Swap Curve Strategy Analysis (LSEG)
Analyze interest rate swap curves by pricing swaps at multiple tenors, overlaying government and inflation curves, computing swap spreads, and identifying steepener, flattener, and butterfly trade opportunities.
Interest rate swap curve trades require building the full curve, computing spreads vs government bonds, decomposing real rates, and sizing DV01-neutral positions — a multi-step process where small errors in any leg invalidate the entire trade recommendation.
Who it's for: rates traders, swap traders, macro strategists, portfolio managers, quantitative analysts
Example
"Analyze the USD swap curve and identify curve trade opportunities" → Full swap curve with government yield overlay, swap spreads at each tenor, real rate decomposition, 2s10s/5s30s slopes, butterfly metrics, and DV01-neutral trade recommendations with carry and roll-down estimates
New here? 3-minute setup guide → | Already set up? Copy the template below.
# 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.
## Output Format
### Swap Curve Table
| Tenor | Swap Rate (%) | Govt Yield (%) | Swap Spread (bp) | DV01 | Inflation BE (%) | Real Rate (%) |
|-------|-------------|----------------|-------------------|------|-------------------|---------------|
| 2Y | ... | ... | ... | ... | ... | ... |
| 5Y | ... | ... | ... | ... | ... | ... |
| 10Y | ... | ... | ... | ... | ... | ... |
| 30Y | ... | ... | ... | ... | ... | ... |
### Curve Metrics
| Metric | Current |
|--------|---------|
| 2s10s slope (bp) | ... |
| 5s30s slope (bp) | ... |
| 2s5s10s butterfly (bp) | ... |
| Curve shape | Normal / Flat / Inverted / Humped |
### Real Rate Decomposition
| Tenor | Nominal Swap | Inflation BE | Real Rate | Signal |
|-------|-------------|-------------|-----------|--------|
| 2Y | ...% | ...% | ...% | Accommodative/Restrictive |
| 5Y | ...% | ...% | ...% | Accommodative/Restrictive |
| 10Y | ...% | ...% | ...% | Accommodative/Restrictive |
### Curve Trade Recommendation
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).
What This Does
Chains LSEG MCP tools to deliver a complete swap curve strategy analysis. It builds the full swap curve across standard tenors, overlays the government yield curve to compute swap spreads, adds inflation breakevens for real rate decomposition, computes curve metrics (2s10s slope, 5s30s slope, 2s5s10s butterfly), and generates trade recommendations with DV01-neutral sizing and carry/roll-down estimates.
The skill handles the multi-source data routing and the arithmetic — you get a structured analysis that moves directly from data to trade recommendations.
Quick Start
Step 1: Create a Project Folder
mkdir -p ~/swap-curve-strategy
cd ~/swap-curve-strategy
Step 2: Download the Template
Click Download above, then move the file into your project folder as CLAUDE.md.
Step 3: Start Working
Launch Claude Code and try these prompts:
Analyze the USD swap curve and identify curve trade opportunities
Compare EUR and GBP swap curves — where are the relative value opportunities?
Is the 2s10s steepener or flattener more attractive right now in USD swaps? Include carry and roll-down
Analysis Pipeline
The strategy analysis follows six steps:
- Discover Swap Templates —
ir_swapin list mode to find available indices and tenors - Build Swap Curve — Price at 2Y, 5Y, 7Y, 10Y, 20Y, 30Y with par swap rate and DV01
- Overlay Government Curve — Compute swap spread at each tenor
- Inflation Decomposition — Real rate = nominal swap rate minus inflation breakeven
- Curve Metrics — 2s10s slope, 5s30s slope, 2s5s10s butterfly, curve shape classification
- Trade Recommendations — DV01-neutral sizing, carry/roll-down estimates, targets, and stop-losses
Curve Trade Structures
| Trade | When to Use |
|---|---|
| 2s10s Steepener | Curve is historically flat, policy easing expected |
| 2s10s Flattener | Curve is historically steep, policy tightening expected |
| 5s30s Steepener | Long-end underperforming, term premium rising |
| 2s5s10s Butterfly | Belly is rich/cheap vs wings, mean-reversion expected |
Available MCP Tools
ir_swap— Swap pricing with par rate, DV01, NPV at specific tenorsinterest_rate_curve— Government yield curves for swap spread computationinflation_curve— Inflation breakeven curves for real rate decompositiontscc_historical_pricing_summaries— Historical data for curve slope contextqa_macroeconomic— Economic data to assess consistency with curve signals
Tips for Best Results
- Always include DV01-neutral sizing — unbalanced curve trades have unwanted directional exposure
- Carry and roll-down estimates are critical: a steepener that bleeds carry for 3 months needs a large curve move to break even
- The 2s5s10s butterfly is often the most contrarian signal — when the belly is rich, it tends to mean-revert
- Compare swap spreads across tenors for signs of funding stress (front-end widening) vs credit stress (belly/long-end widening)
- Cross-currency swap curve comparisons reveal relative monetary policy expectations