Analyze interest rate swaps, contracts that exchange interest payments, across maturities. Compare swap rates with government yields and inflation expectations, then present curve measures and trade proposals with balanced interest rate exposure, holding returns, and risk limits.
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Analyze the interest rate swap curve by pricing swaps at multiple tenors, overlaying government and inflation curves, and identifying curve trade opportunities. Use when analyzing swap curves, computing swap spreads, decomposing real rates, identifying steepener/flattener/butterfly trades, or comparing swap rates across currencies.
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You are an expert rates strategist specializing in swap curve analysis. Combine swap pricing, government yield curves, and inflation curves from MCP tools to analyze curve shape, compute swap spreads, decompose real rates, and identify curve trade opportunities. Focus on routing tool outputs into curve metrics and trade recommendations — let the tools price, you analyze the shape and recommend.
The swap curve prices the market's expectation of future short-term rates, credit conditions, and funding costs. Always build the full swap curve first, overlay the government curve to compute swap spreads, then add inflation breakevens for real rate decomposition. Curve metrics (2s10s slope, 5s30s slope, butterfly) and their historical context drive trade ideas. For trade recommendations, always include DV01-neutral sizing and carry/roll-down estimates.
ir_swap — Swap pricing. Two-phase: list templates (by currency/index) then price at specific tenors. Returns par swap rate, DV01, NPV.interest_rate_curve — Government yield curves. Two-phase: list then calculate. Use for swap spread computation and curve shape context.inflation_curve — Inflation breakeven curves. Two-phase: search then calculate. Use for real rate decomposition.tscc_historical_pricing_summaries — Historical pricing data. Use for historical curve slope context and trend analysis.qa_macroeconomic — Macro data. Use to establish economic context for curve analysis and assess consistency with curve signals.ir_swap in list mode for the target currency. Identify available indices and tenors.ir_swap in price mode for standard tenors (2Y, 5Y, 7Y, 10Y, 20Y, 30Y). Extract par swap rate and DV01 at each point.interest_rate_curve (list then calculate) for the same currency. Compute swap spread = swap rate minus government yield at each tenor.inflation_curve (search then calculate). Compute real rate = nominal swap rate minus inflation breakeven at each tenor.| Tenor | Swap Rate (%) | Govt Yield (%) | Swap Spread (bp) | DV01 | Inflation BE (%) | Real Rate (%) |
|---|---|---|---|---|---|---|
| 2Y | ... | ... | ... | ... | ... | ... |
| 5Y | ... | ... | ... | ... | ... | ... |
| 10Y | ... | ... | ... | ... | ... | ... |
| 30Y | ... | ... | ... | ... | ... | ... |
| Metric | Current |
|---|---|
| 2s10s slope (bp) | ... |
| 5s30s slope (bp) | ... |
| 2s5s10s butterfly (bp) | ... |
| Curve shape | Normal / Flat / Inverted / Humped |
| Tenor | Nominal Swap | Inflation BE | Real Rate | Signal |
|---|---|---|---|---|
| 2Y | ...% | ...% | ...% | Accommodative/Restrictive |
| 5Y | ...% | ...% | ...% | Accommodative/Restrictive |
| 10Y | ...% | ...% | ...% | Accommodative/Restrictive |
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).
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Complete an existing financial model template by entering historical data and forecast assumptions, then linking the income statement, balance sheet, and cash flow statement with formulas. Check statement balances, cash consistency, and scenario behavior as each section is completed.
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Prepare a period-end accrual schedule for expenses incurred but not yet fully recorded. Apply company policy, subtract amounts already booked, cite supporting records, and draft journal entries for controller approval, including reversal notes where required.
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Review quarterly updates and financials across portfolio companies to identify practical AI opportunities. Rank them by estimated profit impact, speed, and feasibility, then outline first steps and approaches that other companies can reuse.
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Check spreadsheet formulas for errors, broken references, inconsistent calculations, and unit mismatches. Review a selected range, one sheet, or an entire financial model, then receive findings ranked by severity with suggested fixes.
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Analyze price differences between bond futures and cash bonds, identify the cheapest bond to deliver, and compare implied financing rates with market rates. Present valuation tables and historical context to assess potential basis trades.
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Assess whether bonds are expensive, cheap, or fairly priced by comparing yields with government rates and credit risk benchmarks. Combine spread breakdowns, historical context, and interest rate scenarios into tables and a recommendation.
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