d-wwei Analyze Bond Relative Value
This command uses LSEG bond pricing, yield curves, credit curves, and scenario analysis tools. See CONNECTORS.md for available tools.
Perform relative value analysis on one or more bonds by combining pricing analytics, yield curve context, credit spread decomposition, and rate shock scenarios.
See the bond-relative-value skill for domain knowledge on spread frameworks and rich/cheap assessment.
Workflow
1. Gather Bond Identifiers
Ask the user for:
- Bond identifier(s) — ISIN, RIC, or CUSIP (required)
- Optional benchmark bond for comparison
- Valuation date (optional, defaults to today)
2. Price the Bond(s)
Call bond_price with the identifier(s).
Extract: clean/dirty price, yield, duration, convexity, DV01, currency.
If benchmark provided, price that too.
3. Get the Risk-Free Yield Curve
Call interest_rate_curve (list then calculate) for the bond's currency.
Interpolate at the bond's maturity to compute G-spread.
4. Get the Credit Spread Curve
Call credit_curve (search by country/issuerType, then calculate).
Compute residual spread = bond G-spread minus credit curve spread at matching maturity. Positive residual = cheap; negative = rich.
5. Run Scenario Analysis
Call yieldbook_scenario with parallel rate shifts: -100bp, -50bp, 0bp, +50bp, +100bp.
Extract price change and P&L under each scenario.
6. Synthesize the Report
Present: bond summary table, spread decomposition (G-spread, credit spread, residual), scenario P&L table, and rich/cheap assessment.
If benchmark provided, include side-by-side comparison.
Output Format
Lead with the rich/cheap assessment and supporting evidence. Follow with spread decomposition and scenario tables.