Fx Carry Trade

This is a structured workflow for evaluating FX carry trades by chaining together spot rates, forward curves, volatility surfaces, and historical data through MCP tools. You feed it a currency pair and it walks through pricing the carry, mapping the term structure across tenors, computing carry-to-vol ratios, and overlaying skew signals from the vol surface. The output is a table of risk-adjusted metrics across 1M to 1Y and a trade recommendation with tenor, carry yield, and conviction level. It's opinionated about carry-to-vol being the key metric and treats rising vol as the primary kill signal. Use this when you need to systematically compare FX carry opportunities or justify a positioning recommendation with more rigor than eyeballing forward points.

skills.sh installs: 1.8K
GitHub stars: 41.2K
last updated: Aug 21, 2026

View on GitHub

Install

$ npx -y skills add anthropics/financial-services --skill fx-carry-trade --agent claude-code

Installs into .claude/skills of the current project.

Files

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.