SKILL.md
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- Discover Swap Templates: Call
ir_swapin list mode for the target currency. Identify available indices and tenors.
- Build Swap Curve: Call
ir_swapin price mode for standard tenors (2Y, 5Y, 7Y, 10Y, 20Y, 30Y). Extract par swap rate and DV01 at each point.
- 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.
- Inflation Decomposition: Call
inflation_curve(search then calculate). Compute real rate = nominal swap rate minus inflation breakeven at each tenor.
- Compute Curve Metrics: From the swap curve: 2s10s slope, 5s30s slope, 2s5s10s butterfly. Note curve shape classification.
- 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).