fsi-lseg-cmd-analyze-bond-basis
Skill16 starsChanged 9 months agoApache-2.0View on GitHub
Analyze the bond futures basis with CTD identification, implied repo rate, and basis trade assessment — usage: /analyze-bond-basis <bond future RIC e.g. FGBLc1>
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The file
We split this skill into the rules it gives an agent
6 rules. About 0 are common, 1 is distinctive, and 5 are very specific to this project.
≈0
Common · estimate
Many files like this have a rule of this kind.
≈1
Distinctive · estimate
This author's own choices. Worth a look.
5
Very specific
Tied to their project's names, files or tools. Probably skip.
- Common
- Distinctive
- Very specific
- Distinctive: line 21
Ask the user for:
- Very specific: line 27
Call bond_future_price with the future RIC.
- Very specific: line 33
Call bond_price for the CTD identifier from Step 2.
- Very specific: line 41
Call interest_rate_curve (list then calculate) for the future's currency.
- Very specific: line 47
Call tscc_historical_pricing_summaries for both the future and CTD bond with tenor: "3M", interval: "P1D".
- Very specific: line 53
Call credit_curve for the relevant sovereign (e.g., "DE" for Bund, "US" for Treasury).
≈ “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.
Files
Analyze Bond Futures Basis
This command uses LSEG bond future pricing, bond pricing, yield curves, and historical data tools. See CONNECTORS.md for available tools.
Analyze the bond futures basis by pricing the future, identifying the cheapest-to-deliver bond, computing gross and net basis, and assessing basis trade opportunities.
See the bond-futures-basis skill for domain knowledge on basis mechanics and trading strategies.
Workflow
1. Gather Input
Ask the user for:
- Bond future RIC (required) — e.g., FGBLc1 (Euro Bund), TYc1 (US 10Y Note), FFIc1 (UK Gilt)
- Market data date (optional, defaults to today)
2. Price the Bond Future
Call bond_future_price with the future RIC.
Extract: fair price, CTD bond identifier, delivery basket with conversion factors, contract DV01, delivery dates.
3. Price the CTD Bond
Call bond_price for the CTD identifier from Step 2.
Extract: clean/dirty price, yield, duration, DV01, accrued interest, coupon.
Compute: gross basis, invoice price, carry, net basis.
4. Compute Implied Repo Rate
Call interest_rate_curve (list then calculate) for the future's currency. Use short-end rate as repo proxy.
Compute implied repo rate and compare to market repo.
5. Track Historical Basis
Call tscc_historical_pricing_summaries for both the future and CTD bond with tenor: "3M", interval: "P1D".
Assess: basis trend, volatility, and historical range.
6. Sovereign Credit Context
Call credit_curve for the relevant sovereign (e.g., "DE" for Bund, "US" for Treasury).
7. Synthesize the Report
Present: future summary table, CTD bond analytics, basis calculation table (gross/net basis, implied repo vs market repo), historical context, and trade recommendation (long basis / short basis / neutral).
Output Format
Lead with the basis trade assessment (long/short/neutral) and implied repo comparison. Follow with detailed analytics tables.
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