SKILL.md
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- Price the Future: Call
bond_future_pricewith the contract RIC. Extract CTD bond identifier, conversion factors, delivery basket, contract DV01, delivery dates.
- Price the CTD Bond: Call
bond_pricefor the CTD identified in step 1. Extract clean/dirty price, yield, duration, DV01.
- Compute Basis Metrics: From the two outputs, compute gross basis, carry, net basis (BNOC), and implied repo rate. Compare implied repo to market short-term rate.
- Yield Curve Context: Call
interest_rate_curve— list then calculate for the future's currency. Use short-end rate as repo proxy for the implied repo comparison.
- Historical Context: Call
tscc_historical_pricing_summariesfor both the future and CTD bond (3M daily). Assess basis trend, volatility, and current percentile.
- Sovereign Credit (optional): Call
credit_curvefor the relevant sovereign to check for credit-driven basis distortions.
Output Format
Future Summary
Field
Value
Contract
...
Fair Price
...
CTD Bond
...
Conversion Factor
...
Contract DV01
...
CTD Bond Analytics
Field
Value
Clean Price
...
YTM
...
Duration
...
DV01
...
Basis Calculation
Metric
Value
Gross Basis
... ticks
Carry
... ticks
Net Basis
... ticks
Implied Repo
...%
Market Repo (approx)
...%
Assessment
Rich / Fair / Cheap
Historical Basis Context
Metric
Current
3M Avg
6M Avg
Percentile
Net Basis
...
...
...
...th
Implied Repo
...
...
...
...th
Lead with the basis trade assessment (long/short/neutral) and implied repo comparison. Follow with detailed analytics tables.