bond-spreads
Fixed income bond spread calculations with Bloomberg YAS parity. Implements Z-Spread, I-Spread, G-Spread, ASW (Asset Swap Spread), and OAS (Option-Adjusted Spread) for USD/EUR/GBP markets. Use when: (1) Calculating any bond spread measure, (2) Building yield curve bootstrapping, (3) Implementing spread solvers, (4) Working with post-LIBOR curves (SOFR/SONIA/€STR), (5) Bond pricing analytics, (6) Comparing spreads across methodologies, (7) Implementing Bloomberg YAS-equivalent functionality.
Installation
Follow the repository instructions for this skill and your agent. Review the files and dependencies before adding it to your workflow.
View source ↗GuidesSkill instructions
Features and purpose
Fixed income bond spread calculations with Bloomberg YAS parity. Implements Z-Spread, I-Spread, G-Spread, ASW (Asset Swap Spread), and OAS (Option-Adjusted Spread) for USD/EUR/GBP markets. Use when: (1) Calculating any bond spread measure, (2) Building yield curve bootstrapping, (3) Implementing spread solvers, (4) Working with post-LIBOR curves (SOFR/SONIA/€STR), (5) Bond pricing analytics, (6) Comparing spreads across methodologies, (7) Implementing Bloomberg YAS-equivalent functionality.
Quick start
Follow the repository instructions for this skill and your agent. Review the files and dependencies before adding it to your workflow.
Guides ↗Examples
Read the usage examples in the source repository.
View source ↗Source history
- Indexed on
- 2026-01-20
- Index updated
- 2026-02-06
- Branch
- main
Index and sync dates describe this directory. View the source repository for code history.
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