Fetching Inflation Curves

Fetch zero-coupon inflation curves for UK RPI and EU HICP for inflation-linked bond analysis, real rate calculations, and inflation hedging.

The /inflation_curve endpoint returns zero-coupon inflation rates for tenors from 1Y to 50Y, derived from inflation swap market data. Use this when you need to price inflation-linked instruments, calculate real rates, or analyse breakeven inflation.

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When to Use Inflation Curves

Use Case	Why Inflation Curves?
Real rate calculation	Subtract inflation from nominal swap rates to get real rates
Inflation-linked bond analysis	Price or value index-linked gilts and linkers
Breakeven inflation	Compare implied inflation expectations across tenors
Inflation hedging	Size and value inflation swap positions

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Basic Example

import requests

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

params = {
    "index": "UK RPI"
}

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

for point in data["rates"]:
    print(f"{point['tenor']}: {point['zc_rate']:.2f}%")

curl -X GET "https://api.bluegamma.io/v1/inflation_curve?index=UK%20RPI" \
  -H "x-api-key: your_api_key_here"

Response:

{
  "index": "UK RPI",
  "discount_index": "SONIA",
  "rates": [
    {"tenor": "1Y", "zc_rate": 4.96},
    {"tenor": "2Y", "zc_rate": 4.32},
    {"tenor": "3Y", "zc_rate": 4.12},
    {"tenor": "5Y", "zc_rate": 3.76},
    {"tenor": "10Y", "zc_rate": 3.44},
    {"tenor": "20Y", "zc_rate": 3.35},
    {"tenor": "30Y", "zc_rate": 3.31},
    {"tenor": "50Y", "zc_rate": 3.36}
  ],
  "timestamp": "2026-04-16"
}

Field	Description
rates	Array of zero-coupon inflation rate points by tenor
zc_rate	The zero-coupon inflation rate as a percentage
tenor	The maturity point on the curve (1Y to 50Y)
discount_index	The nominal rate index used for discounting
timestamp	When the underlying market data was captured

Full curve: The API returns rates for every year from 1Y to 50Y. The response above is abbreviated for clarity.

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Use Case: Calculating Real Rates

Subtract the implied inflation rate from nominal swap rates to get the real rate at each tenor:

import requests

headers = {"x-api-key": "your_api_key"}

# Fetch the nominal SONIA swap curve
swap_response = requests.get(
    "https://api.bluegamma.io/v1/get_swap_curve",
    headers=headers,
    params={"index": "SONIA"}
)
swap_curve = {p["tenor"]: p["swap_rate"] for p in swap_response.json()["curve"]}

# Fetch the UK RPI inflation curve
inflation_response = requests.get(
    "https://api.bluegamma.io/v1/inflation_curve",
    headers=headers,
    params={"index": "UK RPI"}
)
inflation_curve = {p["tenor"]: p["zc_rate"] for p in inflation_response.json()["rates"]}

# Calculate real rates for common tenors
for tenor in ["2Y", "5Y", "10Y", "20Y", "30Y"]:
    if tenor in swap_curve and tenor in inflation_curve:
        real_rate = swap_curve[tenor] - inflation_curve[tenor]
        print(f"{tenor}: Nominal {swap_curve[tenor]:.2f}% - Inflation {inflation_curve[tenor]:.2f}% = Real {real_rate:.2f}%")

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Use Case: Comparing UK and Eurozone Inflation

import requests

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

uk_rpi = requests.get(url, headers=headers, params={"index": "UK RPI"}).json()
eu_hicp = requests.get(url, headers=headers, params={"index": "EU HICP"}).json()

uk_rates = {p["tenor"]: p["zc_rate"] for p in uk_rpi["rates"]}
eu_rates = {p["tenor"]: p["zc_rate"] for p in eu_hicp["rates"]}

for tenor in ["1Y", "2Y", "5Y", "10Y", "30Y"]:
    spread = uk_rates[tenor] - eu_rates[tenor]
    print(f"{tenor}: UK RPI {uk_rates[tenor]:.2f}% | EU HICP {eu_rates[tenor]:.2f}% | Spread {spread:+.0f}bps")

Output (April 2026):

1Y: UK RPI 4.96% | EU HICP 3.20% | Spread +176bps
2Y: UK RPI 4.32% | EU HICP 2.68% | Spread +164bps
5Y: UK RPI 3.76% | EU HICP 2.28% | Spread +148bps
10Y: UK RPI 3.44% | EU HICP 2.22% | Spread +121bps
30Y: UK RPI 3.31% | EU HICP 2.35% | Spread +96bps

UK implied inflation runs 100-175bps above Eurozone across the curve, with the spread narrowing at longer tenors.

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Current Inflation Curves (April 2026)

Tenor	UK RPI	EU HICP
1Y	4.96%	3.20%
2Y	4.32%	2.68%
3Y	4.12%	2.48%
5Y	3.76%	2.28%
7Y	3.55%	2.22%
10Y	3.44%	2.22%
15Y	3.38%	2.26%
20Y	3.35%	2.28%
30Y	3.31%	2.35%
50Y	3.36%	2.55%

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Parameters

Parameter	Required	Description
index	Yes	Inflation index: UK RPI, UK CPI, or EU HICP
valuation_time	No	Historical timestamp (ISO 8601) for reproducibility

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Supported Indices

Index	Region	Discount Index	Description
UK RPI	United Kingdom	SONIA	Retail Prices Index
UK CPI	United Kingdom	SONIA	Consumer Prices Index, derived from RPI minus a market-implied wedge (methodology)
EU HICP	Eurozone	6M EURIBOR	Harmonised Index of Consumer Prices

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Reproducibility with valuation_time

Lock in the inflation curve at a specific point in time:

params = {
    "index": "UK RPI",
    "valuation_time": "2026-03-31T16:00:00Z"
}

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

curl -X GET "https://api.bluegamma.io/v1/inflation_curve?index=UK%20RPI&valuation_time=2026-03-31T16%3A00%3A00Z" \
  -H "x-api-key: your_api_key_here"

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Related Endpoints

If you need...	Use
Nominal swap rates	/get_swap_curve
Government bond yields	/gov_yield
Forward rates	/forward_curve
Zero rates for discounting	/zero_rate

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