fixed-income

Name: fixed-income
Author: agiprolabs

189installs53forks

How to install fixed-income?

agiprolabs/claude-trading-skills/fixed-income

$npx -y skills add agiprolabs/claude-trading-skills --skill fixed-income

Installs into the current project.

Summary

[STUB] Bond pricing, yield curves, duration and convexity analysis, and DeFi lending rate modeling

Files · 1

View on GitHub

SKILL.md

1	# Fixed Income
2
3	> Status: STUB — This skill provides a basic bond calculator and an overview of planned capabilities. Full implementation is awaiting community contribution.
4
5	Fixed income analysis bridges traditional bond mathematics with DeFi lending rate modeling. Bond pricing fundamentals — present value of cash flows, yield curves, duration, and convexity — translate directly to analyzing DeFi lending protocols where depositors earn variable or fixed rates on crypto assets.
6
7	On Solana, lending protocols like Marginfi, Kamino, and Solend offer variable-rate lending/borrowing. Understanding term structure and rate dynamics helps optimize yield farming strategies and compare opportunities across protocols.
8
9	This skill is informational and analytical only. It does not provide financial advice or trading recommendations.
10
11	---
12
13	## Current Capabilities
14
15	This stub includes a working bond calculator with price, yield-to-maturity, duration, and convexity computations. See `scripts/bond_calculator.py` for the implementation.
16
17	```python
18	def bond_price(
19	face: float, coupon_rate: float, ytm: float, periods: int, freq: int = 2
20	) -> float:
21	"""Calculate bond price as present value of all cash flows.
22
23	Args:
24	face: Face (par) value of the bond.
25	coupon_rate: Annual coupon rate (decimal, e.g., 0.05 for 5%).
26	ytm: Yield to maturity (annual, decimal).
27	periods: Number of coupon periods remaining.
28	freq: Coupon frequency per year (2 = semi-annual).
29
30	Returns:
31	Bond price (dirty price).
32	"""
33	coupon = face * coupon_rate / freq
34	y = ytm / freq
35	pv_coupons = sum(coupon / (1 + y) ** t for t in range(1, periods + 1))
36	pv_face = face / (1 + y) ** periods
37	return pv_coupons + pv_face
38	```
39
40	Run the demo:
41
42	```bash
43	python scripts/bond_calculator.py --demo
44	```
45
46	---
47
48	## Planned Capabilities
49
50	When fully implemented, this skill will cover:
51
52	### Bond Pricing
53
54	\| Concept \| Description \|
55	\|---------\|-------------\|
56	\| Clean/Dirty Price \| Price excluding/including accrued interest \|
57	\| Accrued Interest \| Interest earned since last coupon date \|
58	\| Day Count Conventions \| 30/360, ACT/360, ACT/365, ACT/ACT \|
59	\| Zero-Coupon Bonds \| Discount bonds with no periodic coupons \|
60
61	### Yield Measures
62
63	\| Yield Measure \| Use Case \|
64	\|---------------\|----------\|
65	\| Yield to Maturity (YTM) \| Total return if held to maturity \|
66	\| Current Yield \| Annual coupon / price \|
67	\| Yield to Call \| Return if called at first call date \|
68	\| Spread to Benchmark \| Credit risk premium over risk-free rate \|
69
70	### Duration and Convexity
71
72	\| Metric \| Measures \|
73	\|--------\|----------\|
74	\| Macaulay Duration \| Weighted average time to cash flows \|
75	\| Modified Duration \| Price sensitivity to yield changes \|
76	\| Effective Duration \| Duration for bonds with embedded options \|
77	\| Convexity \| Second-order price sensitivity \|
78	\| Dollar Duration (DV01) \| Dollar change per 1bp yield move \|
79
80	### Yield Curve Construction
81
82	\| Method \| Description \|
83	\|--------\|-------------\|
84	\| Bootstrap \| Extract spot rates from par bond prices \|
85	\| Nelson-Siegel \| Parametric model with level, slope, curvature \|
86	\| Nelson-Siegel-Svensson \| Extended model with additional curvature term \|
87	\| Cubic Spline \| Non-parametric interpolation \|
88
89	### DeFi Lending Rate Analysis
90
91	\| Protocol \| Chain \| Type \|
92	\|----------\|-------\|------\|
93	\| Marginfi \| Solana \| Variable rate \|
94	\| Kamino \| Solana \| Variable rate \|
95	\| Solend \| Solana \| Variable rate \|
96	\| Aave \| Ethereum/Multi \| Variable + stable rate \|
97	\| Compound \| Ethereum \| Variable rate \|
98
99	Planned DeFi features:
100	- Lending rate time series analysis
101	- Supply/borrow APY comparison across protocols
102	- Utilization rate impact on lending rates
103	- Fixed vs variable rate comparison (when fixed-rate protocols available)
104	- Rate arbitrage opportunity detection
105
106	---
107
108	## Prerequisites
109
110	```bash
111	# For full implementation
112	uv pip install numpy scipy
113
114	# For visualization
115	uv pip install matplotlib
116	```
117
118	The included `scripts/bond_calculator.py` uses only the Python standard library and runs without any dependencies.
119
120	---
121
122	## Use Cases
123
124	### Yield Farming Comparison
125	Compare DeFi lending rates across protocols using fixed income analytics. Annualize variable rates, compute effective yields accounting for compounding frequency, and identify the most capital-efficient opportunities.
126
127	### Lending Rate Analysis
128	Track lending rates over time to understand rate dynamics. Identify periods of rate compression (low utilization) vs rate expansion (high utilization) to time deposits optimally.
129
130	### Rate Arbitrage
131	Borrow at lower rates on one protocol and lend at higher rates on another. Duration and convexity concepts help assess the risk of rate changes during the arbitrage holding period.
132
133	### Risk Assessment
134	Use duration to estimate how lending positions change in value as rates move. Higher duration means greater sensiti

