d-wwei Review Fixed Income Portfolio
This command uses LSEG bond pricing, YieldBook analytics, and yield curve tools. See CONNECTORS.md for available tools.
Produce a consolidated fixed income portfolio risk and return report by pricing all holdings, enriching with reference data, projecting cashflows, and stress testing under rate scenarios.
See the fixed-income-portfolio skill for domain knowledge on portfolio analytics and scenario analysis.
Workflow
1. Gather Portfolio Holdings
Ask the user for:
- Bond identifiers (required) — comma-separated ISINs, CUSIPs, or RICs
- Position sizes/weights (optional — if not provided, assume equal weight)
- Specific scenario to test (optional — e.g., "+100bp", defaults to standard grid)
- Valuation date (optional, defaults to today)
2. Price All Bonds
Call bond_price with all identifiers.
Extract per bond: clean/dirty price, yield, duration, convexity, DV01, currency.
Aggregate portfolio-level: weighted yield, weighted duration, total DV01, total market value.
3. Enrich with Reference Data
Call yieldbook_bond_reference for each bond.
Extract: security type, sector, ratings, coupon type, call features, issuer, country.
Build composition breakdowns: by sector, rating, maturity bucket, currency.
4. Project Cashflows
Call yieldbook_cashflow for each bond.
Aggregate into quarterly cashflow waterfall. Flag periods with concentrated maturities.
5. Run Scenario Analysis
Call yieldbook_scenario with rate shifts: -200bp, -100bp, -50bp, 0bp, +50bp, +100bp, +200bp.
Identify which bonds contribute most to upside and downside risk.
6. Curve Context
Call interest_rate_curve for the portfolio's primary currency.
Compute spread to curve for each bond. Assess curve environment.
7. Synthesize the Report
Present: portfolio summary metrics, composition breakdowns, cashflow waterfall, scenario P&L table with risk contributors, and curve exposure.
Output Format
Lead with the portfolio summary metrics, then detail composition, cashflows, and risk analysis in sections.