API How-To Guides

Use these guides to learn how to fetch swap rates, forward curves, and other interest rate data using the BlueGamma API.

Each guide includes a code example and tips for getting accurate, production-ready results — whether you're powering internal tools, pricing models, or dashboards.

Fetching a Swap Curve

Get a complete swap curve across all tenors for any index — includes guidance on which index to use for each currency.

Fetching a Government Bond Curve

Retrieve government bond yields (US Treasuries, UK Gilts, German Bunds, etc.) and build yield curves.

Fetching FX Forward Rates

Get forward exchange rates for any supported currency pair to model FX exposure and hedge foreign currency risk.

Fetching a Swap Rate

Get a live or historical par swap rate for SOFR, EURIBOR, SONIA, and more.

How to Price a Swap Using the API

Use the /swap_pricer endpoint to price vanilla or amortizing swaps with full cashflow analysis. Get the mid swap rate (fair rate) or mark-to-market (MTM) for existing swaps. Supports custom amortization schedules and first payment dates for loan hedging.

How to Price a Swaption Using the API

Use the /swaption_price endpoint to price European payer and receiver swaptions with NPV, delta, and vega. Supports 20+ indices including SOFR, SONIA, and EURIBOR.

Pricing an Interest Rate Cap

Use the /cap_floor_price endpoint to price caps and floors with caplet-level breakdowns, volatility smile controls, and multi-strike POST requests.

Fetching Forward Starting Swap Rates

Price forward starting swaps where the effective date is in the future. Uses EURIBOR examples with tenor and date inputs.

Fetching Fixing Rates

Retrieve published fixing rates for overnight and term benchmarks like SOFR, SONIA, and EURIBOR.

Fetching Compounded RFR Rates

Calculate compounded overnight rates (realised rates) for SOFR, SONIA, ESTR, and other RFR indices.

Building a Historical Time Series

Pull daily history via /historical_swap_rates or build an intraday series with /swap_rate + valuation_time.

Getting Forward Rates

Calculate implied forward rates between two future tenors, like 6M → 9M.

Fetching Forward Curves

Generate full forward rate curves for pricing, forecasting, and cash flow projection — includes guidance on when to fetch vs. store curves.

Getting Discount Factors

Retrieve individual or full curves of discount factors for DCF models and risk systems.

Fetching Zero Rates

Get zero-coupon rates for discounting cash flows, building DCF models, and valuing loan portfolios.

How do I compare BlueGamma data with Bloomberg or other platforms?

Compare BlueGamma results to Bloomberg or other providers using consistent conventions.

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