agiprolabsPublisher · 61 listings

Preview

agiprolabs/claude-trading-skills

# Fixed Income

> **Status: STUB** — This skill provides a basic bond calculator and an overview of planned capabilities. Full implementation is awaiting community contribution

Fixed income analysis bridges traditional bond mathematics with DeFi lending rate modeling. Bond pricing fundamentals — present value of cash flows, yield curve

On Solana, lending protocols like Marginfi, Kamino, and Solend offer variable-rate lending/borrowing. Understanding term structure and rate dynamics helps optim

Repoagiprolabs/claude-trading-skills

LicenseMIT

TypeSkills

CategoryFinance

UpdatedJun 2026

Repo stars235

First seenJul 22, 2026

People who liked this also viewed

6 picks

Type

fixed-income

189installs53forks

View on GitHub

How to install fixed-income?

agiprolabs/claude-trading-skills/fixed-income

$npx -y skills add agiprolabs/claude-trading-skills --skill fixed-income

Installs into the current project.

Summary

[STUB] Bond pricing, yield curves, duration and convexity analysis, and DeFi lending rate modeling

Files · 1

View on GitHub

SKILL.md

1	# Fixed Income
2
3	> Status: STUB — This skill provides a basic bond calculator and an overview of planned capabilities. Full implementation is awaiting community contribution.
4
5	Fixed income analysis bridges traditional bond mathematics with DeFi lending rate modeling. Bond pricing fundamentals — present value of cash flows, yield curves, duration, and convexity — translate directly to analyzing DeFi lending protocols where depositors earn variable or fixed rates on crypto assets.
6
7	On Solana, lending protocols like Marginfi, Kamino, and Solend offer variable-rate lending/borrowing. Understanding term structure and rate dynamics helps optimize yield farming strategies and compare opportunities across protocols.
8
9	This skill is informational and analytical only. It does not provide financial advice or trading recommendations.
10
11	---
12
13	## Current Capabilities
14
15	This stub includes a working bond calculator with price, yield-to-maturity, duration, and convexity computations. See `scripts/bond_calculator.py` for the implementation.
16
17	```python
18	def bond_price(
19	face: float, coupon_rate: float, ytm: float, periods: int, freq: int = 2
20	) -> float:
21	"""Calculate bond price as present value of all cash flows.
22
23	Args:
24	face: Face (par) value of the bond.
25	coupon_rate: Annual coupon rate (decimal, e.g., 0.05 for 5%).
26	ytm: Yield to maturity (annual, decimal).
27	periods: Number of coupon periods remaining.
28	freq: Coupon frequency per year (2 = semi-annual).
29
30	Returns:
31	Bond price (dirty price).
32	"""
33	coupon = face * coupon_rate / freq
34	y = ytm / freq
35	pv_coupons = sum(coupon / (1 + y) ** t for t in range(1, periods + 1))
36	pv_face = face / (1 + y) ** periods
37	return pv_coupons + pv_face
38	```
39
40	Run the demo:
41
42	```bash
43	python scripts/bond_calculator.py --demo
44	```
45
46	---
47
48	## Planned Capabilities
49
50	When fully implemented, this skill will cover:
51
52	### Bond Pricing
53
54	\| Concept \| Description \|
55	\|---------\|-------------\|
56	\| Clean/Dirty Price \| Price excluding/including accrued interest \|
57	\| Accrued Interest \| Interest earned since last coupon date \|
58	\| Day Count Conventions \| 30/360, ACT/360, ACT/365, ACT/ACT \|
59	\| Zero-Coupon Bonds \| Discount bonds with no periodic coupons \|
60
61	### Yield Measures
62
63	\| Yield Measure \| Use Case \|
64	\|---------------\|----------\|
