Fetching Forward Swap Curves

Fetch forward-starting swap rates across multiple start dates in a single request, for scenario analysis and forward rate curve construction.

The /forward_swap_curve endpoint returns swap rates for a single tenor across multiple forward start dates in one request. Use this instead of making multiple /swap_rate calls when you need to see how a swap rate evolves across different start dates.

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When to Use Forward Swap Curves

Use Case	Why a Forward Swap Curve?
Scenario analysis	See how the 5Y swap rate changes for swaps starting 3M, 6M, 1Y from now
Pre-hedging strategy	Compare rates for different hedge start dates to choose optimal timing
Curve visualisation	Build forward swap rate charts for presentations or dashboards
Batch pricing	Price multiple forward-starting swaps without hitting rate limits

vs. /swap_rate: The /swap_rate endpoint prices one swap at a time. This endpoint returns an entire curve in a single call, which is faster and avoids rate limits.

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Basic Example

Get 5Y SOFR swap rates for forward starts every 3 months over the next 2 years:

import requests

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

params = {
    "index": "SOFR",
    "tenor": "5Y",
    "end_date": "2Y",
    "frequency": "3M",
    "fixed_leg_frequency": "12M"
}

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

for point in data["curve"]:
    print(f"{point['start_date']} -> {point['maturity_date']}: {point['swap_rate']:.4f}%")

curl -X GET "https://api.bluegamma.io/v1/forward_swap_curve?index=SOFR&tenor=5Y&end_date=2Y&frequency=3M&fixed_leg_frequency=12M" \
  -H "x-api-key: your_api_key_here"

Response (April 2026):

{
  "index": "SOFR",
  "currency": "USD",
  "tenor": "5Y",
  "start_date": "2026-04-20",
  "end_date": "2028-04-20",
  "frequency": "3M",
  "fixed_leg_frequency": "12M",
  "valuation_time": "2026-04-16T14:17:41.333177",
  "timestamp": "2026-04-16T14:16:58",
  "curve": [
    {"start_date": "2026-04-20", "maturity_date": "2031-04-20", "swap_rate": 3.5876},
    {"start_date": "2026-07-31", "maturity_date": "2031-07-31", "swap_rate": 3.5921},
    {"start_date": "2026-10-31", "maturity_date": "2031-10-31", "swap_rate": 3.5995},
    {"start_date": "2027-01-31", "maturity_date": "2032-01-31", "swap_rate": 3.6106},
    {"start_date": "2027-04-30", "maturity_date": "2032-04-30", "swap_rate": 3.6257},
    {"start_date": "2027-07-31", "maturity_date": "2032-07-31", "swap_rate": 3.6451},
    {"start_date": "2027-10-31", "maturity_date": "2032-10-31", "swap_rate": 3.6705},
    {"start_date": "2028-01-31", "maturity_date": "2033-01-31", "swap_rate": 3.7023},
    {"start_date": "2028-04-30", "maturity_date": "2033-04-30", "swap_rate": 3.7327}
  ]
}

Field	Description
curve	Array of forward-starting swap rate points
start_date	The forward start date for each swap
maturity_date	The maturity date (start_date + tenor)
swap_rate	The fair fixed rate for the swap as a percentage
tenor	The swap maturity length applied to each start date
frequency	The spacing between forward start dates

The curve shows the 5Y SOFR swap rate rising from 3.59% (spot) to 3.73% for a swap starting in 2 years, reflecting the upward-sloping rate environment.

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Visualising the Curve

import requests
import matplotlib.pyplot as plt
from datetime import datetime

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

data = requests.get(url, headers=headers, params={
    "index": "SOFR", "tenor": "5Y", "end_date": "2Y",
    "frequency": "3M", "fixed_leg_frequency": "12M"
}).json()

dates = [datetime.strptime(p["start_date"], "%Y-%m-%d") for p in data["curve"]]
rates = [p["swap_rate"] for p in data["curve"]]

plt.figure(figsize=(10, 5))
plt.plot(dates, rates, "o-")
plt.xlabel("Forward Start Date")
plt.ylabel("5Y Swap Rate (%)")
plt.title("5Y SOFR Forward Swap Curve")
plt.grid(True, alpha=0.3)
plt.tight_layout()
plt.show()

5Y SOFR forward swap curve - live API data, April 2026

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Use Case: Comparing Tenors

Fetch forward swap curves for multiple tenors to see how the term structure evolves:

import requests

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

for tenor in ["2Y", "5Y", "10Y"]:
    data = requests.get(url, headers=headers, params={
        "index": "SOFR",
        "tenor": tenor,
        "end_date": "2Y",
        "frequency": "6M",
        "fixed_leg_frequency": "12M"
    }).json()

    spot_rate = data["curve"][0]["swap_rate"]
    two_year_fwd = data["curve"][-1]["swap_rate"]
    print(f"{tenor}: Spot {spot_rate:.2f}% -> 2Y Forward {two_year_fwd:.2f}% ({two_year_fwd - spot_rate:+.0f}bps)")

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Parameters

Parameter	Required	Description
index	Yes	Interest rate index (e.g., SOFR, SONIA, 6M EURIBOR)
tenor	Yes	Swap maturity length (e.g., 5Y, 10Y). Applied from each start date
end_date	Yes	Last forward start date. Tenor like 2Y or date like 2028-04-16
frequency	Yes	Spacing between start dates (e.g., 1M, 3M, 6M, 1Y)
fixed_leg_frequency	Yes	Fixed leg payment frequency (e.g., 6M, 12M)
start_date	No	First forward start date. Defaults to spot if omitted
floating_leg_frequency	No	Floating leg payment frequency
fixed_leg_day_count	No	Day count convention for fixed leg (e.g., Actual360)
floating_leg_day_count	No	Day count convention for floating leg
valuation_time	No	Historical timestamp (ISO 8601) for reproducibility
is_end_of_month	No	Align dates to month-end (default: true)

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Related Endpoints

If you need...	Use
A single forward-starting swap rate	/swap_rate
The full spot swap curve (all tenors)	/get_swap_curve
Forward interest rates (not swap rates)	/forward_curve
Historical swap rates over time	/historical_swap_rates

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