claude

derivatives

Derivatives valuation workflows: options, swaps, structured products, and volatility surface analysis (stub — skills populated in a future phase)

8 on GitHubby Robert Fallv0.1.0MITupdated 6 months ago

Not in a marketplace yet, so it loads for one session with --plugin-dir.

Plugin derivatives in fall-development-rob/corp_finance. Commands read from the repo's manifest — 1 month ago.

What it installs

Skills (7)

  • workflow-derivatives-futures-forwards

    WHAT: Price futures and forward contracts using cost-of-carry; analyze basis, contango/backwardation, and roll yield; derive minimum-variance hedge ratios. WHEN: Invoke for FX or commodity hedge sizing, futures basis trade analysis, cash-and-carry arbitrage checks, or any task requiring a defensible

  • workflow-derivatives-option-pricing

    WHAT: Price European and American options via Black-Scholes and binomial tree; extract full Greeks; cross-check implied volatility against historical realized volatility. WHEN: Invoke for single-leg option pricing, hedging analysis, position mark-to-market, or any task requiring a defensible fair-va

  • workflow-derivatives-option-strategies

    WHAT: Construct and analyze multi-leg option strategies (straddle, strangle, iron condor, butterfly, collar, spread, and custom structures); aggregate P&L and Greeks across all legs; map breakeven points and payoff profile. WHEN: Invoke for hedging recommendations, structured payoff design, yield-en

  • workflow-derivatives-real-options

    WHAT: Apply real-option valuation to corporate capital allocation decisions (defer, abandon, expand, contract, switch); use binomial tree pricing and decision-tree rollback to quantify the option premium over static NPV. WHEN: Invoke for capex deferral analysis, project abandonment value, growth-opt

  • workflow-derivatives-structured-products

    WHAT: Price structured notes (autocalls, reverse convertibles, range accruals, principal-protected notes); decompose each product into its vanilla component instruments; assess embedded-option fair value and investor net economics. WHEN: Invoke for structured product mark-to-market, embedded-option

  • workflow-derivatives-swaps

    WHAT: Value interest rate swaps and cross-currency swaps; bootstrap a par-coupon discount curve; compute DV01, par rate, fixed/floating leg PVs, and swap NPV. WHEN: Invoke for swap mark-to-market, ALM hedge book valuation, IRS package pricing, new trade fair-value verification, or any task requiring

  • workflow-derivatives-vol-surface

    WHAT: Construct and analyze the implied volatility surface (smile, term structure, skew); calibrate the SABR stochastic volatility model to the observed grid. WHEN: Invoke when building a vol surface for exotic pricing inputs, assessing vol-of-vol risk, performing pre-hedging vol risk analysis, or g

Slash commands (2)

  • /derivatives:derivatives-valuation
  • /derivatives:option-vol
View source on GitHub

Problems found in this repo's manifests

  • "cfa-data" points to ./plugins/cfa-data, which doesn't exist in the repo — install will fail
  • "cfa-pro" points to ./plugins/cfa-pro, which doesn't exist in the repo — install will fail

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