Fetching FX Forward Curves

Fetch a complete FX forward curve for any currency pair in a single request, for hedging analysis, cash flow forecasting, and FX risk management.

The /fx_forward_curve endpoint returns a full forward curve for a currency pair in a single request. Use this instead of making multiple /fx_forward calls when you need forward rates across many tenors.

---

When to Use FX Forward Curves

Use Case	Why a Full Curve?
FX hedging analysis	Compare forward rates across tenors to choose optimal hedge dates
Cash flow forecasting	Project future revenue or costs in foreign currencies
Forward premium analysis	Visualise how the forward premium/discount evolves over time
Risk reporting	Feed a complete curve into VaR or exposure models

---

Basic Example (Standard Mode)

Standard mode returns forward rates at market-standard tenors (1W through 10Y):

import requests

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

params = {
    "currency_pair": "EURUSD",
    "frequency": "standard"
}

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

print(f"Spot: {data['spot_rate']}")
for point in data["curve"]:
    print(f"{point['tenor']:>4s}  {point['forward_rate']:.4f}  ({point['forward_diff']:+.4f})")

curl -X GET "https://api.bluegamma.io/v1/fx_forward_curve?currency_pair=EURUSD&frequency=standard" \
  -H "x-api-key: your_api_key_here"

Response (April 2026):

{
  "currency_pair": "EURUSD",
  "spot_rate": 1.17732,
  "valuation_time": "2026-04-16T14:17:37",
  "frequency": "standard",
  "curve": [
    {"tenor": "1W",  "date": "2026-04-23", "forward_rate": 1.177651, "forward_diff": 0.000331},
    {"tenor": "1M",  "date": "2026-05-16", "forward_rate": 1.178947, "forward_diff": 0.001627},
    {"tenor": "3M",  "date": "2026-07-15", "forward_rate": 1.182132, "forward_diff": 0.004812},
    {"tenor": "6M",  "date": "2026-10-13", "forward_rate": 1.186226, "forward_diff": 0.008906},
    {"tenor": "1Y",  "date": "2027-04-16", "forward_rate": 1.193153, "forward_diff": 0.015833},
    {"tenor": "2Y",  "date": "2028-04-15", "forward_rate": 1.205230, "forward_diff": 0.027910},
    {"tenor": "3Y",  "date": "2029-04-15", "forward_rate": 1.216651, "forward_diff": 0.039331},
    {"tenor": "5Y",  "date": "2031-04-15", "forward_rate": 1.240700, "forward_diff": 0.063380},
    {"tenor": "7Y",  "date": "2033-04-14", "forward_rate": 1.267598, "forward_diff": 0.090278},
    {"tenor": "10Y", "date": "2036-04-13", "forward_rate": 1.307298, "forward_diff": 0.129978}
  ]
}

Field	Description
spot_rate	Current spot FX rate
curve	Array of forward rate points
forward_rate	The outright forward rate at that tenor
forward_diff	Forward points (forward rate minus spot)
tenor	Standard tenor label (standard mode only)
date	The settlement date for the forward

Standard mode returns all available market tenors for the pair (1W through 10Y). The response above is abbreviated for clarity.

---

Custom Mode

Use custom mode to get forward rates at a regular interval between two dates:

params = {
    "currency_pair": "GBPUSD",
    "frequency": "3M",
    "start_date": "2026-04-16",
    "end_date": "2028-04-16"
}

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

curl -X GET "https://api.bluegamma.io/v1/fx_forward_curve?currency_pair=GBPUSD&frequency=3M&start_date=2026-04-16&end_date=2028-04-16" \
  -H "x-api-key: your_api_key_here"

Response (April 2026):

