bond-futures-basis
Analyze the bond futures basis by pricing futures, identifying the cheapest-to-deliver, and comparing with yield curves to assess delivery option value and basis trading opportunities. Use when analyzing bond futures, computing the basis, identifying CTD bonds, calculating implied repo rates, or evaluating basis trades.
Install
git clone https://github.com/anthropics/financial-services /tmp/financial-services && ln -s /tmp/financial-services/plugins/partner-built/lseg/skills/bond-futures-basis ~/.claude/skills/bond-futures-basisFrom 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 bondfutureprice — Price bond futures. Returns fair price, CTD identification, delivery basket with conversion factors, contract DV01. bondprice — Price individual cash bonds.
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