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Bond Futures Basis

OrganizationPopular
anthropics
bond-futures-basis

Analyze the bond futures basis by pricing futures, identifying the cheapest-to-deliver, and comparing with yield curves to assess delivery option value and basis trading opportunities. Use when analyzing bond futures, computing the basis, identifying CTD bonds, calculating implied repo rates, or evaluating basis trades.

Overview

Publisheranthropics
Repositoryfinancial-services
Skill namebond-futures-basis
Stars
38.4K
Forks
5.5K
Bundled files
Instructions only
LicenseApache-2.0
Links
Skill sourceRepository
  • Markdown instructions

    A SKILL.md file the model loads on demand, so it only costs tokens when a request actually matches.

  • Works with any LLM

    AI skills are plain Markdown, not provider-specific code, so this works with GPT, Claude, Gemini, Grok, or a local model.

  • Self-contained

    Everything the model needs lives in the instructions — no extra files to sync.

  • Open source

    Published by anthropics on GitHub. Read the source before you install it.

Installation

Install the Bond Futures Basis AI skill in TypingMind to use it with any LLM, or drop it into another agent that reads SKILL.md.

1

Install in TypingMind

TypingMind installs a skill straight from its GitHub folder — it reads SKILL.md, bundles the resource files, and stores the result locally.

  1. Open the app and go to Plugins → Skills.
  2. Choose "Install from GitHub".
  3. Paste the skill folder URL below and confirm.
    https://github.com/anthropics/financial-services/tree/main/plugins/partner-built/lseg/skills/bond-futures-basis
  4. Enable the skill in any chat where you want it available.
Plugins → Skills → Add skill → From GitHub URL, then paste the folder URL and press Continue.
2

Install in another agent

Any agent that reads the Agent Skills format can use this skill — copy the folder into that agent's skills directory.

Claude Code — .claude/skills
git clone --depth 1 https://github.com/anthropics/financial-services.git /tmp/financial-services
mkdir -p .claude/skills
cp -r /tmp/financial-services/plugins/partner-built/lseg/skills/bond-futures-basis .claude/skills/bond-futures-basis
Restart Claude Code after copying so it picks up the new skill.

Use it in TypingMind

Enable Bond Futures Basis in any TypingMind chat and the model takes it from there. Its name and description sit in the system prompt, and the moment a request matches, the model loads the full instructions itself — you never invoke it by hand, and it costs no tokens until it is actually used.

The model loads Bond Futures Basis on its own as soon as a request matches it.

Works with any AI model

AI skills are plain Markdown instructions rather than provider-specific code, so Bond Futures Basis is not tied to the model it was written for. Install it once in TypingMind and use it with GPT-5, Claude, Gemini, Grok, DeepSeek, Mistral, Llama, or a local model you run yourself — all on your own API keys.

  • Loaded only when it is needed

    The system prompt carries just the name and description. The instructions are fetched on the first matching request, so an idle skill costs nothing.

  • Switch models mid-chat

    Because the skill is instructions rather than code, changing model does not break it — the next model reads the same SKILL.md.

Skill instructions

This is the SKILL.md content the model loads. Read it before installing — a skill is instructions your model will follow.

Bond Futures Basis Analysis

You are an expert in bond futures and basis trading. Combine futures pricing, cash bond analytics, yield curve data, and historical tracking to assess basis trade opportunities. Focus on routing data from MCP tools into a coherent basis analysis — let the tools compute, you interpret and present.

Core Principles

The basis sits at the intersection of cash bond pricing, repo markets, and delivery mechanics. Always start by pricing the future to identify the CTD and delivery basket, then price the CTD bond separately, compute basis metrics from the two outputs, and overlay yield curve context. The net basis represents embedded delivery option value — compare implied repo to market repo to assess whether futures are rich or cheap.

Available MCP Tools

  • bond_future_price — Price bond futures. Returns fair price, CTD identification, delivery basket with conversion factors, contract DV01.
  • bond_price — Price individual cash bonds. Returns clean/dirty price, yield, duration, DV01, convexity.
  • interest_rate_curve — Government yield curves. Two-phase: list available curves, then calculate. Use short end as repo rate proxy.
  • tscc_historical_pricing_summaries — Historical OHLC data for futures and bonds. Use to track basis evolution over time.
  • credit_curve — Credit spread curves. Use for sovereign credit context when relevant.

