Fixed Income Sovereign

Handles government bond analytics from pricing and yield curves through duration and convexity. Use it when you need to bootstrap spot rates from par yields, calculate DV01 for hedging, or decompose TIPS breakeven inflation. Covers the full sovereign toolkit including forward rate derivation, key rate durations for non-parallel curve shifts, and second-order price approximations. The worked examples walk through realistic calculations like pricing a semi-annual coupon bond and estimating price changes with convexity adjustments. This is the foundation layer for fixed income work since corporate and muni spreads reference the Treasury curve.

skills.sh installs: 718
GitHub stars: 224
last updated: Aug 21, 2026

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Install

$ npx -y skills add joellewis/finance_skills --skill fixed-income-sovereign --agent claude-code

Installs into .claude/skills of the current project.

Files

Fixed Income — Sovereign

Scope: US Treasuries and rates analytics. Sovereign credit risk — emerging market debt, default analysis, country risk spreads — is out of scope for this skill.

Core Concepts

Bond Pricing

The price of a bond is the present value of its future cash flows:

P = sum(t=1 to n) [C / (1+y)^t] + F / (1+y)^n

where C = coupon payment per period, y = yield to maturity per period, F = face value, n = total number of periods. For semi-annual bonds, divide the annual coupon by 2 and the annual yield by 2, and double the number of years to get n.

Yield to Maturity (YTM)

The discount rate y that solves the bond pricing equation — the single rate that equates the bond's market price to the present value of all future cash flows. Assumes reinvestment of coupons at the YTM rate. It is the standard yield measure for bonds.