# Curve Desk

> An interest rate swap curve sheet that runs in the browser - bootstrapped zero and forward
> rates, DV01 per tenor, swap spreads, real yields, slopes, butterflies and DV01-neutral curve
> trades with their carry and roll-down - followed by a paid review that reads the curve like a
> rates strategist and names the curve trade the shape supports, or none. Every number the review
> writes is checked against the sheet. https://curve-desk.skillsafe.ai/

Curve Desk is a web app on SkillSafe derived from the agent skill @anthropics/swap-curve-strategy
(anthropics/financial-services-plugins, Apache-2.0). It runs on gpt-terra and is metered per review;
the sheet itself is free and needs no account.

## Input

One currency's par swap curve, one tenor per line: tenor (2Y, 10y, 18M or a bare number of years)
and par swap rate in percent, then optionally the government bond yield and the inflation
breakeven at the same tenor (a dash leaves a cell empty). Spaces, commas, tabs or pipes separate
columns; a header row naming tenor, swap, govt and breakeven columns is read in any order. Also:
an optional curve name, the fixed-leg frequency (annual, semiannual or quarterly), the carry
horizon (1, 3, 6 or 12 months) and the risk per leg in dollars per basis point.

## What the free sheet computes

- A single-curve (OIS) bootstrap: par rates interpolated linearly between pillars onto the
  fixed-leg grid, accruals of exactly 1/frequency, discount factors solved period by period so
  every pasted par rate reprices exactly; log-linear discount factors between grid points.
- Zero rates (annually compounded), the 1y forward curve, and forward swap rates (1y1y, 2y1y,
  1y2y, 2y3y, 5y5y, 1y10y, 10y10y, 10y20y, 20y10y where the curve reaches).
- Annuity and DV01 per $1m notional at every tenor.
- Swap spreads (swap minus government) and real yields (government minus breakeven).
- Slopes 2s5s, 2s10s, 5s30s, 10s30s; butterflies 2s5s10s and 5s10s30s, both 50/50 and against the
  maturity-weighted line through the wings.
- The shape from 2s10s: inverted below -10 bp, flat to +30 bp, normal to +120 bp, steep above. The
  belly: cheap if it sits more than 5 bp above the line through the wings, rich if more than 5 bp
  below.
- DV01-neutral steepeners and flatteners (2s10s, 5s30s) and maturity-weighted butterflies
  (receive or pay the belly of 2s5s10s and 5s10s30s), with notionals for the chosen risk per leg,
  and carry and roll-down per leg and per trade over the horizon with the curve unchanged (carry =
  forward swap rate at the horizon minus spot; roll = spot minus the rolled-down par rate).
- Baseline: pin a sheet, paste the next day's curve, and every pillar, swap spread, slope, fly
  and forward shows its change in bp (kept in this browser, per signed-in person).
- Exports: sheet Markdown, pillars CSV, trade legs CSV (one row per leg with the exact notional
  and DV01), forwards CSV and a changes CSV.
- Flags: kinked pillars (which make the curve signals untrusted), inverted segments, a humped
  curve, forward jumps, negative forwards, negative or wide swap spreads, negative real yields, an
  extrapolated short end, interpolated tenors, a sparse curve, and standard tenors not covered.

## What the review returns

One JSON object: `shape` and `belly` (copied from the sheet), `stance` (one of the sized trade ids,
or no_trade - required when the signals are untrusted), `headline`, `curve_read`, `spreads_read`,
`trade` (construction, sizing, carry, exit), `alternatives` (id, why), `risks` (risk, severity,
tenors, watch), `flag_responses` (one per flag), `checks`, `summary`.

## Limits

It does not know market levels, history, volatility or the policy path, so it never calls a slope
rich or cheap against its past. It ignores swap-versus-bond quoting conventions, separate
projection and discount curves, convexity and real swap stub conventions. It is analysis, not
investment advice.

## Links

- App: https://curve-desk.skillsafe.ai/
- API tutorial: https://curve-desk.skillsafe.ai/api.html
- Source skill: https://skillsafe.ai/skill/@anthropics/swap-curve-strategy