{
  "currency_pair": "GBPUSD",
  "spot_rate": 1.35434,
  "valuation_time": "2026-04-16T14:18:20",
  "start_date": "2026-04-16",
  "end_date": "2028-04-16",
  "frequency": "3M",
  "curve": [
    {"date": "2026-07-15", "forward_rate": 1.354014, "forward_diff": -0.000326},
    {"date": "2026-10-13", "forward_rate": 1.352889, "forward_diff": -0.001451},
    {"date": "2027-01-11", "forward_rate": 1.351261, "forward_diff": -0.003079},
    {"date": "2027-04-11", "forward_rate": 1.349620, "forward_diff": -0.004720},
    {"date": "2027-07-10", "forward_rate": 1.347853, "forward_diff": -0.006487},
    {"date": "2027-10-08", "forward_rate": 1.346066, "forward_diff": -0.008274},
    {"date": "2028-01-06", "forward_rate": 1.344278, "forward_diff": -0.010062},
    {"date": "2028-04-05", "forward_rate": 1.342490, "forward_diff": -0.011850}
  ]
}

GBPUSD trades at a forward discount (negative forward_diff) because GBP rates are lower than USD rates.

Month-End Alignment

By default, custom mode steps forward by a fixed interval from the start date, so monthly dates gradually shift across the month at longer horizons (visible in the response above: Jul 15, Oct 13, Jan 11...). If your reporting works on month-end dates, set is_end_of_month=true with a month or year frequency to anchor every point to a month-end instead, matching the same option on the interest rate forward curve:

curl -X GET "https://api.bluegamma.io/v1/fx_forward_curve?currency_pair=GBPUSD&frequency=3M&start_date=2026-04-16&end_date=2028-04-16&is_end_of_month=true" \
  -H "x-api-key: your_api_key_here"

Response (abbreviated):

{
  "frequency": "3M",
  "is_end_of_month": true,
  "curve": [
    {"date": "2026-04-30", "forward_rate": 1.354289, "forward_diff": -0.000051},
    {"date": "2026-07-31", "forward_rate": 1.353814, "forward_diff": -0.000526},
    {"date": "2026-10-31", "forward_rate": 1.352563, "forward_diff": -0.001777},
    {"date": "2027-01-31", "forward_rate": 1.350896, "forward_diff": -0.003444}
  ]
}

Dates stay on month-end boundaries across the whole curve, with no drift at long horizons. is_end_of_month applies to custom mode only and requires a month or year frequency (for example 1M, 3M, 1Y).

---

Visualising the Curve

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

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

data = requests.get(url, headers=headers, params={
    "currency_pair": "EURUSD", "frequency": "standard"
}).json()

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

plt.figure(figsize=(10, 5))
plt.plot(dates, rates, "o-")
plt.axhline(y=data["spot_rate"], color="gray", linestyle="--", label=f"Spot ({data['spot_rate']:.4f})")
plt.xlabel("Date")
plt.ylabel("EURUSD Forward Rate")
plt.title("EURUSD Forward Curve")
plt.legend()
plt.grid(True, alpha=0.3)
plt.tight_layout()
plt.show()

EURUSD forward curve - live API data, April 2026

EURUSD trades at a forward premium (EUR rates lower than USD rates), with the premium widening from +3 pips at 1W to +1,300 pips at 10Y.

---

Parameters

Parameter	Required	Description
currency_pair	Yes	Currency pair in ISO format (e.g., EURUSD, GBPUSD, USDJPY)
frequency	No	standard (default) for market tenors, or interval like 1M, 3M, 6M for custom mode
start_date	No	Start date for custom mode (YYYY-MM-DD). Ignored in standard mode
end_date	No	End date for custom mode (YYYY-MM-DD). Ignored in standard mode
is_end_of_month	No	Align custom-mode dates to month-ends (month/year frequencies only). Defaults to false

For the full list of supported currency pairs, see Supported FX Currency Pairs.

---

Related Endpoints

If you need...	Use
A single forward rate for one date	/fx_forward
The spot rate only	/fx
Interest rate forward curves	/forward_curve

---

Need an API key? 📩 [e-mail] | 📅 Book a call