Can it calculate interest rate sensitivity?

Yes, it provides formulas and logic for Macaulay duration, modified duration, convexity, and DV01 to measure price sensitivity to yield changes.

How does it handle inflation protection?

It covers the specific mechanics of TIPS, including principal adjustments via CPI, real yield calculations, and the analysis of breakeven inflation rates.

What types of bonds does this skill analyze?

This skill specializes in sovereign debt, particularly US Treasuries including T-bills, T-notes, T-bonds, and Treasury Inflation-Protected Securities (TIPS).

Does it support yield curve modeling?

It includes methodologies for bootstrapping spot curves from par yields and deriving forward rates for future interest rate expectations.

Sovereign Fixed Income Analysis

Name: Sovereign Fixed Income Analysis
Author: JoelLewis

byJoelLewis

•

데이터 과학 및 ML

Analyzes government bonds, US Treasuries, and sovereign debt through advanced yield curve modeling and interest rate risk analytics.

This skill equips Claude with expert-level capabilities in sovereign fixed-income analysis, specifically focusing on US Treasuries and government debt instruments. It provides standardized implementation patterns for bond pricing, yield curve construction (spot, forward, and par curves), and comprehensive risk metrics including duration and convexity. Whether calculating the impact of interest rate shifts, analyzing TIPS mechanics, or bootstrapping a spot curve, this skill ensures Claude provides precise financial formulas and domain-specific best practices for wealth management and institutional trading contexts.

주요 기능

0118 GitHub stars

02Advanced bond pricing and Yield to Maturity (YTM) calculations

03DV01 and dollar duration calculations for interest rate immunization and hedging

04Multi-dimensional yield curve construction including bootstrapping and forward rate derivation

05TIPS and inflation-linked security mechanics including real yield and breakeven analysis

06Comprehensive risk analytics including Modified Duration, Key Rate Duration, and Convexity

사용 사례

01Calculating breakeven inflation rates by comparing nominal Treasuries to TIPS

02Deriving implied forward rates from current spot rates to inform investment strategy

03Estimating the price impact of parallel and non-parallel yield curve shifts on Treasury portfolios

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add joellewis/finance_skills fixed-income-sovereign

For use in Claude.ai and ChatGPT

Download Skill