v1.0.0

OpenAPI 3.1.0

BlueGamma API

Integrate real-time forward curve and swap rate data directly into your spreadsheets, treasury software, or pricing portfolios. Our API is developer-friendly, offering fast and reliable data access.

Why BlueGamma?

Specialized Data: Access forward curves and swap rates for multiple currencies and tenors to make timely, data-driven decisions.
Easy Integration: Designed for easy integration into existing systems.
Expert Support: Our experts are available to assist with your integration needs.

💡 Looking for more?
Visit our website to explore use cases and solutions.

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Server

https://api.bluegamma.io/v1

Production server

Client Libraries

Shell Curl

Swap Rates

Live and historical swap rate calculations, available tenors, and swap curve construction

Swap Rates Operations

get/swap_rate
get/get_swap_curve
get/historical_swap_rates
post/swap_pricer
get/swap_rate_tenors

Get Swap Rate

This endpoint calculates the swap rate based on the specified parameters.

View guide with examples →

Query Parameters

index
Type: string · enum
required

The specific index (e.g., SOFR, 1M EURIBOR, 6M EURIBOR OR SONIA) on which the swap rate is based.

The authoritative set of interest rate indices supported by the curve, swap and rate endpoints (/forward_curve, /discount_curve, /swap_rate, /get_swap_curve, /forward_rate, /zero_rate, ...). Retrieve it programmatically via GET /v1/indices. Note this is NOT the same list as GET /fixing supports -- fixings cover published benchmark values (see FixingIndex and GET /v1/fixing_indices).
values
- SOFR
- Fed Funds
- 1M USD-LIBOR
- 3M USD-LIBOR
- 6M USD-LIBOR
start_date
required

The start date for the swap. Provide either a specific date (e.g., '2025-12-31') or a tenor (e.g., '6M', '1Y'), but not both.
Type: string · Format: date

A date in ISO 8601 only date format (YYYY-MM-DD)
maturity_date
required

The maturity date for the swap. Provide either a specific date (e.g., '2030-12-31') or a tenor (e.g., '1Y', '5Y'), but not both. Validation Requirements: - Maturity date must be in the future - Maturity date must be later than start date - If using a tenor, it represents the period from start date to maturity
Type: string · Format: date

A date in ISO 8601 only date format (YYYY-MM-DD)
fixed_leg_frequency
Type: string ·
required

The payment frequency for the fixed leg of the swap. Common values are '1M', '3M', '6M', '1Y'.

Payment frequency for financial instruments
floating_leg_frequency
Type: string ·

The payment frequency for the floating leg of the swap. Common values are '1M', '3M', '6M', '1Y'. If not provided, the frequency defaults to match the fixed leg.

Payment frequency for financial instruments
fixed_leg_day_count
Type: string · enum

The day count convention used for the fixed leg of the swap. By default, we use the currency-specific day count convention.

Day count convention for interest rate and swap calculations
values
- Actual360
- Actual365
- Actual365Fixed
- Thirty360BondBasis
- Thirty360EuroBondBasis
- Business252
floating_leg_day_count
Type: string · enum

The day count convention used for the floating leg of the swap. By default, we use the currency-specific day count convention.

Day count convention for interest rate and swap calculations
values
- Actual360
- Actual365
- Actual365Fixed
- Thirty360BondBasis
- Thirty360EuroBondBasis
- Business252
valuation_time
Type: string · Format: date-time

The specific time (or date) for the market data used in the calculation. If valuation_time is not provided, the endpoint will use the most recent market data available. For major currencies (e.g. USD, EUR, GBP), data is updated every minute. This timestamp should be in ISO 8601 format and is interpreted as UTC.

A date and time in ISO 8601 format (YYYY-MM-DDThh:mm:ssZ). All times are interpreted as UTC.

Responses

application/json
application/json
application/json
500

Internal Server Error - An error occurred while processing the request.

get/swap_rate

curl 'https://api.bluegamma.io/v1/swap_rate?index=SOFR&start_date=2D&maturity_date=1Y&fixed_leg_frequency=6M' \
  --header 'x-api-key: YOUR_SECRET_TOKEN'

Show Schema

{
  "index": "3M EURIBOR",
  "start_date": "2025-12-31",
  "maturity_date": "2025-12-31",
  "fixed_leg_first_payment_date": "2025-12-31",
  "floating_leg_first_payment_date": "2025-12-31",
  "floating_leg_frequency": "3M",
  "floating_leg_day_count": "Actual360",
  "fixed_leg_frequency": "6M",
  "fixed_leg_day_count": "Actual360",
  "valuation_time": "2024-01-01T15:00:00Z",
  "swap_rate": 3.34567803
}

Successful retrieval of calculated swap rate data.

