analyze-swap-curve

analyze-swap-curve is a command for Claude Code from anthropics/financial-services. It costs 14 tokens per session (475 once invoked), scanned A, original, Apache-2.0.

An interest-rate swap curve analysis command that compares swap rates with government bond yields and inflation expectations. An interest-rate swap is a contract in which two parties exchange interest payments, often fixed for variable.

In plain words
What is it for?
Use it to build curves for currencies such as USD or EUR, calculate swap spreads, examine inflation breakevens, and identify possible curve trades.
Why use it?
It shows how interest rates differ across maturities and separates general government rates from swap-market and inflation effects.

Command for Claude Code ✓ vendor

Written for Claude Code: argument-hint in frontmatter.

Needs its repository: it reads a path above its own folder, which exists only inside the repository. The line is This command uses LSEG swap pricing, interest rate curves, and inflation curve tools. See [CONNECTORS.md](../CONNECTORS.md) for available tools..

Part of the lseg plugin — 8 skills, 8 commands, 1 MCP server shipped together

Good fit Use it to build curves for currencies such as USD or EUR, calculate swap spreads, examine inflation breakevens, and identify possible curve trades.

Compare 6 commands from other repositories ↓
About the project

Claude for Financial Services is a collection of agents, skills, commands, plugins, and data connectors for investment banking, equity research, private equity, and wealth-management workflows. Financial professionals use it to draft models, memos, research notes, and reconciliations for review by qualified people. The catalogue contains components from these workflows, including agents, skills, plugins, commands, and instructions.

anthropics/financial-services · 34,793 stars · on GitHub

Install

Getting it into your agent

It runs from inside its repository, so the clone comes first — what it calls does not travel with the file alone.

Clone the repo
git clone --depth 1 https://github.com/anthropics/financial-services
agentmods
npx agentmods add commands/anthropics/financial-services/analyze-swap-curve

Made for: Claude Code.

Or install lseg, the plugin that ships this one along with the rest of its 8 skills, 8 commands, 1 MCP server.

Wrote this? Show the measurements

A badge with what this costs and how it scanned, read live from this page, so it follows the numbers instead of freezing them. Markdown for a README, HTML for a documentation site or a project page.

agentmods badge for analyze-swap-curve

README.md
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Your own site
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Or the 80×15 button, for a site that already has a row of RSS and ATOM ones. Only the verdict fits; the numbers stay here.

agentmods 80×15 button for analyze-swap-curve

Your own site · 80×15
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Per session 14 Only the description is in the session, so the agent can decide to use it. The body loads when it is invoked.
When invoked 475 The whole file, excluding the scripts and references it only reads on demand.
Security scan A 0 findings. A grade says what 26 rules found in the file — not that it is safe.
Origin original No closer match found in the catalogue.
Token cost

What it costs to keep this loaded

Counted locally with the o200k_base tokenizer, which is exact for GPT models; Claude uses its own tokenizer and its counts differ. Treat this as one consistent yardstick across the catalogue rather than a bill. Prices are per million input tokens.

ModelPer sessionOnce invoked
Fable 5.1 $0.00014 $0.00475
Opus 5 $0.00007 $0.00237
Sonnet 5 $0.00003 $0.00095
Haiku 4.5 $0.00001 $0.00047

Measured today against content hash 501be24ab6ce, method: parsed. Prices are Anthropic first-party input rates as of 2026-09-12, from the pricing page.

Security

Grade A, and why

analyze-swap-curve scanned grade A with 0 findings against 26 rules in 11 categories — prompt injection, anti-refusal, data exfiltration, privilege escalation, supply chain, agent snooping, system-prompt leakage, SSRF and excessive agency — measured today.

A static scan of the body, not an audit. Every finding is printed with the line that produced it so you can judge whether it matters here. A mod is markdown that instructs an agent; that is exactly why what it instructs is worth reading.

Nothing flagged

None of the 26 patterns this scan looks for appear in this file: no shell pipes, no recursive deletes, no credential paths, no hidden text, no instruction-override or anti-refusal phrasing, no agent-config snooping. That is not a guarantee, it is the absence of the things that are checkable.

Origin

Copies of this mod

1 near-identical copy found in the catalogue:

plugins/partner-built/lseg/commands/analyze-swap-curve.md · 58 lines

What it actually says

Analyze Swap Curve

This command uses LSEG swap pricing, interest rate curves, and inflation curve tools. See 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.

Changes

What this file has done since we first saw it

Hashed on every crawl. A supply-chain change to an agent config is a question of when, not whether, so the history is kept rather than the latest state alone.

  1. today First seen · 58 lines · 14 tokens per session scan A 501be24ab6ce

Subscribe to this mod's changes

analyze-swap-curve is a command published in the GitHub repository anthropics/financial-services (34,793 stars, last pushed today), licensed Apache-2.0. It adds 14 tokens to every session and 475 once invoked, about $0.0001 per session on Opus 5. A static security scan graded it A with 0 findings. No closer match exists in the catalogue, so it is treated as the original; first seen 2026-09-12.