Fixed Income Portfolio Analysis

Core Principles

Available MCP Tools

• bond_price

  — Price bonds. Returns clean/dirty price, yield, duration, convexity, DV01, spread. Accepts comma-separated identifiers for batch pricing.

• yieldbook_bond_reference

  — Bond reference data: issuer, coupon, maturity, rating, sector, currency, call provisions.

• yieldbook_cashflow

  — Cashflow projections: future coupon and principal payment schedules.

• yieldbook_scenario

  — Scenario analysis: price/yield under parallel rate shifts and curve scenarios.

• interest_rate_curve

  — Government yield curves. Use for spread-to-curve context and curve environment assessment.

• fixed_income_risk_analytics

  — OAS, effective duration, key rate durations, convexity. Use for bonds with embedded options.

Tool Chaining Workflow

1. Price All Bonds: Call

   bond_price

   for all holdings. Extract yield, duration, DV01, convexity, spread per bond.
2. Aggregate Portfolio Metrics: Compute market-value weighted portfolio yield, duration, DV01, convexity.
3. Enrich with Reference Data: Call

   yieldbook_bond_reference

   for each bond. Build sector, rating, maturity, and currency breakdowns.
4. Project Cashflows: Call

   yieldbook_cashflow

   for the portfolio. Aggregate into a quarterly cashflow waterfall. Flag concentration periods.
5. Run Scenarios: Call

   yieldbook_scenario

   with standard shocks (-200bp, -100bp, -50bp, 0, +50bp, +100bp, +200bp). Identify top risk contributors.
6. Curve Context: Call

   interest_rate_curve

   for the portfolio's primary currency. Compute spread to curve for each bond.
7. Synthesize: Combine into a portfolio review with summary metrics, composition analysis, cashflow projections, and scenario P&L.

Output Format

Portfolio Summary

Composition Breakdown

Cashflow Waterfall

Scenario P&L