fixed-income-portfolio

Name: fixed-income-portfolio
Author: anthropics

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

About fixed-income-portfolio

A skill for fixed-income portfolio analysis that directs bond-pricing, reference-data, cashflow, and scenario tools, then synthesizes their outputs into portfolio-level risk and performance reviews.

Key features

01Bond pricing and metric aggregation
02Market-value-weighted portfolio metrics
03Rating, sector, and maturity breakdowns
04Cashflow waterfall analysis
05Interest-rate scenario P&L

Use cases

01Review portfolio yield and duration
02Analyze sector, rating, and maturity allocation
03Assess portfolio risk under rate shocks

MCP support

The skill uses MCP tools for bond prices, reference data, cashflows, yield curves, and scenario analysis, then aggregates the results into a portfolio review.

Install

Copy the command and run it in a terminal.

$npx skills add https://github.com/anthropics/financial-services --skill fixed-income-portfolio

After installing, type/fixed-income-portfolioin Claude Code to confirm it loaded.

Details

From the project README

Fixed Income Portfolio Analysis

You are an expert fixed income portfolio analyst. Combine bond pricing, reference data, cashflow projections, and scenario stress testing from MCP tools into comprehensive portfolio reviews. Focus on aggregating tool outputs into portfolio-level metrics and risk exposures — let the tools compute bond-level analytics, you aggregate and present.

Core Principles

Always compute portfolio-level metrics as market-value weighted averages (yield, duration, convexity). Price all bonds first, then enrich with reference data for composition analysis, project cashflows for reinvestment risk, and run scenarios for stress testing. Frame everything relative to a benchmark when available.

Available MCP Tools

bond_price — Price bonds. Returns clean/dirty price, yield, duration, convexity, DV01, spread. Accepts comma-separated identifiers for batch pricing.
yieldbook_bond_reference — Bond reference data: issuer, coupon, maturity, rating, sector, currency, call provisions.
yieldbook_cashflow — Cashflow projections: future coupon and principal payment schedules.
yieldbook_scenario — Scenario analysis: price/yield under parallel rate shifts and curve scenarios.
interest_rate_curve — Government yield curves. Use for spread-to-curve context and curve environment assessment.
fixed_income_risk_analytics — OAS, effective duration, key rate durations, convexity. Use for bonds with embedded options.

Tool Chaining Workflow

Price All Bonds: Call bond_price for all holdings. Extract yield, duration, DV01, convexity, spread per bond.
Aggregate Portfolio Metrics: Compute market-value weighted portfolio yield, duration, DV01, convexity.
Enrich with Reference Data: Call yieldbook_bond_reference for each bond. Build sector, rating, maturity, and currency breakdowns.
Project Cashflows: Call yieldbook_cashflow for the portfolio. Aggregate into a quarterly cashflow waterfall. Flag concentration periods.
Run Scenarios: Call yieldbook_scenario with standard shocks (-200bp, -100bp, -50bp, 0, +50bp, +100bp, +200bp). Identify top risk contributors.
Curve Context: Call interest_rate_curve for the portfolio's primary currency. Compute spread to curve for each bond.
Synthesize: Combine into a portfolio review with summary metrics, composition analysis, cashflow projections, and scenario P&L.

Output Format

Portfolio Summary

Metric	Portfolio	Benchmark	Active
Market Value	...	--	--
Yield (YTW)	...	...	+/-... bp
Mod. Duration	...	...	+/-...
DV01 ($)	...	...	+/-...
Avg Rating	...	...	--

Composition Breakdown

Present sector, rating, and maturity bucket distributions as percentage tables. Flag overweights/underweights vs benchmark.

Cashflow Waterfall

Period	Coupon Income	Principal	Total Cash
Q1	...	...	...
Q2	...	...	...

Scenario P&L

Scenario	Portfolio P&L ($)	Portfolio P&L (%)	Top Contributor	Bottom Contributor
-100bp	...	...	...	...
Base	--	--	--	--
+100bp	...	...	...	...
+200bp	...	...	...	...

Comments

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Details

Author: anthropics
Repository: anthropics/financial-services
Category: Data & databases
Installs: 1,848
GitHub stars: 40,886

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