Fetching Compounded RFR Rates

Calculate compounded overnight rates (realised rates) for risk-free rate indices like SOFR, SONIA, and ESTR over any custom period.

The /compounded_rate endpoint calculates realised compounded rates for overnight risk-free rate (RFR) indices over a specified period. This is the rate you'd use to settle a floating-rate payment based on actual daily fixings.

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Example: 90-Day Compounded SOFR

import requests

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

params = {
    "index": "SOFR",
    "start_date": "2025-09-17",
    "end_date": "2025-12-16"
}

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

curl -X GET "https://api.bluegamma.io/v1/compounded_rate?index=SOFR&start_date=2025-09-17&end_date=2025-12-16" \
  -H "x-api-key: your_api_key_here"

Response:

{
  "start_date": "2025-09-17",
  "end_date": "2025-12-16",
  "index": "SOFR",
  "nominal": 1000000.0,
  "spread": 0.0,
  "day_counter": "Actual360",
  "calendar": "SOFR fixing calendar",
  "lookback_days": 0,
  "lockout_days": 0,
  "apply_observation_shift": false,
  "rate": 4.090541348035881,
  "amount": 10226.353370089702
}

Field	Description
start_date	Start of the compounding period
end_date	End of the compounding period
index	The overnight index used
nominal	Notional amount (default: 1,000,000)
spread	Spread added to the rate (default: 0)
day_counter	Day count convention used
rate	The compounded rate as a percentage
amount	Interest amount on the notional

---

Validating Against the New York Fed

The New York Fed publishes official SOFR Averages for 30-, 90-, and 180-calendar day periods. You can use these to validate BlueGamma's calculations.

The New York Fed publishes daily SOFR averages for 30, 90, and 180 calendar day periods

Matching the Fed's 90-Day Average

The Fed's 90-day SOFR average for December 16, 2025 is 4.09054%.

To replicate this with the BlueGamma API, count back exactly 90 calendar days from December 16:

params = {
    "index": "SOFR",
    "start_date": "2025-09-17",  # 90 days before 12/16
    "end_date": "2025-12-16"
}

BlueGamma returns: 4.090541% — matching the Fed's published value.

Source	90-Day Compounded SOFR
NY Fed (12/16/2025)	4.09054%
BlueGamma API	4.090541%

Exact match. BlueGamma uses the same compounding methodology as the Fed's SOFR Averages, so results should match when using the correct 90-calendar-day window.

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Supported Indices

Index	Currency	Description
SOFR	USD	Secured Overnight Financing Rate
SONIA	GBP	Sterling Overnight Index Average
ESTR	EUR	Euro Short-Term Rate
CORRA	CAD	Canadian Overnight Repo Rate Average
SARON	CHF	Swiss Average Rate Overnight
TONAR	JPY	Tokyo Overnight Average Rate
Fed Funds	USD	Federal Funds Effective Rate

---

Optional Parameters

Spread

Add a fixed spread to the compounded rate:

params = {
    "index": "SOFR",
    "start_date": "2025-09-17",
    "end_date": "2025-12-16",
    "spread": 0.5  # Add 50 basis points
}

curl -X GET "https://api.bluegamma.io/v1/compounded_rate?index=SOFR&start_date=2025-09-17&end_date=2025-12-16&spread=0.5" \
  -H "x-api-key: your_api_key_here"

Nominal Amount

Calculate the actual interest amount on a specific notional:

params = {
    "index": "SOFR",
    "start_date": "2025-09-17",
    "end_date": "2025-12-16",
    "nominal": 50000000  # $50 million
}

curl -X GET "https://api.bluegamma.io/v1/compounded_rate?index=SOFR&start_date=2025-09-17&end_date=2025-12-16&nominal=50000000" \
  -H "x-api-key: your_api_key_here"

Response includes:

{
  "nominal": 50000000.0,
  "rate": 4.090541348035881,
  "amount": 511317.6685044851
}

Lookback and Lockout

For ISDA-style conventions with lookback or lockout periods:

params = {
    "index": "SOFR",
    "start_date": "2025-09-17",
    "end_date": "2025-12-16",
    "lookback_days": 5,    # Use rate from 5 days prior
    "lockout_days": 2      # Freeze rate 2 days before end
}

curl -X GET "https://api.bluegamma.io/v1/compounded_rate?index=SOFR&start_date=2025-09-17&end_date=2025-12-16&lookback_days=5&lockout_days=2" \
  -H "x-api-key: your_api_key_here"

---

Use Cases

Settling a Floating-Rate Loan Payment

Calculate the interest due on a SOFR-linked loan:

# Loan details
notional = 10_000_000  # $10 million
spread_bps = 150       # SOFR + 150bps

params = {
    "index": "SOFR",
    "start_date": "2024-10-01",  # Interest period start
    "end_date": "2024-12-31",    # Interest period end
    "nominal": notional,
    "spread": spread_bps / 100   # Convert to percentage
}

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

print(f"Compounded SOFR: {data['rate']:.4f}%")
print(f"All-in rate: {data['rate'] + spread_bps/100:.4f}%")
print(f"Interest due: ${data['amount']:,.2f}")

curl -X GET "https://api.bluegamma.io/v1/compounded_rate?index=SOFR&start_date=2024-10-01&end_date=2024-12-31&nominal=10000000&spread=1.5" \
  -H "x-api-key: your_api_key_here"

Comparing SONIA vs SOFR

# Same period for both indices
period_params = {
    "start_date": "2025-09-17",
    "end_date": "2025-12-16"
}

sofr = requests.get(url, headers=headers, params={**period_params, "index": "SOFR"}).json()
sonia = requests.get(url, headers=headers, params={**period_params, "index": "SONIA"}).json()

print(f"SOFR (90-day):  {sofr['rate']:.4f}%")
print(f"SONIA (90-day): {sonia['rate']:.4f}%")
print(f"Spread:         {(sofr['rate'] - sonia['rate']) * 100:.1f} bps")

# SOFR
curl -X GET "https://api.bluegamma.io/v1/compounded_rate?index=SOFR&start_date=2025-09-17&end_date=2025-12-16" \
  -H "x-api-key: your_api_key_here"

# SONIA
curl -X GET "https://api.bluegamma.io/v1/compounded_rate?index=SONIA&start_date=2025-09-17&end_date=2025-12-16" \
  -H "x-api-key: your_api_key_here"

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Related Endpoints

If you need...	Use
Daily fixing (single day)	/fixing
Forward-looking rates	/forward_rate
Full forward curve	/forward_curve

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