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.