FX Carry Trade Analysis

Description

This Skill guides an assistant through a carry trade assessment for a currency pair. It pulls the spot rate, prices forwards, maps the forward curve, reads the implied volatility surface and checks historical spot trends. The assistant then calculates annualized carry at each tenor and divides it by ATM implied vol to get a carry-to-vol ratio. Use it when you want to compare tenors for a pair, judge whether the carry is worth the spot risk, or see how skew and tail risk look before entering a trade. The Skill relies on MCP tools for pricing data (spot, forward, forward curve, vol surface, historical pricing and interest rate curves). The assistant does the risk-adjusted calculations and the write-up. You get a carry profile table for 1M, 3M, 6M and 1Y, a vol surface summary table (ATM vol, 25-delta put and call, risk reversal, butterfly), and a recommendation per trade. Each recommendation lists pair and direction, tenor, annualized carry, carry-to-vol ratio, skew signal, key risks and a conviction level of high, medium or low, along with position sizing guidance. Source: https://github.com/anthropics/financial-services/tree/574ed3624aebd0418c7e96cd101262f30210ab26/plugins/partner-built/lseg/skills/fx-carry-trade. Published on Finch under the upstream Apache-2.0 license; the license file ships with the package.

What you get

• See annualized carry at each forward tenor in one table
• Get a carry-to-vol ratio to compare tenors and pairs on a risk-adjusted basis
• Read skew and butterfly signals alongside carry before entering a trade
• Place current spot within its 52-week range and recent trend
• Receive a recommendation with key risks and a conviction level

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