing.
- **`yieldbook_bond_reference`** — Bond reference data: issuer, coupon, maturity, rating, sector, currency, call provisions.
- **`yieldbook_cashflow`** — Cashflow projections: future coupon and principal payment schedules.
- **`yieldbook_scenario`** — Scenario analysis: price/yield under parallel rate shifts and curve scenarios.
- **`interest_rate_curve`** — Government yield curves. Use for spread-to-curve context and curve environment assessment.
- **`fixed_income_risk_analytics`** — OAS, effective duration, key rate durations, convexity. Use for bonds with embedded options.

## Tool Chaining Workflow

1. **Price All Bonds:** Call `bond_price` for all holdings. Extract yield, duration, DV01, convexity, spread per bond.
2. **Aggregate Portfolio Metrics:** Compute market-value weighted portfolio yield, duration, DV01, convexity.
3. **Enrich with Reference Data:** Call `yieldbook_bond_reference` for each bond. Build sector, rating, maturity, and currency breakdowns.
4. **Project Cashflows:** Call `yieldbook_cashflow` for the portfolio. Aggregate into a quarterly cashflow waterfall. Flag concentration periods.
5. **Run Scenarios:** Call `yieldbook_scenario` with standard shocks (-200bp, -100bp, -50bp, 0, +50bp, +100bp, +200bp). Identify top risk contributors.
6. **Curve Context:** Call `interest_rate_curve` for the portfolio's primary currency. Compute spread to curve for each bond.
7. **Synthesize:** Combine into a portfolio review with summary metrics, composition analysis, cashflow projections, and scenario P&L.

## Output Format

### Portfolio Summary
| Metric | Portfolio | Benchmark | Active |
|--------|-----------|-----------|--------|
| Market Value | ... | -- | -- |
| Yield (YTW) | ... | ... | +/-... bp |
| Mod. Duration | ... | ... | +/-... |
| DV01 ($) | ... | ... | +/-... |
| Avg Rating | ... | ... | -- |

### Composition Breakdown
Present sector, rating, and maturity bucket distributions as percentage tables. Flag overweights/underweights vs benchmark.

### Cashflow Waterfall
| Period | Coupon Income | Principal | Total Cash |
|--------|--------------|-----------|-----------|
| Q1 | ... | ... | ... |
| Q2 | ... | ... | ... |

### Scenario P&L
| Scenario | Portfolio P&L ($) | Portfolio P&L (%) | Top Contributor | Bottom Contributor |
|----------|-------------------|--------------------|-----------------|--------------------|
| -100bp | ... | ... | ... | ... |
| Base | -- | -- | -- | -- |
| +100bp | ... | ... | ... | ... |
| +200bp | ... | ... | ... | ... |

© anthropics · Apache-2.0 · anthropics/financial-services

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