/analyze-swap-curve

description: Analyze the swap curve with government and inflation overlays to identify curve trade opportunities
argument-hint: "<currency e.g. EUR> [index e.g. ESTR]"

Analyze Swap Curve

> This command uses LSEG swap pricing, interest rate curves, and inflation curve tools. See [CONNECTORS.md](../CONNECTORS.md) for available tools.

Build and analyze the interest rate swap curve, overlay government yields and inflation breakevens, and identify curve trade opportunities.

See the **swap-curve-strategy** skill for domain knowledge on curve analysis and trade construction.

Workflow

1. Gather Input

Ask the user for:

• Currency (required) — e.g., EUR, USD, GBP, CHF, JPY
• Reference rate index (optional) — e.g., ESTR, SOFR, SONIA, TONA
• Valuation date (optional, defaults to today)

2. Discover Swap Templates

Call `ir_swap` in list mode with the currency and optional index.

Extract: available template references, index details, conventions.

3. Build the 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 tenor.

4. Overlay the Government Curve

Call `interest_rate_curve` (list then calculate) for the same currency.

Compute swap spread = swap rate minus government yield at each tenor.

5. Decompose Real Rates

Call `inflation_curve` (search then calculate) for the currency.

Compute real swap rate = nominal swap rate minus inflation breakeven at each tenor.

6. Synthesize Curve Strategy Views

Compute curve metrics: 2s10s slope, 5s30s slope, 2s5s10s butterfly.

Identify opportunities: steepener, flattener, butterfly, or swap spread trades based on current levels vs historical norms.

Present: swap curve table with government overlay, curve metrics, real rate decomposition, and trade recommendations with DV01-neutral ratios.

Output Format

Lead with curve shape summary and key metrics (2s10s, butterfly). Follow with detailed tables and trade idea section.