4 skills found
Analyze the interest rate swap curve by pricing swaps at multiple tenors, overlaying government and inflation curves, and identifying curve trade opportunities. Use when analyzing swap curves, computing swap spreads, decomposing real rates, identifying steepener/flattener/butterfly trades, or comparing swap rates across currencies.
Perform relative value analysis on bonds by combining pricing, yield curve context, credit spreads, and scenario stress testing. Use when analyzing bond richness/cheapness, computing spread decomposition, comparing bonds, assessing bond value vs curves, or running rate shock scenarios.
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.
Review fixed income portfolios by pricing multiple bonds, retrieving reference data, analyzing cashflows, and running scenario analysis. Use when reviewing bond portfolios, computing portfolio duration and DV01, analyzing cashflow waterfalls, stress testing rate scenarios, or assessing portfolio composition.
