swap-curve-strategy

swap-curve-strategy is a skill for Claude Code from anthropics/financial-services. It costs 66 tokens per session (986 once invoked), scanned A, original, Apache-2.0.

An interest-rate swap curve analysis tool compares swap rates across maturities with government bond and inflation curves. It measures curve shape, swap spreads, and real interest rates.

In plain words
What is it for?
It helps analyze steepeners, flatteners, and butterfly trades, compare swap and government rates, and estimate trade sizing using DV01, a measure of sensitivity to small rate changes.
Why use it?
It removes the need to assemble and compare several rate curves manually when looking for differences in market pricing. It also helps turn those measurements into curve trade ideas.

Skill for Claude Code ✓ vendor

Written for Claude Code: shipped in a Claude Code plugin.

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

Good fit It helps analyze steepeners, flatteners, and butterfly trades, compare swap and government rates, and estimate trade sizing using DV01, a measure of sensitivity to small rate changes.

Compare 6 skills from other repositories ↓
Install with agentmods
npx agentmods add skills/anthropics/financial-services/swap-curve-strategy
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

One page per mod, every tool's command on it. A separate URL per tool would split the same page into five that compete with each other.

Any agent
npx skills add anthropics/financial-services --skill swap-curve-strategy
Clone the repo
git clone --depth 1 https://github.com/anthropics/financial-services

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 swap-curve-strategy

README.md
[![agentmods](https://agentmods.dev/badge/skills/anthropics/financial-services/swap-curve-strategy/github.svg)](https://agentmods.dev/skills/anthropics/financial-services/swap-curve-strategy)
Your own site
<a href="https://agentmods.dev/skills/anthropics/financial-services/swap-curve-strategy"><img src="https://agentmods.dev/badge/skills/anthropics/financial-services/swap-curve-strategy/github.svg" alt="Measured on agentmods" height="20"></a>

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 swap-curve-strategy

Your own site · 80×15
<a href="https://agentmods.dev/skills/anthropics/financial-services/swap-curve-strategy"><img src="https://agentmods.dev/badge/skills/anthropics/financial-services/swap-curve-strategy.svg" alt="Reviewed on agentmods" width="80" height="20"></a>
Per session 66 Skills are progressive disclosure: only the name and description are preloaded; the body loads when the skill is used.
When invoked 986 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. Third-party audits
  • Socket pass 4 May 2026
  • Snyk pass 4 May 2026
How audits are shown
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 $0.00066 $0.00986
Opus 5 $0.00033 $0.00493
Sonnet 5 $0.00013 $0.00197
Haiku 4.5 $0.00007 $0.00099

Measured today against content hash 7aa595a57090, method: parsed. Prices are Anthropic first-party input rates as of 2026-09-12, from the pricing page.

Security

Grade A, and why

swap-curve-strategy 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

3 near-identical copies found in the catalogue:

plugins/partner-built/lseg/skills/swap-curve-strategy/SKILL.md · 58 lines

How it starts

The opening of the file, as written. The whole thing — 58 lines — stays where its author put it; the contents beside it link to each section on GitHub.

Swap Curve Strategy Analysis

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.

Core Principles

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.

Available MCP Tools

  • 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.

Tool Chaining Workflow

  1. Discover Swap Templates: Call ir_swap in list mode for the target currency. Identify available indices and tenors.
  2. Build 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 point.
  3. Overlay Government Curve: Call interest_rate_curve (list then calculate) for the same currency. Compute swap spread = swap rate minus government yield at each tenor.
  4. Inflation Decomposition: Call inflation_curve (search then calculate). Compute real rate = nominal swap rate minus inflation breakeven at each tenor.
  5. Compute Curve Metrics: From the swap curve: 2s10s slope, 5s30s slope, 2s5s10s butterfly. Note curve shape classification.
  6. Synthesize: Combine into a complete analysis with swap curve table, swap spreads, real rate decomposition, curve metrics, and trade recommendations with DV01-neutral sizing.

Read the full file on GitHub · 58 lines

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 · 66 tokens per session scan A 7aa595a57090

Subscribe to this mod's changes

swap-curve-strategy is a skill published in the GitHub repository anthropics/financial-services (34,793 stars, last pushed today), licensed Apache-2.0. It adds 66 tokens to every session and 986 once invoked, about $0.0003 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.

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