> 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-compounded-rfr-rates.md). # 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. *** ## Example: 90-Day Compounded SOFR ```python 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()) ``` ```bash 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:** ```json { "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, as a decimal fraction (default: 0) | | `day_counter` | Day count convention used | | `rate` | The compounded rate as a percentage, including any spread | | `amount` | Interest amount on the notional | *** ## Validating Against the New York Fed The New York Fed publishes official [SOFR Averages](https://www.newyorkfed.org/markets/reference-rates/sofr-averages-and-index) for 30-, 90-, and 180-calendar day periods. You can use these to validate BlueGamma's calculations.
New York Fed SOFR Averages page

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: ```python 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% | {% hint style="success" %} **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. {% endhint %} *** ## 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 | | `SORA` | SGD | Singapore Overnight Rate Average | | `CDI` | BRL | Brazilian Interbank Deposit Rate | | `Fed Funds` | USD | Federal Funds Effective Rate | *** ## Optional Parameters ### Spread Add a fixed spread to the compounded rate. `spread` is a **decimal fraction**: `0.005` adds 50 basis points, and `0.0025` adds 25. Values above 1 are rejected with a `422`. The returned `rate` already includes the spread. ```python params = { "index": "SOFR", "start_date": "2025-09-17", "end_date": "2025-12-16", "spread": 0.005 # Add 50 basis points } ``` ```bash curl -X GET "https://api.bluegamma.io/v1/compounded_rate?index=SOFR&start_date=2025-09-17&end_date=2025-12-16&spread=0.005" \ -H "x-api-key: your_api_key_here" ``` ### Nominal Amount Calculate the actual interest amount on a specific notional: ```python params = { "index": "SOFR", "start_date": "2025-09-17", "end_date": "2025-12-16", "nominal": 50000000 # $50 million } ``` ```bash 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:** ```json { "nominal": 50000000.0, "rate": 4.090541348035881, "amount": 511317.6685044851 } ``` ### Lookback and Lockout For ISDA-style conventions with lookback or lockout periods: ```python 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 } ``` ```bash 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: ```python # 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 / 10000 # Decimal fraction: 150bp = 0.015 } response = requests.get(url, headers=headers, params=params) data = response.json() # `rate` already includes the spread print(f"All-in rate (SOFR + 150bp): {data['rate']:.4f}%") print(f"Interest due: ${data['amount']:,.2f}") ``` ```bash 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=0.015" \ -H "x-api-key: your_api_key_here" ``` ### Comparing SONIA vs SOFR ```python # 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") ``` ```bash # 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" ``` *** ## Related Endpoints | If you need... | Use | | ------------------------- | -------------------------------------------------------------------------------------------- | | Daily fixing (single day) | [`/fixing`](/documentation/integrations/api/how-to-guides/fetching-fixing-rates.md) | | Forward-looking rates | [`/forward_rate`](/documentation/integrations/api/how-to-guides/getting-forward-rates.md) | | Full forward curve | [`/forward_curve`](/documentation/integrations/api/how-to-guides/getting-a-forward-curve.md) | *** Create a key under **API Keys** in the app sidebar. 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