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Serennity007Serennity007/claude-trading-skills-67/skills/fixed-income/SKILL.md

fixed-income

Skill0 starsChanged 3 months agoMITView on GitHub

[STUB] Bond pricing, yield curves, duration and convexity analysis, and DeFi lending rate modeling

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  1. Distinctive:

    When fully implemented, this skill will cover:

    line 55
  2. Distinctive:

    Use duration to estimate how lending positions change in value as rates move.

    line 139
  3. Distinctive:

    Add Nelson-Siegel yield curve fitting

    line 193
  4. Distinctive:

    Add day count convention support for accurate accrued interest

    line 195
  5. Distinctive:

    Create rate comparison dashboard across protocols

    line 196

≈ “Common” is an estimate: at least 1 in 5 of the 350,495 skill files we read have a rule of the same kind, not the same words. “Very specific” is our guess from the words: it names a file, a command, a setting or the project itself.

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Files
SKILL.md

Fixed Income

Status: STUB — This skill provides a basic bond calculator and an overview of planned capabilities. Full implementation is awaiting community contribution.

Fixed income analysis bridges traditional bond mathematics with DeFi lending rate modeling. Bond pricing fundamentals — present value of cash flows, yield curves, duration, and convexity — translate directly to analyzing DeFi lending protocols where depositors earn variable or fixed rates on crypto assets.

On Solana, lending protocols like Marginfi, Kamino, and Solend offer variable-rate lending/borrowing. Understanding term structure and rate dynamics helps optimize yield farming strategies and compare opportunities across protocols.

This skill is informational and analytical only. It does not provide financial advice or trading recommendations.


Current Capabilities

This stub includes a working bond calculator with price, yield-to-maturity, duration, and convexity computations. See scripts/bond_calculator.py for the implementation.

def bond_price(
    face: float, coupon_rate: float, ytm: float, periods: int, freq: int = 2
) -> float:
    """Calculate bond price as present value of all cash flows.

    Args:
        face: Face (par) value of the bond.
        coupon_rate: Annual coupon rate (decimal, e.g., 0.05 for 5%).
        ytm: Yield to maturity (annual, decimal).
        periods: Number of coupon periods remaining.
        freq: Coupon frequency per year (2 = semi-annual).

    Returns:
        Bond price (dirty price).
    """
    coupon = face * coupon_rate / freq
    y = ytm / freq
    pv_coupons = sum(coupon / (1 + y) ** t for t in range(1, periods + 1))
    pv_face = face / (1 + y) ** periods
    return pv_coupons + pv_face

Run the demo:

python scripts/bond_calculator.py --demo

Planned Capabilities

When fully implemented, this skill will cover:

Bond Pricing

ConceptDescription
Clean/Dirty PricePrice excluding/including accrued interest
Accrued InterestInterest earned since last coupon date
Day Count Conventions30/360, ACT/360, ACT/365, ACT/ACT
Zero-Coupon BondsDiscount bonds with no periodic coupons

Yield Measures

Yield MeasureUse Case
Yield to Maturity (YTM)Total return if held to maturity
Current YieldAnnual coupon / price
Yield to CallReturn if called at first call date
Spread to BenchmarkCredit risk premium over risk-free rate

Duration and Convexity

MetricMeasures
Macaulay DurationWeighted average time to cash flows
Modified DurationPrice sensitivity to yield changes
Effective DurationDuration for bonds with embedded options
ConvexitySecond-order price sensitivity
Dollar Duration (DV01)Dollar change per 1bp yield move

Yield Curve Construction

MethodDescription
BootstrapExtract spot rates from par bond prices
Nelson-SiegelParametric model with level, slope, curvature
Nelson-Siegel-SvenssonExtended model with additional curvature term
Cubic SplineNon-parametric interpolation

DeFi Lending Rate Analysis

ProtocolChainType
MarginfiSolanaVariable rate
KaminoSolanaVariable rate
SolendSolanaVariable rate
AaveEthereum/MultiVariable + stable rate
CompoundEthereumVariable rate

Planned DeFi features:

  • Lending rate time series analysis
  • Supply/borrow APY comparison across protocols
  • Utilization rate impact on lending rates
  • Fixed vs variable rate comparison (when fixed-rate protocols available)
  • Rate arbitrage opportunity detection

Prerequisites

# For full implementation
uv pip install numpy scipy

# For visualization
uv pip install matplotlib

The included scripts/bond_calculator.py uses only the Python standard library and runs without any dependencies.


Use Cases

Yield Farming Comparison

Compare DeFi lending rates across protocols using fixed income analytics. Annualize variable rates, compute effective yields accounting for compounding frequency, and identify the most capital-efficient opportunities.

Lending Rate Analysis

Track lending rates over time to understand rate dynamics. Identify periods of rate compression (low utilization) vs rate expansion (high utilization) to time deposits optimally.

Rate Arbitrage

Borrow at lower rates on one protocol and lend at higher rates on another. Duration and convexity concepts help assess the risk of rate changes during the arbitrage holding period.

Risk Assessment

Use duration to estimate how lending positions change in value as rates move. Higher duration means greater sensitivity to rate changes.


Quick Reference: Bond Pricing Formulas

Bond price (present value of cash flows):

P = Σ [C / (1+y)^t] + F / (1+y)^n
    t=1..n

Where:
  C = periodic coupon payment = Face * coupon_rate / frequency
  y = periodic yield = YTM / frequency
  F = face value
  n = total number of periods

Macaulay Duration:

D_mac = (1/P) * Σ [t * C / (1+y)^t] + (n * F) / ((1+y)^n * P)

Modified Duration:

D_mod = D_mac / (1 + y)

Convexity:

Convexity = (1/P) * Σ [t*(t+1) * C / (1+y)^(t+2)] + [n*(n+1)*F] / [(1+y)^(n+2) * P]

Price change approximation:

ΔP/P ≈ -D_mod * Δy + 0.5 * Convexity * (Δy)²

Files

FileDescription
references/planned_features.mdPlanned features, bond formulas, DeFi protocols, and implementation priorities
scripts/bond_calculator.pyBond price, YTM, duration, and convexity calculator

Contributing

This skill is a stub awaiting full implementation. To contribute:

  1. Implement yield curve bootstrapping from market data
  2. Add Nelson-Siegel yield curve fitting
  3. Build DeFi lending rate data fetcher (Marginfi, Kamino APIs)
  4. Add day count convention support for accurate accrued interest
  5. Create rate comparison dashboard across protocols

See references/planned_features.md for the full feature list and implementation priorities.


This skill provides analytical tools and mathematical models for informational purposes only. It does not constitute financial advice. Fixed income and DeFi lending involve risk of loss.

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