1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58---
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.