> 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/methodology.md). # Methodology - [Methodology Overview](https://www.bluegamma.io/documentation/methodology/methodology.md): Index of BlueGamma's methodology: how swap, government bond, FX forward and inflation curves are built, how zero rates, forward rates, discount factors, swap MtM and central bank probabilities are cal - [How We Bootstrap the Yield Curve](https://www.bluegamma.io/documentation/methodology/how-to-bootstrap-the-yield-curve.md): Learn how to bootstrap the yield curve from swap rates. Step-by-step guide to deriving zero-coupon rates and discount factors from market instruments. - [Government Bond Curves](https://www.bluegamma.io/documentation/methodology/government-bond-curves.md): How BlueGamma bootstraps zero-coupon government bond curves from US Treasury constant maturity yields, refreshed every minute, and daily sovereign yields for eight other markets. - [FX Forward Curves](https://www.bluegamma.io/documentation/methodology/fx-forward-curves.md): How BlueGamma builds FX forward curves: interbank spot mid-rates plus forward points, covered interest rate parity, linear interpolation between tenors and USD triangulation. - [Inflation Curves](https://www.bluegamma.io/documentation/methodology/inflation-curves.md): How BlueGamma builds zero-coupon inflation curves, including how UK CPI rates are derived, and where IMF forecasts are used instead of market quotes. - [The UK RPI-CPI Wedge](https://www.bluegamma.io/documentation/methodology/uk-rpi-cpi-wedge.md): How BlueGamma calculates the RPI-CPI wedge used to derive UK CPI zero-coupon rates from the RPI curve. - [Zero Rates](https://www.bluegamma.io/documentation/methodology/zero-rates.md): How BlueGamma derives zero-coupon rates from bootstrapped discount factors, with the day count and compounding convention for each index and a worked SOFR example. - [Forward Rates](https://www.bluegamma.io/documentation/methodology/forward-rates.md): How BlueGamma derives forward rates from the bootstrapped curve: a simple rate on the index day count from the ratio of discount factors, with worked examples and the API and Excel calls. - [Central Bank Decision Probabilities](https://www.bluegamma.io/documentation/methodology/central-bank-probabilities.md): How BlueGamma derives market-implied central bank decision probabilities from OIS curves, and the assumptions behind them. - [Discount Factors](https://www.bluegamma.io/documentation/methodology/discount-factors.md): How BlueGamma reads discount factors off the bootstrapped curve, with log-cubic interpolation between tenors, the link to zero rates, a worked SOFR example and the API and Excel calls. - [Swap Mark-to-Market & Accrued Interest](https://www.bluegamma.io/documentation/methodology/swap-mark-to-market.md): How BlueGamma values interest rate swaps: dirty and clean mark-to-market, accrued interest, valuation timing, curve scenarios and the reporting identities. - [Public Website Curves vs. Platform Curves](https://www.bluegamma.io/documentation/methodology/public-website-curves-vs-platform-curves.md): Why the curves shown on bluegamma.io marketing pages differ from the curves in the app, API, and Excel Add-in, and which one to use for modelling. --- # Agent Instructions This documentation is published with GitBook. GitBook is the documentation platform designed so that both humans and AI agents can read, navigate, and reason over technical content effectively. Learn more at gitbook.com. ## Querying This Documentation If you need additional information that is not directly available in this page, you can query the documentation by asking a question. Perform an HTTP GET request on the following URL with the `ask` and `goal` query parameters: ``` GET https://www.bluegamma.io/documentation/methodology.md?ask=&goal= ``` `ask` is the immediate question: it should be specific, self-contained, and written in natural language. `goal` is what the user is ultimately trying to achieve, the reason they need the answer. Sharing it helps GitBook give you a better, more relevant answer. A goal is most helpful when it describes the outcome the user wants rather than restating the question. For example, with `ask=how do I create an API token`, a goal like `automate deployments from our CI pipeline` lets GitBook tailor the answer to that use case. The response will contain a direct answer to the question and relevant excerpts and sources from the documentation. Use this mechanism when the answer is not explicitly present in the current page, you need clarification or additional context, or you want to retrieve related documentation sections.