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skill Claude Code CX Codex Cursor GitHub Copilot official · Anthropic

swap-curve-strategy — Claude Code skill: what it does, how to install

Analyzes interest rate swap curves, overlays sovereign and inflation data, and recommends DV01-neutral curve trades like steepeners or butterflies.

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

What swap-curve-strategy does

This skill orchestrates five MCP financial tools to break down interest rate swap curves. It queries ir_swap to discover available currency templates, then prices standard maturities from 2Y to 30Y. The agent collects par swap rates and DV01 metrics at each tenor. Next, it calls interest_rate_curve for sovereign yields and subtracts government rates from swap quotes, producing the swap spread profile.

The workflow continues into inflation decomposition. By calling inflation_curve, the model isolates inflation breakevens and extracts the real interest rate for each tenor. It calculates curve metrics including the 2s10s slope, 5s30s slope, and 2s5s10s butterfly. From these numbers, it labels curve regimes: normal, flat, inverted, or humped. Macro checks via qa_macroeconomic and historical trends via tscc_historical_pricing_summaries confirm whether signals align with the economic backdrop.

Without configured MCP servers for these financial endpoints, the skill has no curve data to work with. When connected, it delivers complete trade setups. Recommendations specify trade legs, DV01-neutral notionals, three-month carry, roll-down estimates, and stop-loss targets.

What it helps with

  • price multi-tenor interest rate swaps and compute par rates
  • calculate swap spreads against government bond yield curves
  • decompose nominal swap rates into real yields and inflation breakevens
  • evaluate curve slopes and butterflies to classify curve regimes
  • structure DV01-neutral curve trades with carry and roll-down estimates

Example prompts for the agent

  • Build the USD swap curve across 2Y, 5Y, 10Y, and 30Y tenors and show swap spreads to Treasuries.
  • Decompose the 10Y swap rate into inflation breakeven and real yield.
  • Identify swap curve trade opportunities and recommend a DV01-neutral 2s10s steepener.

How to install swap-curve-strategy

1Skills CLI (Vercel)

npx skills add anthropics/financial-services --skill swap-curve-strategy -a claude-code

2Manually: put the files in place

~/.claude/skills/swap-curve-strategy/SKILL.md

Copy the whole skill folder; for one project use .claude/skills/swap-curve-strategy/

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Questions about swap-curve-strategy

How to install swap-curve-strategy in Claude Code?

Run npx skills add anthropics/financial-services --skill swap-curve-strategy -a claude-code in your terminal. This adds the skill directly to your Claude Code environment.

What does swap-curve-strategy do?

It prices interest rate swaps across standard maturities, overlays government curves, and computes swap spreads. The agent also decomposes real rates and suggests DV01-neutral curve trades like steepeners or butterflies.

Which MCP tools are needed for swap-curve-strategy?

The skill requires ir_swap for swap pricing, interest_rate_curve for sovereign yields, and inflation_curve for breakevens. It also integrates with tscc_historical_pricing_summaries and qa_macroeconomic for historical context and macro data.

Source text

SKILL.md · Apache-2.0 
---
name: swap-curve-strategy
description: 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.
---

# 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
| Tenor | Swap Rate (%) | Govt Yield (%) | Swap Spread (bp) | DV01 | Inflation BE (%) | Real Rate (%) |
|-------|-------------|----------------|-------------------|------|-------------------|---------------|
| 2Y | ... | ... | ... | ... | ... | ... |
| 5Y | ... | ... | ... | ... | ... | ... |
| 10Y | ... | ... | ... | ... | ... | ... |
| 30Y | ... | ... | ... | ... | ... | ... |

### Curve Metrics
| Metric | Current |
|--------|---------|
| 2s10s slope (bp) | ... |
| 5s30s slope (bp) | ... |
| 2s5s10s butterfly (bp) | ... |
| Curve shape | Normal / Flat / Inverted / Humped |

### Real Rate Decomposition
| Tenor | Nominal Swap | Inflation BE | Real Rate | Signal |
|-------|-------------|-------------|-----------|--------|
| 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).

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

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