Swap Pricer
The Swap Pricer gives you a live swap rate for a custom notional profile, plus the underlying forward curve to drop into your financial model.
The Swap Pricer is for live and forward pricing. If you need a current valuation (MtM) of an existing trade, use the Swap MtM module instead.
1. Add a Swap
Go to Swap Pricer.
Click the Add Swap button (top right).
The Swap Details dialog will open. Fill in:
Swap Name and Model Version for easy tracking.
Index (e.g. SOFR, SONIA, ESTR). Currency is set automatically from the index you pick, so there is no separate currency field.
The remaining swap details (start date, maturity, payment frequency, notional).
Click the save button to create the swap. You'll be redirected to the swap page.
A live swap rate appears at the top of the page.
2. Update the Notional Profile
The rate shown by default is a bullet swap: a flat notional profile. To apply a custom profile, open the Notional Profile tab on the swap page:
Click Edit Notionals.
Paste or type your notionals directly into the table.
Click Done Editing. The swap rate recalculates automatically.
To take the cashflow schedule offline, click Download Pricer in the top right. The Excel file includes the cashflow schedule, forward rates, discount factors, notional column, and spread fields, and is useful for plugging into a financial model.
3. Explore the Swap Page Tabs
The swap page is split into tabs so you can drill into the pricing inputs.
Notional Profile the cashflow schedule and editable notionals, plus a chart of the notional over time.
Historical Swap Rate how this swap's rate has moved over time, so you can see where today's level sits in context.
Forward Curve the projected floating rates used to price the swap, with a Download Curve button that exports a CSV you can drop into a financial model.
Swap Curve the par swap curve for the selected index across standard tenors (e.g. 1Y, 2Y, 5Y, 10Y).
MTM Forecast projects the mark-to-market of the swap at future dates using current forward rates and market volatility. Switch between Implied and Historical vol, adjust confidence bands, and look up the expected MtM at any specific date. Useful for stress testing, risk reporting, and scenario planning. See the Forecast MtM guide for the full breakdown.
Want to automate this workflow? Use the BlueGamma API or Excel Add-in to pull forward curves directly into your models.
Additional Features
Data refresh: swap data updates every minute.
Historical pricing: use the Change Time selector in the top right to price the swap at a specific historical date and time.
Copy rate / copy to Excel: use the icons next to the live rate to copy the value to clipboard or paste it straight into Excel.
Value an existing swap (MtM): click Value Swap MtM from the rate card to jump to the Swap MtM module for this swap, where you can upload a notional schedule, apply trade-date rates, and see a current valuation.
Edit swap details inline: click the pencil icons next to Bank, Reference, and Lookback Days to tweak metadata without rebuilding the swap.
Manage the swap: use the toolbar icons in the top right to rename, duplicate, share a read-only link, or delete the swap.
Basis point value (PV01): shown in the details panel, alongside weighted average life and all-in rate, so you can size hedges and check sensitivity at a glance.
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