claude

fin-fixed-income

Bonds, rates and the conventions every other fixed-income number sits on - day counts and accrued interest, gilt ex-dividend windows and negative accrued, yield measures and bill discount quotes, duration convexity and DV01, SOFR compounded in arrears, LIBOR fallbacks under Regulation ZZ, and OIS multi-curve discounting. One skill per topic, each with an executable script and a measured trap.

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

What it installs

Skills (7)

  • bond-conventions-and-accrued

    Compute accrued interest, clean and dirty prices and day-count year fractions on a bond without silently picking the wrong convention. TRIGGER - accrued interest, day count, daycount, ACT/ACT ICMA vs ISMA vs ISDA, ACT/365F, ACT/360, 30/360, 30E/360, 30E/360 ISDA, Thirty360 BondBasis vs USA vs Europe

  • duration-convexity-and-dv01

    Get the right duration number and the right DV01, for a bond, a floater or a hedge ratio. TRIGGER - Macaulay vs modified duration, effective duration, spread duration, key rate duration, DV01, PV01, BPV, dollar duration, basis point value, convexity, "my hedge ratio is off by a few percent", "durati

  • ex-dividend-and-rebate-interest

    Handle bonds that trade ex-dividend, where accrued interest goes negative and the buyer is paid rebate interest instead of paying it. TRIGGER - gilt, UK gilt, ex-dividend, ex-div, ex-coupon, exCouponPeriod, rebate interest, negative accrued interest, "my accrued interest is negative", "accrued shoul

  • libor-transition-and-fallbacks

    Work out what a US dollar LIBOR contract actually falls back to under the LIBOR Act, and why the spread everyone quotes is the easy half. TRIGGER - LIBOR fallback, LIBOR transition, Regulation ZZ, 12 CFR 253, LIBOR Act, Board-selected benchmark replacement, tenor spread adjustment, 26.161 bp, 0.2616

  • ois-discounting-and-multi-curve

    Price a swap with separate projection and discount curves, and catch the single-curve bug that the standard par-reprice check cannot see. TRIGGER - OIS discounting, CSA discounting, collateral discounting, multi-curve, dual curve, projection curve vs discount curve, tenor basis, "my swap reprices at

  • sofr-and-rfr-compounding

    Compute a compounded-in-arrears overnight rate correctly - SOFR, SONIA, ESTR, TONA, SARON - including the lookback, lockout and observation-shift conventions. TRIGGER - SOFR compounded in arrears, SOFR Index, SOFR Averages, 30-day 90-day 180-day SOFR average, compounded RFR, daily compounding of an

  • yield-measures-and-bill-quotes

    Turn a bond or bill price into the right yield, and stop treating a discount rate as one. TRIGGER - yield to maturity, YTM, current yield, yield to call, yield to worst, YTW, running yield, redemption yield; Treasury bill discount rate vs bond-equivalent yield, BEY, coupon-equivalent yield, investme

View source on GitHub

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