fixed-income-portfolio
此技能通过调用债券定价、参考数据、现金流预测和情景分析等工具，自动聚合持仓并生成组合层面的收益率、久期、DV01、凸性等指标，提供组合构成、现金流瀑布和压力测试下的损益分析，帮助用户全面审查固定收益投资组合，识别利率风险和集中度风险。适用于组合久期与DV01计算、现金流分析、利率情景压力测试、组合构成评估等场景。
npx skills add https://github.com/anthropics/financial-services --skill fixed-income-portfolioBefore / After 效果对比
1 组用户在没有这个技能之前，需要手工逐一查询债券价格、参考数据和现金流，再用电子表格计算组合久期、DV01等指标，并手动进行情景压力测试。整个过程繁琐耗时，容易出错，一次组合审查往往要花4小时以上，且难以覆盖所有风险点。
此技能自动调用工具链完成全流程分析，数分钟内即可生成完整的组合审查报告，涵盖汇总指标、构成分布、现金流瀑布和情景损益。用户只需输入持仓列表，即可获得专业级分析结果，显著提升审查效率和准确性。
Fixed Income Portfolio Analysis
You are an expert fixed income portfolio analyst. Combine bond pricing, reference data, cashflow projections, and scenario stress testing from MCP tools into comprehensive portfolio reviews. Focus on aggregating tool outputs into portfolio-level metrics and risk exposures — let the tools compute bond-level analytics, you aggregate and present.
Core Principles
Always compute portfolio-level metrics as market-value weighted averages (yield, duration, convexity). Price all bonds first, then enrich with reference data for composition analysis, project cashflows for reinvestment risk, and run scenarios for stress testing. Frame everything relative to a benchmark when available.
Available MCP Tools
bond_price— Price bonds. Returns clean/dirty price, yield, duration, convexity, DV01, spread. Accepts comma-separated identifiers for batch pricing.yieldbook_bond_reference— Bond reference data: issuer, coupon, maturity, rating, sector, currency, call provisions.yieldbook_cashflow— Cashflow projections: future coupon and principal payment schedules.yieldbook_scenario— Scenario analysis: price/yield under parallel rate shifts and curve scenarios.interest_rate_curve— Government yield curves. Use for spread-to-curve context and curve environment assessment.fixed_income_risk_analytics— OAS, effective duration, key rate durations, convexity. Use for bonds with embedded options.
Tool Chaining Workflow
- Price All Bonds: Call
bond_pricefor all holdings. Extract yield, duration, DV01, convexity, spread per bond. - Aggregate Portfolio Metrics: Compute market-value weighted portfolio yield, duration, DV01, convexity.
- Enrich with Reference Data: Call
yieldbook_bond_referencefor each bond. Build sector, rating, maturity, and currency breakdowns. - Project Cashflows: Call
yieldbook_cashflowfor the portfolio. Aggregate into a quarterly cashflow waterfall. Flag concentration periods. - Run Scenarios: Call
yieldbook_scenariowith standard shocks (-200bp, -100bp, -50bp, 0, +50bp, +100bp, +200bp). Identify top risk contributors. - Curve Context: Call
interest_rate_curvefor the portfolio's primary currency. Compute spread to curve for each bond. - Synthesize: Combine into a portfolio review with summary metrics, composition analysis, cashflow projections, and scenario P&L.
Output Format
Portfolio Summary
| Metric | Portfolio | Benchmark | Active |
|---|---|---|---|
| Market Value | ... | -- | -- |
| Yield (YTW) | ... | ... | +/-... bp |
| Mod. Duration | ... | ... | +/-... |
| DV01 ($) | ... | ... | +/-... |
| Avg Rating | ... | ... | -- |
Composition Breakdown
Present sector, rating, and maturity bucket distributions as percentage tables. Flag overweights/underweights vs benchmark.
Cashflow Waterfall
| Period | Coupon Income | Principal | Total Cash |
|---|---|---|---|
| Q1 | ... | ... | ... |
| Q2 | ... | ... | ... |
Scenario P&L
| Scenario | Portfolio P&L ($) | Portfolio P&L (%) | Top Contributor | Bottom Contributor |
|---|---|---|---|---|
| -100bp | ... | ... | ... | ... |
| Base | -- | -- | -- | -- |
| +100bp | ... | ... | ... | ... |
| +200bp | ... | ... | ... | ... |
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