Bond Relative Value Analysis

Core Principles

Available MCP Tools

• bond_price

  — Price bonds. Returns clean/dirty price, yield, duration, convexity, DV01, Z-spread. Accepts ISIN, RIC, or CUSIP.

• interest_rate_curve

  — Government and swap yield curves. Two-phase: list then calculate. Use to compute G-spreads.

• credit_curve

  — Credit spread curves by issuer type. Two-phase: search by country/issuerType, then calculate. Use to isolate credit component.

• yieldbook_scenario

  — Scenario analysis with parallel rate shifts. Returns price change and P&L under each scenario.

• tscc_historical_pricing_summaries

  — Historical pricing data. Use for historical spread context and Z-score analysis.

• fixed_income_risk_analytics

  — OAS, effective duration, key rate durations. Use for callable bonds and deeper risk decomposition.

Tool Chaining Workflow

1. Price the Bond(s): Call

   bond_price

   for target and any comparison bonds. Extract yield, Z-spread, duration, convexity, DV01.
2. Get Risk-Free Curve: Call

   interest_rate_curve

   (list then calculate) for the bond's currency. Interpolate at bond maturity to compute G-spread.
3. Get Credit Curve: Call

   credit_curve

   for the issuer's country and type. Extract credit spread at the bond's maturity. Compute residual spread = G-spread minus credit curve spread.
4. Run Scenarios: Call

   yieldbook_scenario

   with parallel shifts (-100bp, -50bp, 0, +50bp, +100bp). Extract price changes and P&L per scenario.
5. Historical Context (optional): Call

   tscc_historical_pricing_summaries

   for the bond to assess where current spread sits vs history.
6. Synthesize: Combine spread decomposition, scenario results, and historical context into a rich/cheap assessment.

Output Format

Spread Decomposition

Scenario P&L

Rich/Cheap Summary