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Swap Pricer

The Swap Pricer tool lets you price a swap with a custom notional schedule and access forward curves to sync with your financial model.

Step-by-Step Guide to Pricing a Swap

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1. Set Up a New Project

  • Go to Swap Pricerarrow-up-right

  • Click on the “Add New Project” button.

  • A pop-up titled "Add Project" will appear.

  • Fill in the following details:

    1. Project Name and Model Version for easy tracking.

    2. Currency of the Debt.

    3. Enter your swap details:

  1. Click Add Project to create the project. You’ll be redirected to the project page.

  1. A swap rate will appear in the top left.

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2. Updating the Notional Profile

The swap rate shown by default is for a bullet swap: this is the term for a swap rate with a flat notional profile. To update the notional profile, you have two options:

Option A: Manual Entry

  1. On the project page, click the "Edit Notionals" button

  2. Copy and paste the notionals into the first cell

  3. The app will automatically calculate your updated swap rate - you should see this update.

Option B: Upload a Pricer (Recommended for Complex Schedules)

  1. Click Download Pricer. The Excel file includes: cashflow schedule, forward rates, discount factors, notional column, and spread fields.

  2. Open the file and enter your notional profile in the Notional column.

  3. Adjust spreads/margins if needed and save the file.

  4. Click Upload Pricer and select your file (CSV or Excel).

  5. The system will confirm the upload, then refresh your swap rate and cashflow schedule.

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3. Downloading a Forward Curve

  1. Click the Download Curve button to get the forward rates.

  2. A CSV file will download, which you can directly upload into your financial model.

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Want to automate this workflow? Use the BlueGamma API or Excel Add-in to pull forward curves directly into your models.

See API guide → | See Excel guide →

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Additional Features

  • Data Refresh: Swap data updates every minute.

  • Historical Data: To look back at previous rates, use the date drop-down in the top right corner or view the historical swap rate graph

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