# Fetching a Swap Curve A swap curve shows **par swap rates** (fixed rates) across different maturities. When you request a swap rate: * You specify an **index** (e.g., `6M EURIBOR`, `SOFR`, `SONIA`) * The API returns the **fixed rate** that makes the swap fair value at inception * The index determines what floating rate the swap is referenced against {% hint style="info" %} **Key Concept:** The index represents the floating leg reference. The rate you receive is the **fixed leg rate** — this is what you'd pay (or receive) on the fixed side of a swap. {% endhint %} *** ## Example: EUR Swap Curve For Euro swap curves, use `6M EURIBOR` — the standard floating benchmark for EUR interest rate swaps: ```python import requests url = "https://api.bluegamma.io/v1/get_swap_curve" headers = {"x-api-key": "your_api_key_here"} params = { "index": "6M EURIBOR" } response = requests.get(url, headers=headers, params=params) curve = response.json() print(f"Index: {curve['index_name']}") print(f"Start Date: {curve['start_date']}") print(f"\nSwap Rates:") for point in curve['swap_rates']: print(f" {point['tenor']:>4}: {point['swap_rate']:.2f}%") ``` ```bash curl -X GET "https://api.bluegamma.io/v1/get_swap_curve?index=6M%20EURIBOR" \ -H "x-api-key: your_api_key_here" ``` **Example Output:** ``` Index: 6M EURIBOR Start Date: 2025-12-15 Swap Rates: 1Y: 2.21% 18M: 2.24% 2Y: 2.30% 3Y: 2.41% 4Y: 2.50% 5Y: 2.58% 6Y: 2.65% 7Y: 2.72% 8Y: 2.79% 9Y: 2.85% 10Y: 2.90% 15Y: 3.11% 20Y: 3.19% 25Y: 3.21% 30Y: 3.20% ``` *** ## Understanding the Response ```json { "index_name": "6M EURIBOR", "start_date": "2025-12-15", "floating_leg_frequency": "6M", "floating_leg_day_count": "Actual360", "fixed_leg_frequency": "12M", "fixed_leg_day_count": "Thirty360BondBasis", "valuation_time": "2025-12-11T09:44:14.838799", "swap_rates": [ {"tenor": "1Y", "swap_rate": 2.21, "timestamp": "2025-12-11T09:43:59"}, {"tenor": "2Y", "swap_rate": 2.30, "timestamp": "2025-12-11T09:43:59"}, {"tenor": "5Y", "swap_rate": 2.58, "timestamp": "2025-12-11T09:43:59"}, {"tenor": "10Y", "swap_rate": 2.90, "timestamp": "2025-12-11T09:43:59"} ] } ``` | Field | Description | | ------------------------ | ----------------------------------------- | | `index_name` | The floating rate index used | | `start_date` | Settlement date for the swaps | | `floating_leg_frequency` | Payment frequency of the floating leg | | `floating_leg_day_count` | Day count convention for the floating leg | | `fixed_leg_frequency` | Payment frequency of the fixed leg | | `fixed_leg_day_count` | Day count convention for the fixed leg | | `swap_rates` | Array of tenor/rate pairs | | `swap_rate` | The par swap rate as a percentage | *** ## Visualizing the Curve
EUR 6M EURIBOR Swap Curve

EUR 6M EURIBOR swap curve showing par swap rates across tenors

*** ## Which Index for Which Currency? | Currency | Index | Description | Use Case | | -------- | ------------ | ------------------------------------ | --------------------------------- | | **EUR** | `6M EURIBOR` | 6-Month Euro Interbank Offered Rate | Standard EUR interest rate swaps | | **EUR** | `ESTR` | Euro Short-Term Rate | EUR overnight indexed swaps (OIS) | | **USD** | `SOFR` | Secured Overnight Financing Rate | Standard USD swaps (post-LIBOR) | | **GBP** | `SONIA` | Sterling Overnight Index Average | Standard GBP swaps | | **CHF** | `SARON` | Swiss Average Rate Overnight | Standard CHF swaps | | **JPY** | `TONAR` | Tokyo Overnight Average Rate | Standard JPY swaps | | **CAD** | `CORRA` | Canadian Overnight Repo Rate Average | Standard CAD swaps | | **AUD** | `6M BBSW` | 6-Month Bank Bill Swap Rate | Standard AUD swaps | {% hint style="info" %} **EUR Note:** Most EUR interest rate swaps reference **6M EURIBOR** on the floating leg. Use `ESTR` only if you specifically need overnight indexed swap (OIS) rates. {% endhint %} {% hint style="success" %} **Want to try the API?