claude

fin-credit

Credit spreads, CDS mechanics and ratings migration - Z-spread against I-spread against G-spread and OAS and when they diverge, the ISDA standard model and points upfront, what TRACE actually reports and what its dissemination caps censor, and ratings migration matrices and the embedding problem that puts negative probabilities in a six-month root. Four skills, each with an executable script and a measured trap. CDS indices and tranches, default and recovery data, and portfolio loss models are planned and not here yet.

1 on GitHubv0.1.0MITupdated 1 month ago
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Plugin fin-credit from marketplace fin-skills in howard-lynn-ye/fin-skills. Commands read from the repo's manifest — 1 month ago.

What it installs

Skills (4)

  • cds-mechanics-and-upfront

    Turn a CDS quote into the cash that actually changes hands - standard coupons, points upfront, the risky annuity, the IMM roll and the accrual rebate. TRIGGER - points upfront, upfront payment on a CDS, convert spread to upfront, conventional spread, quoted spread vs par spread, ISDA CDS Standard Mo

  • corporate-bond-data-and-trace

    Use FINRA TRACE corporate bond data without inheriting the two things it does not tell you - the 15-minute reporting window and the size caps that censor volume. TRIGGER - TRACE, FINRA trade reporting, corporate bond tape, bond transaction data, "how fast are bond trades reported", one-minute TRACE

  • credit-spread-measures

    Work out which spread a corporate bond quote actually is and what it was measured against, so two "spreads" on the same bond stop disagreeing. TRIGGER - Z-spread, I-spread, G-spread, benchmark spread, spread to Treasuries, asset swap spread, ASW, par/par asset swap, discount margin, DM on a floater,

  • ratings-transitions-and-migration

    Estimate and use a credit rating transition matrix without producing negative probabilities or a five-year default rate that is five times the wrong number. TRIGGER - rating transition matrix, migration matrix, credit migration, cohort estimator, duration estimator, Aalen-Johansen, Nelson-Aalen gene

View source on GitHub

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