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What is a Swap Curve?

An interest rate swap is a contract where two parties exchange interest rate payments — typically one pays a fixed rate and receives a floating rate (or vice versa). The swap curve plots the fixed rates at which swaps can be executed across different maturities (2-year, 5-year, 10-year, 30-year, etc.). It is one of the most important references in fixed income markets because it reflects the market’s expectations of future interest rates, credit conditions, and funding costs. The swap spread — the difference between the swap rate and the government bond yield at the same maturity — is a key indicator of financial system health. Swap spreads widen when credit concerns or funding stresses increase, and narrow when conditions are stable. Rates strategists analyze the shape of the swap curve (steep vs. flat vs. inverted) and the relationship between different tenors to identify trading opportunities.

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Command

/analyze-swap-curve <currency e.g. EUR> [index e.g. ESTR]
Builds and analyzes the swap curve, overlays government yields and inflation breakevens, and identifies curve trade opportunities.

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Workflow

1

Discover Swap Templates

Calls ir_swap in list mode to find available indices and tenors.
2

Build Swap Curve

Calls ir_swap in price mode for standard tenors (2Y through 30Y). Extracts par swap rates and DV01.
3

Overlay Government Curve

Calls interest_rate_curve to compute swap spreads at each tenor.
4

Decompose Real Rates

Calls inflation_curve to compute real swap rate = nominal minus inflation breakeven.
5

Synthesize

Computes curve metrics (2s10s slope, 5s30s slope, butterfly), identifies trade opportunities, and presents with DV01-neutral sizing.

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Output

Lead with curve shape summary and key metrics. Follow with swap curve table, swap spreads, real rate decomposition, and trade recommendations. See the Swap Curve Strategy skill for domain knowledge on curve analysis and trade construction.