> For the complete documentation index, see [llms.txt](https://www.bluegamma.io/documentation/llms.txt). Markdown versions of documentation pages are available by appending `.md` to page URLs; this page is available as [Markdown](https://www.bluegamma.io/documentation/integrations/api/how-to-guides/fetching-a-swap-rate.md). # 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. See the [API Reference](/documentation/integrations/api/api-reference.md) for every parameter. **✅ Example: Market-Standard Quote** Pass only `index`, `start_date` and `maturity_date`. When you leave out `fixed_leg_frequency`, the swap is priced at the index's market-standard conventions, so the rate matches the on-screen quote for that index. Use `SPOT` as the start date to start on the index's spot date. ```python import requests url = "https://api.bluegamma.io/v1/swap_rate" headers = {"x-api-key": "your_api_key_here"} params = { "index": "SOFR", "start_date": "SPOT", # The index's spot date "maturity_date": "10Y" # 10 years from the start date } response = requests.get(url, headers=headers, params=params) print(response.json()) ``` ```bash curl -X GET "https://api.bluegamma.io/v1/swap_rate?index=SOFR&start_date=SPOT&maturity_date=10Y" \ -H "x-api-key: your_api_key_here" ``` **Response:** ```json { "index": "SOFR", "start_date": "2026-10-08", "maturity_date": "2036-10-08", "fixed_leg_first_payment_date": "2027-10-08", "floating_leg_first_payment_date": "2027-10-08", "floating_leg_frequency": "12M", "floating_leg_day_count": "Actual360", "fixed_leg_frequency": "12M", "fixed_leg_day_count": "Actual360", "valuation_time": "2026-10-06T08:37:41.631278", "swap_rate": 4.878, "timestamp": "2026-10-06T08:37:17" } ``` The response shows the conventions that were used. Here the swap starts on the spot date, two business days after the valuation date, with annual fixed and floating legs on Actual/360. **✅ Example: Live 10Y SOFR Swap Rate** To price a swap with your own conventions, pass `fixed_leg_frequency` and any other leg parameters. Passing `fixed_leg_frequency` prices the swap with the conventions you give instead of the market-standard ones. ```python 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()) ``` ```bash 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. **📆 Example: Historical Swap Rate** Add `valuation_time` to calculate the swap rate as it would have been on a past date/time. ```python params["start_date"] = "SPOT" # the spot date as of the valuation time params["valuation_time"] = "2025-04-15T12:00:00Z" ``` ```bash curl -X GET "https://api.bluegamma.io/v1/swap_rate?index=SOFR&start_date=SPOT&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). Use `SPOT` or a fixed date as the start date in historical requests: a tenor such as `0D` counts from today, not from the valuation time. **📦 Example: Several Swap Rates in One Call** Use `POST /v1/swap_rate/batch` to price up to 50 swaps in one request. Each item takes the same parameters as the GET endpoint, and items can mix indices, conventions and valuation times. Results come back in the order you sent them. ```python import requests url = "https://api.bluegamma.io/v1/swap_rate/batch" headers = {"x-api-key": "your_api_key_here"} payload = { "items": [ {"index": "SOFR", "start_date": "SPOT", "maturity_date": "5Y"}, {"index": "6M EURIBOR", "start_date": "SPOT", "maturity_date": "10Y"}, {"index": "SONIA", "start_date": "0D", "maturity_date": "5Y", "fixed_leg_frequency": "6M"}, {"index": "SOFR", "start_date": "2026-02-30", "maturity_date": "5Y"} # Invalid date ] } response = requests.post(url, headers=headers, json=payload) print(response.json()) ``` ```bash curl -X POST "https://api.bluegamma.io/v1/swap_rate/batch" \ -H "x-api-key: your_api_key_here" \ -H "Content-Type: application/json" \ -d '{ "items": [ {"index": "SOFR", "start_date": "SPOT", "maturity_date": "5Y"}, {"index": "6M EURIBOR", "start_date": "SPOT", "maturity_date": "10Y"}, {"index": "SONIA", "start_date": "0D", "maturity_date": "5Y", "fixed_leg_frequency": "6M"}, {"index": "SOFR", "start_date": "2026-02-30", "maturity_date": "5Y"} ] }' ``` **Response:** ```json { "results": [ { "status": 200, "data": { "index": "SOFR", "start_date": "2026-10-08", "maturity_date": "2031-10-08", "fixed_leg_first_payment_date": "2027-10-08", "floating_leg_first_payment_date": "2027-10-08", "floating_leg_frequency": "12M", "floating_leg_day_count": "Actual360", "fixed_leg_frequency": "12M", "fixed_leg_day_count": "Actual360", "valuation_time": "2026-10-06T08:37:41.775680", "swap_rate": 4.751, "timestamp": "2026-10-06T08:37:17" } }, { "status": 200, "data": { "index": "6M EURIBOR", "start_date": "2026-10-08", "maturity_date": "2036-10-08", "fixed_leg_first_payment_date": "2027-10-08", "floating_leg_first_payment_date": "2027-04-08", "floating_leg_frequency": "6M", "floating_leg_day_count": "Actual360", "fixed_leg_frequency": "12M", "fixed_leg_day_count": "Thirty360BondBasis", "valuation_time": "2026-10-06T08:37:41.776406", "swap_rate": 3.54, "timestamp": "2026-10-06T08:37:16" } }, { "status": 200, "data": { "index": "SONIA", "start_date": "2026-10-06", "maturity_date": "2031-10-06", "fixed_leg_first_payment_date": "2027-04-06", "floating_leg_first_payment_date": "2027-04-06", "floating_leg_frequency": "6M", "floating_leg_day_count": "Actual365Fixed", "fixed_leg_frequency": "6M", "fixed_leg_day_count": "Actual365Fixed", "valuation_time": "2026-10-06T08:37:41.776983", "swap_rate": 4.6459, "timestamp": "2026-10-06T08:37:27" } }, { "status": 422, "error": "Invalid start_date format. Must be YYYY-MM-DD or a tenor string matching pattern: [0-9]+[DWMY] (e.g., 1Y, 3M, 2W, 5D)." } ] } ``` Each result carries the `status` the GET endpoint would have returned. A failed item doesn't fail the request: it returns its own `status` and `error`, as the fourth item shows, and every other item is still priced. 🧠 **Tips** * Use `"SPOT"` for the index's spot date, `"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 the full list in [Available Indices](/documentation/data-coverage/whats-available/available-indices.md) *** Create a key under **API Keys** in the app sidebar. See [Authentication](/documentation/integrations/api/authentication.md). --- # Agent Instructions This documentation is published with GitBook. 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