** Get a key and test it in minutes. [Book a demo →](https://app.lemcal.com/@alivohra/website-demo?back=1) {% endhint %} *** ## Historical Swap Curves Add `valuation_time` to fetch the curve as of a past date: ```python params = { "index": "6M EURIBOR", "valuation_time": "2024-06-30T16:00:00Z" } response = requests.get(url, headers=headers, params=params) curve = response.json() ``` ```bash curl -X GET "https://api.bluegamma.io/v1/get_swap_curve?index=6M%20EURIBOR&valuation_time=2024-06-30T16%3A00%3A00Z" \ -H "x-api-key: your_api_key_here" ``` *** ## Alternative: Fetch Individual Swap Rates If you need more control over leg conventions, use the `/swap_rate` endpoint for individual tenors: ```python url = "https://api.bluegamma.io/v1/swap_rate" params = { "index": "6M EURIBOR", "start_date": "0D", "maturity_date": "10Y", "fixed_leg_frequency": "1Y", "floating_leg_frequency": "6M", "fixed_leg_day_count": "30360", "floating_leg_day_count": "Actual360" } response = requests.get(url, headers=headers, params=params) print(response.json()) ``` ```bash curl -X GET "https://api.bluegamma.io/v1/swap_rate?index=6M%20EURIBOR&start_date=0D&maturity_date=10Y&fixed_leg_frequency=1Y&floating_leg_frequency=6M&fixed_leg_day_count=30360&floating_leg_day_count=Actual360" \ -H "x-api-key: your_api_key_here" ``` **Response:** ```json { "index": "6M EURIBOR", "start_date": "2025-12-15", "maturity_date": "2035-12-17", "swap_rate": 2.90, "fixed_leg_frequency": "1Y", "floating_leg_frequency": "6M" } ``` *** ## Swap Curves vs Government Bond Curves A common question is: **"What's the difference between a swap curve and a government bond curve?"** | | Swap Curve | Government Bond Curve | | ---------------------- | ----------------------------------------------- | --------------------------------------------- | | **What it represents** | Fixed rate in an interest rate swap | Yield on sovereign debt | | **Risk profile** | Interbank/counterparty credit risk | Sovereign credit risk | | **Common use** | Hedging floating-rate debt, derivatives pricing | Risk-free rate benchmark, credit spread basis | | **Typical spread** | Swaps trade at a spread over government bonds | Considered the "risk-free" reference | **Example Comparison (EUR):** | Tenor | 6M EURIBOR Swap Rate | German Bund Yield | Swap Spread | | ----- | -------------------- | ----------------- | ----------- | | 2Y | 2.30% | 2.19% | +11 bps | | 5Y | 2.58% | 2.50% | +8 bps | | 10Y | 2.90% | 2.90% | 0 bps | > 💡 **Tip:** The swap spread (difference between swap rate and government bond yield) reflects credit and liquidity factors in the interbank market. *** ## Complete Example: Building a Swap Curve DataFrame ```python import requests import pandas as pd url = "https://api.bluegamma.io/v1/get_swap_curve" headers = {"x-api-key": "your_api_key_here"} response = requests.get(url, headers=headers, params={"index": "6M EURIBOR"}) curve = response.json() df = pd.DataFrame(curve['swap_rates']) df['swap_rate'] = df['swap_rate'].round(4) # Filter to key tenors key_tenors = ['1Y', '2Y', '3Y', '5Y', '7Y', '10Y', '15Y', '20Y', '30Y'] df_filtered = df[df['tenor'].isin(key_tenors)] print(f"EUR 6M EURIBOR Swap Curve - {curve['valuation_time'][:10]}") print(df_filtered[['tenor', 'swap_rate']].to_string(index=False)) ``` ```bash curl -X GET "https://api.bluegamma.io/v1/get_swap_curve?index=6M%20EURIBOR" \ -H "x-api-key: your_api_key_here" ``` **Output:** ``` EUR 6M EURIBOR Swap Curve - 2025-12-11 tenor swap_rate 1Y 2.2109 2Y 2.3032 3Y 2.4128 5Y 2.5830 7Y 2.7229 10Y 2.8996 15Y 3.1082 20Y 3.1913 30Y 3.2020 ``` *** ## See Also * [Available Indices](/documentation/integrations/available-indices.md) — Full list of supported indices * [Fetching a Swap Rate](/documentation/integrations/api/how-to-guides/fetching-a-swap-rate.md) — Get individual swap rates with custom conventions * [Fetching Historical Swap Rates](https://github.com/Blue-Gamma/BlueGammaUI/blob/development/bluegamma-docs/integrations/api/how-to-guides/fetching-historical-swap-rates.md) — Time series of swap rates *** **Need an API key?**\ 📩 | 📅 [Book a call](https://app.lemcal.com/@alivohra/website-demo?back=1) --- # Agent Instructions: Querying This Documentation If you need additional information that is not directly available in this page, you can query the documentation dynamically by asking a question. Perform an HTTP GET request on the current page URL with the `ask` query parameter: ``` GET https://bluegamma.io/documentation/integrations/api/how-to-guides/fetching-a-swap-curve.md?ask= ``` The question should be specific, self-contained, and written in natural language. The response will contain a direct answer to the question and relevant excerpts and sources from the documentation. Use this mechanism when the answer is not explicitly present in the current page, you need clarification or additional context, or you want to retrieve related documentation sections.