AgentSkillsCN

swaps

涵盖利率及跨币种结构的掉期定价、基于收益率曲线的贴现、敏感性分析以及基差监控等环节的掉期流程。当任务涉及掉期定价、DV01或PV01风险分析、基差利差分析，或对掉期组合进行生产监控时，可予以采用。

SKILL.md
--- frontmatter
name: swaps
description: "Swaps workflows for valuation, curve-based discounting, sensitivity analytics, and basis monitoring across interest-rate and cross-currency structures. use when tasks involve swap pricing, dv01 or pv01 risk, basis spread analysis, or production monitoring of swap books."

Swaps

objective

Price and monitor swap portfolios with curve-consistent valuation and robust sensitivity controls.

workflow

  1. •define product taxonomy, day-count conventions, and curve inputs.
  2. •value fixed and floating legs with consistent discount and forward curves.
  3. •compute pv, dv01, carry, and basis sensitivities at trade and portfolio levels.
  4. •validate valuation versus market marks and independent checks.
  5. •release only when pricing controls and sensitivity validation pass thresholds.

required validation

  • •model-versus-market pricing error by tenor and counterparty.
  • •dv01 and key-rate sensitivity concentration validation.
  • •basis spread behavior across currencies and tenors.
  • •carry and roll-down attribution consistency.
  • •curve-shock stress loss distribution.

risk controls

  • •enforce valuation tolerance bands and exception escalation.
  • •enforce sensitivity and concentration limits per curve bucket.
  • •enforce fallback valuation path on curve-data failures.

outputs

  • •run python scripts/swaps_validation.py input.csv --output validation.json and keep the json artifact.
  • •write an implementation memo using references/swaps-playbook.md with assumptions, tests, limits, and rollout plan.

resources

  • •use scripts/swaps_validation.py for deterministic validation.
  • •use references/swaps-playbook.md for the domain checklist and delivery structure.