FX Carry Trade Analysis

Core Principles

Available MCP Tools

• fx_spot_price

  — Current spot rate for a currency pair. Returns mid/bid/ask. Starting point for all carry analysis.

• fx_forward_price

  — Forward rate at a specific tenor. Returns forward points and outright rate. Use to compute carry at the target tenor.

• fx_forward_curve

  — Full forward curve across all standard tenors. Two-phase: list then calculate. Use to map the carry term structure.

• fx_vol_surface

  — Implied volatility surface by delta and expiry. Returns ATM vol, risk reversals, butterflies. Use for carry-to-vol ratio and skew assessment.

• tscc_historical_pricing_summaries

  — Historical spot price data. Use to compute realized vol and assess spot trend direction.

• interest_rate_curve

  — Yield curves by currency. Use to understand the rate differential driving the carry.

Tool Chaining Workflow

1. Get Spot Rate: Call

   fx_spot_price

   for the currency pair. Note bid-ask spread as a liquidity indicator.
2. Price the Forward: Call

   fx_forward_price

   at the target tenor. Compute annualized carry from forward points.
3. Map Carry Curve: Call

   fx_forward_curve

   (list then calculate). Compute annualized carry at each tenor. Identify the sweet-spot tenor with best risk-adjusted carry.
4. Assess Vol Risk: Call

   fx_vol_surface

   . Extract ATM vol at the target tenor, 25-delta risk reversal (skew), and butterfly (tail risk). Compute carry-to-vol ratio.
5. Historical Context: Call

   tscc_historical_pricing_summaries

   for 1Y daily data. Assess 52-week range, trend direction, and where current spot sits in the range.
6. Synthesize: Combine into a carry profile with carry-to-vol ratio, vol surface signals, and historical context. Recommend entry with position sizing guidance.

Output Format

Carry Profile

Vol Surface Summary

Carry Trade Recommendation