Tool Chaining Workflow

  1. Price the Future: Call bond_future_price with the contract RIC. Extract CTD bond identifier, conversion factors, delivery basket, contract DV01, delivery dates.
  2. Price the CTD Bond: Call bond_price for the CTD identified in step 1. Extract clean/dirty price, yield, duration, DV01.
  3. Compute Basis Metrics: From the two outputs, compute gross basis, carry, net basis (BNOC), and implied repo rate. Compare implied repo to market short-term rate.
  4. Yield Curve Context: Call interest_rate_curve — list then calculate for the future's currency. Use short-end rate as repo proxy for the implied repo comparison.
  5. Historical Context: Call tscc_historical_pricing_summaries for both the future and CTD bond (3M daily). Assess basis trend, volatility, and current percentile.
  6. Sovereign Credit (optional): Call credit_curve for the relevant sovereign to check for credit-driven basis distortions.

Output Format

Future Summary

FieldValue
Contract...
Fair Price...
CTD Bond...
Conversion Factor...
Contract DV01...

CTD Bond Analytics

FieldValue
Clean Price...
YTM...
Duration...
DV01...

Basis Calculation

MetricValue
Gross Basis... ticks
Carry... ticks
Net Basis... ticks
Implied Repo...%
Market Repo (approx)...%
AssessmentRich / Fair / Cheap

Historical Basis Context

MetricCurrent3M Avg6M AvgPercentile
Net Basis............th
Implied Repo............th

Lead with the basis trade assessment (long/short/neutral) and implied repo comparison. Follow with detailed analytics tables.

Frequently asked questions

What does the Bond Futures Basis AI skill do?

Analyze the bond futures basis by pricing futures, identifying the cheapest-to-deliver, and comparing with yield curves to assess delivery option value and basis trading opportunities. Use when analyzing bond futures, computing the basis, identifying CTD bonds, calculating implied repo rates, or evaluating basis trades.

Why use Bond Futures Basis on TypingMind?

Because you install it once and use it with any model. Bond Futures Basis is plain Markdown rather than provider-specific code, so the same skill runs on GPT-5, Claude, Gemini, Grok, or a local model — and you can switch model mid-chat without it breaking. TypingMind runs on your own API keys, so you pay providers directly instead of a per-seat subscription, and your skills and chats stay in your own storage.

How do I install Bond Futures Basis in TypingMind?

Open Plugins → Skills → Install from GitHub in TypingMind and paste https://github.com/anthropics/financial-services/tree/main/plugins/partner-built/lseg/skills/bond-futures-basis. TypingMind reads its SKILL.md and installs it as a skill you can enable per chat.

Which AI models can use Bond Futures Basis?

Any model you connect in TypingMind. AI skills are plain Markdown instructions rather than provider-specific code, so GPT, Claude, Gemini, Grok, and local models can all load this skill when a request matches it.

How many AI models can I use with Bond Futures Basis?

As many as you like. As long as a model supports skills, you can use Bond Futures Basis with it — GPT, Claude, Gemini, Grok, DeepSeek, Mistral, Llama and more — all on TypingMind with your own API keys.

Is the Bond Futures Basis AI skill free?

Yes. It is published on GitHub by anthropics under the Apache-2.0 license. You only pay your own AI provider for the tokens you use.

What are AI skills?

An AI skill is a reusable instruction bundle that teaches an AI model how to do one specific task. It follows the open Agent Skills format: a SKILL.md file with a name and description, plus any scripts, templates or reference files the model may need. The model reads the instructions only when your request matches the skill, so an installed skill costs nothing until it is used.

How are AI skills different from plugins or MCP servers?

A plugin or MCP server gives a model new tools to call — code that runs somewhere and returns a result. An AI skill gives the model knowledge and process instead: how to approach a task, which steps to follow, what good output looks like. Skills are plain Markdown, so they need no server, no API key and no runtime, and they work with any model.

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