Fetching a Discount Curve

Use the /discount_curve endpoint to get a full schedule of discount factors for cash flow discounting, loan valuation, and DCF models.

The /discount_curve endpoint returns a schedule of discount factors between two dates at a specified frequency. Use this when you need to discount multiple future cash flows back to present value.

Basic Example

import requests

url = "https://api.bluegamma.io/v1/discount_curve"
headers = {"x-api-key": "your_api_key"}

params = {
    "index": "SOFR",
    "start_date": "0D",
    "end_date": "5Y",
    "frequency": "6M"
}

response = requests.get(url, headers=headers, params=params)
data = response.json()

for point in data["curve"]:
    print(f"{point['date']}: {point['discount_factor']:.6f}")

curl -X GET "https://api.bluegamma.io/v1/discount_curve?index=SOFR&start_date=0D&end_date=5Y&frequency=6M" \
  -H "x-api-key: your_api_key_here"

Response:

{
  "start_date": "2026-04-01",
  "end_date": "2031-04-01",
  "index": "SOFR",
  "valuation_time": "2026-04-01T20:57:50.523152",
  "is_end_of_month": true,
  "frequency": "6M",
  "curve": [
    { "date": "2026-04-01", "discount_factor": 1.0 },
    { "date": "2026-04-30", "discount_factor": 0.997063 },
    { "date": "2026-10-31", "discount_factor": 0.978594 },
    { "date": "2027-04-30", "discount_factor": 0.960977 },
    { "date": "2027-10-31", "discount_factor": 0.943836 },
    { "date": "2028-04-30", "discount_factor": 0.927581 },
    { "date": "2028-10-31", "discount_factor": 0.911458 },
    { "date": "2029-04-30", "discount_factor": 0.895746 },
    { "date": "2029-10-31", "discount_factor": 0.879728 },
    { "date": "2030-04-30", "discount_factor": 0.863909 },
    { "date": "2030-10-31", "discount_factor": 0.847782 },
    { "date": "2031-04-30", "discount_factor": 0.831898 }
  ],
  "timestamp": "2026-04-01T20:57:27"
}

Response fields

Field

Description

start_date

Start date of the curve

end_date

End date of the curve

index

The interest rate index used

valuation_time

When the curve was calculated

is_end_of_month

Whether dates are aligned to month-ends

frequency

Spacing between curve points

curve

Array of points, each with date and discount_factor

timestamp

When the underlying market data was captured

Curve point fields

Field

Description

date

The future date (ISO 8601 format)

discount_factor

The present value of 1 unit of currency received on that date. Starts at 1.0 and decreases over time.

Parameters

Parameter

Required

Description

index

Yes

Interest rate index (e.g., SOFR, SONIA, 6M EURIBOR)

start_date

Yes

Start of the curve. Relative (0D, 1Y) or absolute (2026-04-01)

end_date

Yes

End of the curve. Relative (5Y, 10Y, 30Y) or absolute (2031-04-01)

frequency

Yes

Spacing between points: 1M, 3M, 6M, or 1Y

valuation_time

Historical timestamp (ISO 8601) for reproducibility

is_end_of_month

Align dates to month-ends. Defaults to true

Practical example: Discounting a loan schedule

import requests

url = "https://api.bluegamma.io/v1/discount_curve"
headers = {"x-api-key": "your_api_key"}

# Get semi-annual discount factors for the next 3 years
params = {
    "index": "SOFR",
    "start_date": "0D",
    "end_date": "3Y",
    "frequency": "6M"
}

response = requests.get(url, headers=headers, params=params)
curve = response.json()["curve"]

# Semi-annual loan payments
payments = [50000] * 6  # 6 payments of 50,000

total_pv = 0
for i, payment in enumerate(payments):
    # Skip the first curve point (date = today, DF = 1.0)
    df = curve[i + 1]["discount_factor"]
    pv = payment * df
    total_pv += pv
    print(f"{curve[i + 1]['date']}: {payment:>10,} x {df:.6f} = {pv:>10,.2f}")

print(f"\nTotal Present Value: {total_pv:,.2f}")