Fetching a Swap Rate

Use the /swap_rate endpoint to calculate the par rate for a vanilla interest rate swap, given an index, start/maturity, and leg conventions.

This is the most common use case for pulling current or historical market swap rates directly into your software or spreadsheet. For more details: https://www.bluegamma.io/interest-rate-api

✅ Example: Live 10Y SOFR Swap Rate

import requests

url = "https://api.bluegamma.io/v1/swap_rate"
headers = {"x-api-key": "your_api_key_here"}
params = {
    "index": "SOFR",
    "start_date": "0D",                 # Today
    "maturity_date": "10Y",            # 10 years from today
    "fixed_leg_frequency": "1Y",
    "floating_leg_frequency": "1Y",
    "fixed_leg_day_count": "Actual360",
    "floating_leg_day_count": "Actual360"
}

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

curl -X GET "https://api.bluegamma.io/v1/swap_rate?index=SOFR&start_date=0D&maturity_date=10Y&fixed_leg_frequency=1Y&floating_leg_frequency=1Y&fixed_leg_day_count=Actual360&floating_leg_day_count=Actual360" \
  -H "x-api-key: your_api_key_here"

Returns the par swap rate based on today's curve.

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📆 Example: Historical Swap Rate

Add valuation_time to calculate the swap rate as it would have been on a past date/time.

params["valuation_time"] = "2025-04-15T12:00:00Z"

curl -X GET "https://api.bluegamma.io/v1/swap_rate?index=SOFR&start_date=0D&maturity_date=10Y&fixed_leg_frequency=1Y&floating_leg_frequency=1Y&fixed_leg_day_count=Actual360&floating_leg_day_count=Actual360&valuation_time=2025-04-15T12%3A00%3A00Z" \
  -H "x-api-key: your_api_key_here"

This returns the rate using the market data from that exact point in time (in UTC).

🧠 Tips

• Use "0D" for today, or "2025-12-31" for a fixed date

• Make sure fixed and floating legs are consistent with your internal pricing

• Supported indices include: SOFR, SONIA, 6M EURIBOR, 3M NIBOR, and more. See a full list here https://www.bluegamma.io/interest-rate-api

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