€STR Forward Curve
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€STR Forward Curve
Powered by live swap quotes, and constructed using market standard methodology, our curves are built to match the market.
Built to match the market and ready to use in your model
Live quotes in, easy-to-use curves out.
Quotes taken directly from leading inter-dealer brokers and exchanges.
Bootstrapped to make the curves ready to use in your model.
Validated for consistency on a regular basis.
Delivered in Excel format, making the curves ready to use.
€STR Forward Rates 5 Years
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Waiting for data stalls valuations and decisions. BlueGamma hands you the curve in seconds.
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One-click download to Excel; no setup required
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Curves align with every benchmark, first time
FAQs
Where do the rates come from?
Quotes stream straight from tier-one inter-dealer brokers and exchanges. We sanity-check every feed before building the curve.
Can I pull a curve for any past date?
Yes. Pick any valuation date (and even time) and download the historical curve to Excel.
How fresh is the data?
Curves update intraday from live swap quotes; the Excel download is built on the very latest ticks the moment you hit Download.
Which curves do you cover?
SOFR, SONIA, EURIBOR, CORRA, BBSY, STIBOR, NIBOR, JIBAR and 30-plus others — all forward curves and discount factors.
Is there an API or Excel add-in?
Yes. Pull curves via a REST API or use the Excel function =BLUEGAMMA(). Same numbers everywhere, no manual uploads.
Can BlueGamma price my existing swaps, including amortising ones?
Absolutely. Load any swap (fixed-for-floating, amortising or bullet), drop in the notional schedule and get a mark-to-market in minutes — or roll the clock back for historic pricing.
€STR Forward Curve FAQs
What is €STR?
The Euro Short-Term Rate (€STR) is the official benchmark overnight interest rate for the euro. It represents the average cost for banks in the euro area to borrow cash overnight on an unsecured basis from a wide range of financial institutions, not just other banks.
Administered by the European Central Bank (ECB), €STR is a backward-looking rate, meaning the rate for any given day reflects the actual transactions of the previous day.
How is €STR calculated?
The calculation is designed to be robust and resistant to manipulation. The ECB collects daily transaction data from the largest eurozone banks. It then calculates a volume-weighted trimmed mean: all transactions are ordered by their interest rate, the highest 25% and lowest 25% of the transaction volume are removed, and the average rate of the remaining 50% becomes the official €STR. This ensures the rate reflects real market activity and is not skewed by outliers.
What is the €STR curve used for?
The €STR curve, or term structure, is a foundational tool in finance used for valuation, risk management, and market analysis. Its main applications include:
- Valuation and Discounting: The curve serves as the standard risk-free benchmark for calculating the present value of future euro-denominated cash flows. This is essential for accurately pricing everything from complex derivatives to simple bonds.
- Derivatives and Hedging: It is the primary reference rate for the multi-trillion euro derivatives market, particularly for Overnight Index Swaps (OIS). Companies and financial institutions use these instruments to hedge their exposure to fluctuating interest rates.
- Gauging Monetary Policy Expectations: The shape of the €STR curve provides critical insights into the market’s expectations for the future path of the ECB’s policy rates. A steepening curve suggests the market anticipates rate hikes, while an inverting curve can signal expected rate cuts.
What time is the €STR curve published?
This is a two-part answer, since the underlying benchmark rate and the forward curve have different update cycles:
The €STR Overnight Rate: The ECB publishes the official €STR rate at 8:00 AM CET on every TARGET2 business day. Because the rate is backward-looking, the rate published on a Tuesday morning, for example, reflects the trading activity from the previous business day, Monday.
The €STR Forward Curve: The forward curve does not have a single, official publication time. At BlueGamma, we provide our own forward curves with timestamps so you can seamlessly integrate them into your models.
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