65	\| Yield to Maturity (YTM) \| Total return if held to maturity \|
66	\| Current Yield \| Annual coupon / price \|
67	\| Yield to Call \| Return if called at first call date \|
68	\| Spread to Benchmark \| Credit risk premium over risk-free rate \|
69
70	### Duration and Convexity
71
72	\| Metric \| Measures \|
73	\|--------\|----------\|
74	\| Macaulay Duration \| Weighted average time to cash flows \|
75	\| Modified Duration \| Price sensitivity to yield changes \|
76	\| Effective Duration \| Duration for bonds with embedded options \|
77	\| Convexity \| Second-order price sensitivity \|
78	\| Dollar Duration (DV01) \| Dollar change per 1bp yield move \|
79
80	### Yield Curve Construction
81
82	\| Method \| Description \|
83	\|--------\|-------------\|
84	\| Bootstrap \| Extract spot rates from par bond prices \|
85	\| Nelson-Siegel \| Parametric model with level, slope, curvature \|
86	\| Nelson-Siegel-Svensson \| Extended model with additional curvature term \|
87	\| Cubic Spline \| Non-parametric interpolation \|
88
89	### DeFi Lending Rate Analysis
90
91	\| Protocol \| Chain \| Type \|
92	\|----------\|-------\|------\|
93	\| Marginfi \| Solana \| Variable rate \|
94	\| Kamino \| Solana \| Variable rate \|
95	\| Solend \| Solana \| Variable rate \|
96	\| Aave \| Ethereum/Multi \| Variable + stable rate \|
97	\| Compound \| Ethereum \| Variable rate \|
98
99	Planned DeFi features:
100	- Lending rate time series analysis
101	- Supply/borrow APY comparison across protocols
102	- Utilization rate impact on lending rates
103	- Fixed vs variable rate comparison (when fixed-rate protocols available)
104	- Rate arbitrage opportunity detection
105
106	---
107
108	## Prerequisites
109
110	```bash
111	# For full implementation
112	uv pip install numpy scipy
113
114	# For visualization
115	uv pip install matplotlib
116	```
117
118	The included `scripts/bond_calculator.py` uses only the Python standard library and runs without any dependencies.
119
120	---
121
122	## Use Cases
123
124	### Yield Farming Comparison
125	Compare DeFi lending rates across protocols using fixed income analytics. Annualize variable rates, compute effective yields accounting for compounding frequency, and identify the most capital-efficient opportunities.
126
127	### Lending Rate Analysis
128	Track lending rates over time to understand rate dynamics. Identify periods of rate compression (low utilization) vs rate expansion (high utilization) to time deposits optimally.
129
130	### Rate Arbitrage
131	Borrow at lower rates on one protocol and lend at higher rates on another. Duration and convexity concepts help assess the risk of rate changes during the arbitrage holding period.
132
133	### Risk Assessment
134	Use duration to estimate how lending positions change in value as rates move. Higher duration means greater sensiti

agiprolabsPublisher · 61 listings

Preview

agiprolabs/claude-trading-skills

# Fixed Income

> **Status: STUB** — This skill provides a basic bond calculator and an overview of planned capabilities. Full implementation is awaiting community contribution

Fixed income analysis bridges traditional bond mathematics with DeFi lending rate modeling. Bond pricing fundamentals — present value of cash flows, yield curve

On Solana, lending protocols like Marginfi, Kamino, and Solend offer variable-rate lending/borrowing. Understanding term structure and rate dynamics helps optim

Repoagiprolabs/claude-trading-skills

LicenseMIT

TypeSkills

CategoryFinance

UpdatedJun 2026

Repo stars235

First seenJul 22, 2026

People who liked this also viewed

6 picks

Type