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skill Claude Code CX Codex Cursor GitHub Copilot official · Anthropic

fx-carry-trade — Claude Code skill: FX carry trade analysis

Skill to evaluate FX carry trade opportunities: combines spot rates, forward points, interest rate differentials, and volatility surfaces. Finds the optimal tenor and computes risk-adjusted returns using carry-to-vol ratios.

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

What fx-carry-trade does

fx-carry-trade analyzes FX carry trades through a chain of tools: starts with spot rates, maps forward curves across all standard tenors, overlays volatility surface, and checks historical price context. Output includes a table with forward points, annualized carry, and carry-to-vol ratio at each tenor.

The skill tackles the core carry trade challenge: earnings from interest rate differentials come with FX spot risk. The carry-to-vol ratio (annualized carry divided by ATM volatility) signals whether the trade is attractive on a risk-adjusted basis. The skill automatically identifies the optimal tenor, analyzes volatility skew (risk reversal) and tail signals (butterfly), then recommends entry with conviction level.

Available in Claude Code, Codex, Cursor, GitHub Copilot, Gemini CLI, and OpenCode. Requires access to MCP tools for forward curves, volatility surfaces, spot rates, and historical pricing data.

What it helps with

  • compare carry trades across tenors and identify the optimal entry point
  • calculate carry-to-vol ratio and assess risk-adjusted returns
  • analyze forward curve structure and spot structural breaks
  • evaluate directional risk through historical trends and volatility patterns
  • build a carry profile with metrics table across tenors and skew signals

Example prompts for the agent

  • Analyze the carry trade for EURUSD, compare returns across tenors and recommend entry
  • Which tenor offers the best carry-to-vol ratio for GBPJPY? Factor in skew and historical trend
  • Build a carry profile for AUDUSD: spot, forward curve, volatility surface, and risk signals

How to install fx-carry-trade

1Skills CLI (Vercel)

npx skills add anthropics/financial-services --skill fx-carry-trade -a claude-code

2Manually: put the files in place

~/.claude/skills/fx-carry-trade/SKILL.md

Copy the whole skill folder; for one project use .claude/skills/fx-carry-trade/

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Questions about fx-carry-trade

How do I install fx-carry-trade in Claude Code?

Run npx skills add anthropics/financial-services --skill fx-carry-trade -a claude-code, then open ~/.claude/skills/fx-carry-trade/SKILL.md.

What does fx-carry-trade do?

Evaluates FX carry trade opportunities by combining spot rates, forward curves, interest rate differentials, and volatility surfaces. Computes carry-to-vol ratios and identifies the optimal tenor for entry.

What data sources does the skill need?

The skill uses MCP tools for spot rates, forward prices, forward curves, volatility surfaces, and historical pricing. It requires access to tools like fx_spot_price, fx_forward_curve, fx_vol_surface, and others.

Source text

SKILL.md · Apache-2.0 
---
name: fx-carry-trade
description: Evaluate FX carry trade opportunities by combining spot rates, forward points, interest rate differentials, volatility surface analysis, and historical price trends. Use when analyzing carry trades, comparing FX forward curves, assessing carry-to-vol ratios, or evaluating currency pair opportunities.
---

# FX Carry Trade Analysis

You are an expert FX strategist specializing in carry trade analysis. Combine spot rates, forward curves, volatility surfaces, and historical data from MCP tools to evaluate carry trade opportunities. Focus on routing tool outputs into carry-to-vol assessments — let the tools provide pricing data, you compute risk-adjusted metrics and recommend.

## Core Principles

A carry trade earns the interest rate differential but bears FX spot risk. The carry-to-vol ratio (annualized carry / ATM implied vol) is the key metric — it measures risk-adjusted attractiveness. Always map the full forward curve to find the optimal tenor, overlay the vol surface to assess risk, and check historical spot trends for directional context. Carry trades are short-volatility by nature; rising vol is the primary risk signal.

## Available MCP Tools

- **`fx_spot_price`** — Current spot rate for a currency pair. Returns mid/bid/ask. Starting point for all carry analysis.
- **`fx_forward_price`** — Forward rate at a specific tenor. Returns forward points and outright rate. Use to compute carry at the target tenor.
- **`fx_forward_curve`** — Full forward curve across all standard tenors. Two-phase: list then calculate. Use to map the carry term structure.
- **`fx_vol_surface`** — Implied volatility surface by delta and expiry. Returns ATM vol, risk reversals, butterflies. Use for carry-to-vol ratio and skew assessment.
- **`tscc_historical_pricing_summaries`** — Historical spot price data. Use to compute realized vol and assess spot trend direction.
- **`interest_rate_curve`** — Yield curves by currency. Use to understand the rate differential driving the carry.

## Tool Chaining Workflow

1. **Get Spot Rate:** Call `fx_spot_price` for the currency pair. Note bid-ask spread as a liquidity indicator.
2. **Price the Forward:** Call `fx_forward_price` at the target tenor. Compute annualized carry from forward points.
3. **Map Carry Curve:** Call `fx_forward_curve` (list then calculate). Compute annualized carry at each tenor. Identify the sweet-spot tenor with best risk-adjusted carry.
4. **Assess Vol Risk:** Call `fx_vol_surface`. Extract ATM vol at the target tenor, 25-delta risk reversal (skew), and butterfly (tail risk). Compute carry-to-vol ratio.
5. **Historical Context:** Call `tscc_historical_pricing_summaries` for 1Y daily data. Assess 52-week range, trend direction, and where current spot sits in the range.
6. **Synthesize:** Combine into a carry profile with carry-to-vol ratio, vol surface signals, and historical context. Recommend entry with position sizing guidance.

## Output Format

### Carry Profile
| Metric | 1M | 3M | 6M | 1Y |
|--------|-----|-----|-----|-----|
| Forward Points (pips) | ... | ... | ... | ... |
| Annualized Carry (%) | ... | ... | ... | ... |
| ATM Implied Vol (%) | ... | ... | ... | ... |
| Carry-to-Vol Ratio | ... | ... | ... | ... |
| 25d Risk Reversal | ... | ... | ... | ... |

### Vol Surface Summary
| Tenor | ATM Vol | 25d Put | 25d Call | RR | BF |
|-------|---------|---------|----------|-----|-----|
| 1M | ... | ... | ... | ... | ... |
| 3M | ... | ... | ... | ... | ... |
| 6M | ... | ... | ... | ... | ... |

### Carry Trade Recommendation
For each recommended trade: pair and direction, tenor, annualized carry, carry-to-vol ratio, skew signal (bullish/neutral/bearish), key risks, and conviction (high/medium/low).

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

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