d-wwei 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.