Fsi Command Analyze Fx Carry

FSI Command: /analyze-fx-carry

Overview

This is the Hermes profile equivalent of the original Cowork slash command /analyze-fx-carry from lseg. Invoke it explicitly with /skill fsi-command-analyze-fx-carry or ask in natural language for this workflow.

When to Use

• Use when the user asks for /analyze-fx-carry or a analyze fx carry financial-services workflow.
• Use when the user wants the command procedure rather than a free-form answer.

Command Procedure

Analyze FX Carry Trade

This command uses LSEG FX pricing, forward curves, volatility surfaces, and historical data tools. See CONNECTORS.md for available tools.

Evaluate carry trade opportunities for a currency pair by combining spot rates, forward points, the carry term structure, volatility risk, and historical price context.

See the fx-carry-trade skill for domain knowledge on carry frameworks and risk metrics.

Workflow

1. Gather Input

Ask the user for:

• Currency pair (required) — e.g., USDJPY, EURUSD, AUDUSD
• Target tenor (optional, default 3M)
• Valuation date (optional, defaults to today)

2. Get the Spot Rate

Call fx_spot_price with the currency pair.

Extract: mid/bid/ask rates, bid-ask spread.

3. Price the Forward at Target Tenor

Call fx_forward_price with the pair and target tenor.

Extract: forward rate, forward points. Compute annualized carry.

4. Map the Full Carry Curve

Call fx_forward_curve (list then calculate) for the pair.

Present carry profile across tenors (ON through 1Y): forward points, annualized carry, cumulative carry. Identify the sweet-spot tenor.

5. Assess Volatility Risk

Call fx_vol_surface for the pair.

Extract: ATM vol at target tenor, 25-delta risk reversal, 25-delta butterfly.

Compute carry-to-vol ratio = annualized carry / ATM implied vol.

6. Historical Spot Context

Call tscc_historical_pricing_summaries for the pair's RIC with interval: "P1D", tenor: "1Y".

Assess: 52-week range, current position in range, trend direction.

7. Synthesize the Report

Present: carry-to-vol ratio and overall assessment, spot & forward pricing, carry term structure table, vol surface snapshot, historical context.

Output Format

Lead with the carry-to-vol ratio and overall assessment (attractive / moderate / unattractive). Follow with detailed supporting data in tables.

Hermes Invocation

• Explicit: /skill fsi-command-analyze-fx-carry
• Natural language: “Use the analyze-fx-carry command workflow for ...”

Verification Checklist

• The command intent, inputs, and output format are confirmed.
• The output cites sources or clearly labels assumptions.
• The final artifact is marked draft / for human review when appropriate.