Fetching Forward Starting Swap Rates

Use the /swap_rate endpoint to price forward starting swaps where the effective date is in the future. Specify start dates using tenors (6M, 1Y) or specific dates.

A forward starting swap is an interest rate swap where the effective date is set in the future rather than starting immediately (spot). This allows hedging of future interest rate exposure.

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Basic Example

Use 0D for spot, or a tenor like 6M, 1Y for forward starts:

import requests

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

params = {
    "index": "6M EURIBOR",
    "start_date": "1Y",           # Forward start in 1 year
    "maturity_date": "5Y",        # 5 year swap from start
    "fixed_leg_frequency": "6M"
}

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

Response:

{
  "index": "6M EURIBOR",
  "start_date": "2027-01-14",
  "maturity_date": "2032-01-14",
  "fixed_leg_first_payment_date": "2027-07-14",
  "floating_leg_first_payment_date": "2027-07-14",
  "floating_leg_frequency": "6M",
  "floating_leg_day_count": "Actual360",
  "fixed_leg_frequency": "6M",
  "fixed_leg_day_count": "Actual360",
  "swap_rate": 2.6083
}

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Using Specific Dates

You can also specify exact dates:

params = {
    "index": "6M EURIBOR",
    "start_date": "2026-06-15",      # Specific forward start
    "maturity_date": "2031-06-15",   # Specific maturity
    "fixed_leg_frequency": "6M"
}

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Fetching Multiple Forward Starts with asyncio

Use asyncio to fetch multiple forward starting rates efficiently:

import asyncio
import aiohttp

API_KEY = "your_api_key"
BASE_URL = "https://api.bluegamma.io/v1"

async def fetch_swap_rate(session, start_date, maturity):
    params = {
        "index": "6M EURIBOR",
        "start_date": start_date,
        "maturity_date": maturity,
        "fixed_leg_frequency": "6M"
    }
    async with session.get(f"{BASE_URL}/swap_rate", params=params) as resp:
        data = await resp.json()
        return start_date, maturity, data.get("swap_rate")

async def main():
    headers = {"x-api-key": API_KEY}
    forward_starts = ["0D", "3M", "6M", "1Y", "2Y", "3Y"]
    maturities = ["5Y", "7Y", "10Y"]
    
    async with aiohttp.ClientSession(headers=headers) as session:
        tasks = [
            fetch_swap_rate(session, fwd, mat)
            for fwd in forward_starts
            for mat in maturities
        ]
        results = await asyncio.gather(*tasks)
    
    return results

results = asyncio.run(main())

Results (6M EURIBOR, Jan 2026):

Forward Start	5Y Swap	7Y Swap	10Y Swap
0D (Spot)	2.4491%	2.5925%	2.7751%
3M	2.4864%	2.6277%	2.8069%
6M	2.5245%	2.6641%	2.8388%
1Y	2.6083%	2.7424%	2.9062%
2Y	2.7687%	2.8896%	3.0329%
3Y	2.9121%	3.0181%	3.1417%

Forward starting rates increase with the forward start period due to the upward sloping curve

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Parameters

Parameter	Required	Description
index	Yes	Interest rate index (e.g., 6M EURIBOR, SOFR, SONIA)
start_date	Yes	0D for spot, or tenor (6M, 1Y) / date (2026-06-15)
maturity_date	Yes	Swap tenor (5Y, 10Y) or specific date
fixed_leg_frequency	Yes	Payment frequency (6M, 1Y)
valuation_time	No	Historical timestamp (ISO 8601)

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🧠 Tips

• maturity_date is the swap tenor from the start_date, not from today

• start_date and maturity_date accept tenors (6M, 1Y) or ISO dates (2026-06-15)

• Use valuation_time to get historical forward starting rates

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