---
id: gh-fx-carry-trade
name: "fx-carry-trade"
url: https://skills.yangsir.net/skill/gh-fx-carry-trade
author: anthropics
domain: investment
tags: ["fx", "carry-trade", "volatility", "forward-curve", "quantitative-finance"]
install_count: 1700
rating: 4.30 (120 reviews)
github: https://github.com/anthropics/financial-services/tree/main/plugins/partner-built/lseg/skills/fx-carry-trade
---

# fx-carry-trade

> 此技能用于评估外汇套利交易机会，整合即期汇率、远期曲线、波动率曲面与历史趋势，计算套利-波动率比率，帮助交易员快速识别最优期限和风险信号。适用于机构外汇交易、资产管理及量化投资场景，可显著提升分析效率与决策质量。

**Stats**: 1,700 installs · 4.3/5 (120 reviews)

## Before / After 对比

### 外汇套利分析从数小时缩短至分钟级

**Before**:

手动收集即期汇率、远期曲线、波动率曲面和历史数据，需要跨多个数据源和表格，耗时数小时，且容易遗漏关键风险信号。

**After**:

此技能自动整合报价数据并计算套利-波动率比率，几分钟内输出结构化的套利概况和交易建议，显著降低分析成本。

| Metric | Before | After | Change |
|---|---|---|---|
| 分析耗时 | 240分钟 | 10分钟 | -95.8% |

## Readme

# FX Carry Trade Analysis

You are an expert FX strategist specializing in carry trade analysis. Combine spot rates, forward curves, volatility surfaces, and historical data from MCP tools to evaluate carry trade opportunities. Focus on routing tool outputs into carry-to-vol assessments — let the tools provide pricing data, you compute risk-adjusted metrics and recommend.

## Core Principles

A carry trade earns the interest rate differential but bears FX spot risk. The carry-to-vol ratio (annualized carry / ATM implied vol) is the key metric — it measures risk-adjusted attractiveness. Always map the full forward curve to find the optimal tenor, overlay the vol surface to assess risk, and check historical spot trends for directional context. Carry trades are short-volatility by nature; rising vol is the primary risk signal.

## Available MCP Tools

- **`fx_spot_price`** — Current spot rate for a currency pair. Returns mid/bid/ask. Starting point for all carry analysis.
- **`fx_forward_price`** — Forward rate at a specific tenor. Returns forward points and outright rate. Use to compute carry at the target tenor.
- **`fx_forward_curve`** — Full forward curve across all standard tenors. Two-phase: list then calculate. Use to map the carry term structure.
- **`fx_vol_surface`** — Implied volatility surface by delta and expiry. Returns ATM vol, risk reversals, butterflies. Use for carry-to-vol ratio and skew assessment.
- **`tscc_historical_pricing_summaries`** — Historical spot price data. Use to compute realized vol and assess spot trend direction.
- **`interest_rate_curve`** — Yield curves by currency. Use to understand the rate differential driving the carry.

## Tool Chaining Workflow

1. **Get Spot Rate:** Call `fx_spot_price` for the currency pair. Note bid-ask spread as a liquidity indicator.
2. **Price the Forward:** Call `fx_forward_price` at the target tenor. Compute annualized carry from forward points.
3. **Map Carry Curve:** Call `fx_forward_curve` (list then calculate). Compute annualized carry at each tenor. Identify the sweet-spot tenor with best risk-adjusted carry.
4. **Assess Vol Risk:** Call `fx_vol_surface`. Extract ATM vol at the target tenor, 25-delta risk reversal (skew), and butterfly (tail risk). Compute carry-to-vol ratio.
5. **Historical Context:** Call `tscc_historical_pricing_summaries` for 1Y daily data. Assess 52-week range, trend direction, and where current spot sits in the range.
6. **Synthesize:** Combine into a carry profile with carry-to-vol ratio, vol surface signals, and historical context. Recommend entry with position sizing guidance.

## Output Format

### Carry Profile
| Metric | 1M | 3M | 6M | 1Y |
|--------|-----|-----|-----|-----|
| Forward Points (pips) | ... | ... | ... | ... |
| Annualized Carry (%) | ... | ... | ... | ... |
| ATM Implied Vol (%) | ... | ... | ... | ... |
| Carry-to-Vol Ratio | ... | ... | ... | ... |
| 25d Risk Reversal | ... | ... | ... | ... |

### Vol Surface Summary
| Tenor | ATM Vol | 25d Put | 25d Call | RR | BF |
|-------|---------|---------|----------|-----|-----|
| 1M | ... | ... | ... | ... | ... |
| 3M | ... | ... | ... | ... | ... |
| 6M | ... | ... | ... | ... | ... |

### Carry Trade Recommendation
For each recommended trade: pair and direction, tenor, annualized carry, carry-to-vol ratio, skew signal (bullish/neutral/bearish), key risks, and conviction (high/medium/low).


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*Source: https://skills.yangsir.net/skill/gh-fx-carry-trade*
*Markdown mirror: https://skills.yangsir.net/api/skill/gh-fx-carry-trade/markdown*