Fetching a Swap Curve

Use the /get_swap_curve endpoint to retrieve par swap rates across tenors for any supported index.

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

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.

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Example: EUR Swap Curve

For Euro swap curves, use 6M EURIBOR — the standard floating benchmark for EUR interest rate swaps:

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}%")

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%

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Understanding the Response

{
  "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

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Visualizing the Curve

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

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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

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.

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Historical Swap Curves

Add valuation_time to fetch the curve as of a past date:

params = {
    "index": "6M EURIBOR",
    "valuation_time": "2024-06-30T16:00:00Z"
}

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

---

Alternative: Fetch Individual Swap Rates

If you need more control over leg conventions, use the /swap_rate endpoint for individual tenors:

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())

Response:

{
  "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.

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Complete Example: Building a Swap Curve DataFrame

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))

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

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See Also

• Available Indices — Full list of supported indices

• Fetching a Swap Rate — Get individual swap rates with custom conventions

• Fetching Historical Swap Rates — Time series of swap rates

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