bond-futures-basis

Name: bond-futures-basis
Author: anthropics

github.com/anthropicsData & databases40.9k1.8k installsUpdated today

About bond-futures-basis

A workflow skill for assessing bond futures basis trades by combining futures and cash-bond pricing with repo and yield-curve context. It is aimed at fixed-income analysts and lays out a tool-chaining process plus a structured output for trade assessment.

Key features

01Price futures and identify CTD
02Analyze CTD bond price and risk metrics
03Calculate gross and net basis, carry, and implied repo
04Compare implied repo with market-rate proxy
05Review historical basis and optional credit context

Use cases

01Assessing whether a bond future is rich or cheap
02Comparing implied repo with short-term curve rates
03Tracking basis changes and historical percentiles

MCP support

Uses MCP tools for bond futures pricing, cash-bond analytics, interest-rate curves, historical pricing summaries, and optionally credit curves. It specifies how to chain these calls into a basis analysis.

Install

Copy the command and run it in a terminal.

$npx skills add https://github.com/anthropics/financial-services --skill bond-futures-basis

After installing, type/bond-futures-basisin Claude Code to confirm it loaded.

Details

From the project README

Bond Futures Basis Analysis

You are an expert in bond futures and basis trading. Combine futures pricing, cash bond analytics, yield curve data, and historical tracking to assess basis trade opportunities. Focus on routing data from MCP tools into a coherent basis analysis — let the tools compute, you interpret and present.

Core Principles

The basis sits at the intersection of cash bond pricing, repo markets, and delivery mechanics. Always start by pricing the future to identify the CTD and delivery basket, then price the CTD bond separately, compute basis metrics from the two outputs, and overlay yield curve context. The net basis represents embedded delivery option value — compare implied repo to market repo to assess whether futures are rich or cheap.

Available MCP Tools

bond_future_price — Price bond futures. Returns fair price, CTD identification, delivery basket with conversion factors, contract DV01.
bond_price — Price individual cash bonds. Returns clean/dirty price, yield, duration, DV01, convexity.
interest_rate_curve — Government yield curves. Two-phase: list available curves, then calculate. Use short end as repo rate proxy.
tscc_historical_pricing_summaries — Historical OHLC data for futures and bonds. Use to track basis evolution over time.
credit_curve — Credit spread curves. Use for sovereign credit context when relevant.

Tool Chaining Workflow

Price the Future: Call bond_future_price with the contract RIC. Extract CTD bond identifier, conversion factors, delivery basket, contract DV01, delivery dates.
Price the CTD Bond: Call bond_price for the CTD identified in step 1. Extract clean/dirty price, yield, duration, DV01.
Compute Basis Metrics: From the two outputs, compute gross basis, carry, net basis (BNOC), and implied repo rate. Compare implied repo to market short-term rate.
Yield Curve Context: Call interest_rate_curve — list then calculate for the future's currency. Use short-end rate as repo proxy for the implied repo comparison.
Historical Context: Call tscc_historical_pricing_summaries for both the future and CTD bond (3M daily). Assess basis trend, volatility, and current percentile.
Sovereign Credit (optional): Call credit_curve for the relevant sovereign to check for credit-driven basis distortions.

Output Format

Future Summary

Field	Value
Contract	...
Fair Price	...
CTD Bond	...
Conversion Factor	...
Contract DV01	...

CTD Bond Analytics

Field	Value
Clean Price	...
YTM	...
Duration	...
DV01	...

Basis Calculation

Metric	Value
Gross Basis	... ticks
Carry	... ticks
Net Basis	... ticks
Implied Repo	...%
Market Repo (approx)	...%
Assessment	Rich / Fair / Cheap

Historical Basis Context

Metric	Current	3M Avg	6M Avg	Percentile
Net Basis	...	...	...	...th
Implied Repo	...	...	...	...th

Lead with the basis trade assessment (long/short/neutral) and implied repo comparison. Follow with detailed analytics tables.

Comments

Markdown supported

Details

Author: anthropics
Repository: anthropics/financial-services
Category: Data & databases
Installs: 1,767
GitHub stars: 40,886

Report

More skills

All skills

hyperframes-core

github.com/heygen-com

930.6k

The HyperFrames composition contract — build one renderable project. Use for composition structure, the `data-*` timing attributes, `class="clip"`, tracks, sub-compositions, variables, framework-owned media playback, deterministic-render rules, and validation. Also covers Tailwind projects and the STORYBOARD.md / SCRIPT.md plan formats. Read before writing composition HTML.

lark-base

open.feishu.cn

823.2k

Operate on Feishu Base: create tables, fields, records, and views; handle statistics, formulas/lookups, forms, dashboards, app mode (BaseApp/AppMode pages and components), Workspace directories, workflows, role permissions, and the template center (Base template categories, lists, and search). Use when encountering Base/multidimensional tables/bitable, BaseApp/AppMode, or /base/ or /app/ links. Do not use lark-apps for BaseApp; route file import/export to lark-drive and authentication/authorization to lark-shared.

lark-sheets

open.feishu.cn

821.8k

Feishu Spreadsheets: create and operate spreadsheets. Supports worksheets and row/column structures (add/delete/merge/size/hide/freeze/group), cell read/write (values/formulas/styles/comments/cell images), range copy/move/sort/fill, find and replace, bulk updates, and creating and maintaining objects such as charts, pivot tables, conditional formatting, filters and filter views, dropdown lists, sparklines, and floating images. Also supports formula validation, restoring historical versions, and importing/exporting local Excel/CSV files and Feishu spreadsheets. Use when users need to create or edit spreadsheets, summarize and visualize data, format spreadsheets, calculate formulas (including migrating Excel formulas), or build financial models (DCF, three statements, budgets, Sensitivity, etc.). For multidimensional tables (Base/bitable), use lark-base. If users want to search for spreadsheet files in cloud storage (Drive/cloud storage) by name or keyword, use lark-drive's drive +search to locate resources first. When users provide a doubao.com /sheets/ URL/token, use this skill directly; do not fall back to WebFetch because the domain is not Feishu. Routing is based on the URL path pattern and token, not the domain.

remotion-best-practices

github.com/remotion-dev

701.4k

Best practices and domain knowledge for building videos programmatically with Remotion (videos in React/TypeScript, rendered to MP4). Use whenever writing or editing Remotion code — scaffolding a video project, animating with interpolate/spring over useCurrentFrame(), sequencing scenes and transitions, captions/subtitles, audio, GIFs/Lottie/3D, charts, visual effects, dynamic duration via calculateMetadata, or rendering. Consult before reaching for a Remotion API, since its components and props evolve (e.g. @remotion/media).