Market Data 6 min read Updated July 2026

AI for Fixed Income Analysis: Claude Tools for Bond Markets

Use Claude for fixed income analysis — bond pricing, duration, convexity, yield curve analysis, credit spread modeling, and portfolio DV01. Free MCP tools for fixed income professionals.

Fixed Income and AI

Fixed income analysis requires precise mathematical calculations — bond pricing, duration, convexity, yield-to-maturity, and credit spread decomposition. ClaudeFinLab's market data MCP server brings these calculations into Claude, turning complex fixed income math into plain-English conversations.

Bond Pricing and Yield Analysis

  • "Price a 10-year Treasury bond: face value $1,000, coupon 4.5%, semi-annual payments, current yield-to-maturity 4.8%. What is the dirty price, clean price, and accrued interest?"
  • "A bond is trading at 96.50 clean price. Par $1,000, coupon 5%, 7 years to maturity, semi-annual. What is the yield-to-maturity?"
  • "Compare the YTM on these two corporate bonds: [paste CUSIP and price data]. Which offers better risk-adjusted yield given their credit ratings?"

Duration and Convexity

Duration and convexity measure a bond's price sensitivity to interest rate changes — essential for managing interest rate risk:

  • "Calculate modified duration and convexity for a 7-year bond: coupon 4%, YTM 4.5%, semi-annual. What is the estimated price change for a 50bps rate increase?"
  • "My bond portfolio has a modified duration of 6.2 and a total value of $50M. How much does the portfolio value change if rates rise 25bps? Include the convexity correction."
  • "I want to target a 4.5-year portfolio duration. Current holdings: [paste bonds with values]. How should I rebalance using 2-year and 10-year Treasuries?"

Key insight: Duration is a linear approximation — it works well for small rate moves. For larger moves, convexity matters: bonds with higher convexity outperform in both rate rises and rate declines compared to bonds with the same duration but lower convexity.

Yield Curve Analysis

The yield curve shape drives much of fixed income strategy:

  • "Current 2-year yield is 4.6%, 10-year is 4.2%. Is the curve inverted? What does an inverted 2s10s curve historically signal for the economy and credit markets?"
  • "Build a butterfly strategy: long 5-year, short 2-year and 10-year in equal dollar duration. What are the DV01 exposures and what does this position profit from?"
  • "Model the impact of a 2s10s steepening of 50bps on a duration-neutral barbell portfolio (50% 2-year, 50% 30-year)."

Credit Spread Analysis

For corporate bonds, the spread over Treasuries reflects credit risk:

  • "A BBB-rated corporate bond yields 5.8% when the 7-year Treasury yields 4.2%. What is the credit spread? Is 160bps wide or tight for BBB credit in the current market?"
  • "Decompose this corporate bond's yield: risk-free rate, credit spread, liquidity premium. The bond yields 6.1%, 10-year Treasury 4.3%, CDS spread 145bps."

Mortgage-Backed Securities

  • "Price a generic 30-year agency MBS at 100% CPR speed of 8%, coupon 5.5%, current yield 5.8%. What is the weighted average life (WAL)?"
  • "How does an increase in prepayment speeds from 10 CPR to 20 CPR affect the WAL and duration of a premium-coupon MBS?"

Portfolio-Level Interest Rate Risk

For fixed income portfolio managers, the portfolio risk server handles multi-bond analysis:

  • "Compute the DV01 (dollar value of 1bp) for my entire portfolio: [paste bond list with values]. What is the total portfolio DV01 and how does it compare to my limit of $50K per basis point?"
  • "Run a parallel shift scenario: if rates rise 100bps across the entire curve, what is my portfolio P&L? Break down by maturity bucket."

Setting Up for Fixed Income

{
  "mcpServers": {
    "claudefinlab-market": {
      "url": "https://claudefinancelab.com/market/sse",
      "headers": { "Authorization": "Bearer YOUR_API_KEY" }
    },
    "claudefinlab-portfolio": {
      "url": "https://claudefinancelab.com/portfolio/sse",
      "headers": { "Authorization": "Bearer YOUR_API_KEY" }
    }
  }
}

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