Swap Curve Strategy
This skill dynamically adjusts trading curves to optimize profit potential based on market conditions, maximizing returns for swap strategies.
Install on your platform
We auto-selected Claude Code based on this skill’s supported platforms.
Run in terminal (recommended)
claude mcp add swap-curve-strategy npx -- -y @trustedskills/swap-curve-strategy
Or manually add to ~/.claude/settings.json
{
"mcpServers": {
"swap-curve-strategy": {
"command": "npx",
"args": [
"-y",
"@trustedskills/swap-curve-strategy"
]
}
}
}Requires Claude Code (claude CLI). Run claude --version to verify your install.
About This Skill
What it does
This skill allows AI agents to analyze and generate swap curve strategies. It can calculate implied forward rates based on a given swap curve, and conversely, construct a swap curve from specified forward rates. This enables users to perform sensitivity analysis and explore different interest rate scenarios.
When to use it
- Portfolio Risk Management: Assess the impact of changes in interest rates on fixed income portfolios by analyzing potential swap curve shifts.
- Derivatives Pricing: Generate accurate pricing models for interest rate derivatives, such as swaps and caps, based on current market conditions.
- Trading Strategy Development: Develop and test trading strategies involving swaps by simulating different swap curve scenarios.
- Interest Rate Forecasting: Evaluate the consistency of forecasted forward rates with observed swap curves.
Key capabilities
- Calculate implied forward rates from a swap curve.
- Construct a swap curve given specified forward rates.
- Perform sensitivity analysis on swap curves.
Example prompts
- "What are the implied forward rates for a 5-year swap curve with these prices: [list of swap prices]?"
- “Generate a swap curve based on these forward rates: [list of forward rates]."
- "How would my portfolio be impacted if the 2-year forward rate increased by 10 basis points?"
Tips & gotchas
This skill requires accurate and complete data for both input swap curves and forward rates to produce meaningful results. Ensure the data is consistent with the desired currency and maturity structure.
Tags
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Security Audits
| Gen Agent Trust Hub | Pass |
| Socket | Pass |
| Snyk | Pass |
🏢 Official
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