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fixed-income-sovereign

joellewis/finance_skills

Analyze US Treasury securities and interest rate risk: bond pricing, yield curve construction, duration, convexity, TIPS, and forward/spot rate analysis. Use when the user asks about Treasury bonds, yield curve construction, interest rate risk, duration, convexity, TIPS, or breakeven inflation rates. Also trigger when users mention 'T-bills', 'T-notes', 'bond pricing', 'yield to maturity', 'inverted yield curve', 'forward rates', 'spot rates', 'DV01', 'real yields', or ask how bonds react to interest rate changes.

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安装命令

npx skills add https://github.com/joellewis/finance_skills --skill fixed-income-sovereign

SKILL.md

Fixed Income — Sovereign

Scope: US Treasuries and rates analytics. Sovereign credit risk — emerging market debt, default analysis, country risk spreads — is out of scope for this skill.

Core Concepts

Bond Pricing

The price of a bond is the present value of its future cash flows:

P = sum(t=1 to n) [C / (1+y)^t] + F / (1+y)^n

where C = coupon payment per period, y = yield to maturity per period, F = face value, n = total number of periods. For semi-annual bonds, divide the annual coupon by 2 and the annual yield by 2, and double the number of years to get n.

Yield to Maturity (YTM)

The discount rate y that solves the bond pricing equation — the single rate that equates the bond's market price to the present value of all future cash flows. Assumes reinvestment of coupons at the YTM rate. It is the standard yield measure for bonds.

Current Yield

Current Yield = Annual Coupon / Price. A simple income measure that ignores capital gains/losses and the time value of money.

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