Get Swap Curve

This endpoint returns a complete swap curve for a given index, calculating swap rates for all available tenors. It uses the predefined index configuration to automatically determine the appropriate day count conventions and frequencies, then fetches all available tenors from the database.

View guide with examples →

Query Parameters

index
Type: string · enum
required

The name of the index for which to retrieve the swap curve.

The authoritative set of interest rate indices supported by the curve, swap and rate endpoints (/forward_curve, /discount_curve, /swap_rate, /get_swap_curve, /forward_rate, /zero_rate, ...). Retrieve it programmatically via GET /v1/indices. Note this is NOT the same list as GET /fixing supports -- fixings cover published benchmark values (see FixingIndex and GET /v1/fixing_indices).
values
- SOFR
- Fed Funds
- 1M USD-LIBOR
- 3M USD-LIBOR
- 6M USD-LIBOR
valuation_time
Type: string · Format: date-time

The specific time (or date) for the market data used in the calculation. If valuation_time is not provided, the endpoint will use the most recent market data available. For major currencies (e.g. USD, EUR, GBP), data is updated every minute. This timestamp should be in ISO 8601 format and is interpreted as UTC.

A date and time in ISO 8601 format (YYYY-MM-DDThh:mm:ssZ). All times are interpreted as UTC.

Responses

application/json
application/json
404

Not Found - No tenors available for the specified index or currency.
422

Unprocessable Entity - The provided index name is not found in the configuration.
500

Internal Server Error - An error occurred while processing the request.

get/get_swap_curve

curl 'https://api.bluegamma.io/v1/get_swap_curve?index=SOFR' \
  --header 'x-api-key: YOUR_SECRET_TOKEN'

Show Schema

{
  "index_name": "SOFR",
  "start_date": "2025-12-31",
  "floating_leg_frequency": "12M",
  "floating_leg_day_count": "Actual360",
  "fixed_leg_frequency": "12M",
  "fixed_leg_day_count": "Actual360",
  "valuation_time": "2024-01-01T15:00:00Z",
  "swap_rates": [
    {
      "tenor": "1Y",
      "swap_rate": 2.45678901
    },
    {
      "tenor": "5Y",
      "swap_rate": 3.34567803
    },
    {
      "tenor": "10Y",
      "swap_rate": 3.87654321
    }
  ]
}

Successful retrieval of complete swap curve data for all available tenors.

Get Historical Swap Rates

Returns historical swap rates for a given index and tenor over a date range (start_date to end_date).

View guide with examples →

Query Parameters

index
Type: string · enum
required

The specific index (e.g., SOFR, 1M EURIBOR, 6M EURIBOR, SONIA) for the swap rates.

The authoritative set of interest rate indices supported by the curve, swap and rate endpoints (/forward_curve, /discount_curve, /swap_rate, /get_swap_curve, /forward_rate, /zero_rate, ...). Retrieve it programmatically via GET /v1/indices. Note this is NOT the same list as GET /fixing supports -- fixings cover published benchmark values (see FixingIndex and GET /v1/fixing_indices).
values
- SOFR
- Fed Funds
- 1M USD-LIBOR
- 3M USD-LIBOR
- 6M USD-LIBOR
tenor
Type: string · Pattern: ^[0-9]+[DWMY]$
required

The tenor for each swap rate (e.g., '1Y', '5Y').

A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years)
start_date
Type: string · Format: date
required

The start date for the swap rates (inclusive). Provide a specific date (e.g., '2025-12-31').

A date in ISO 8601 only date format (YYYY-MM-DD)
end_date
Type: string · Format: date
required

The end date for the swap rates (inclusive). Provide a specific date (e.g., '2025-12-31').

A date in ISO 8601 only date format (YYYY-MM-DD)

Responses

application/json
application/json
application/json
application/json
500

Internal Server Error - An error occurred while processing the request.

get/historical_swap_rates

curl 'https://api.bluegamma.io/v1/historical_swap_rates?index=SOFR&tenor=5Y&start_date=2024-01-01&end_date=2024-12-31' \
  --header 'x-api-key: YOUR_SECRET_TOKEN'

Show Schema

{
  "index_name": "3M EURIBOR",
  "currency": "EUR",
  "fixed_leg_day_count": "Actual360",
  "floating_leg_day_count": "Actual360",
  "fixed_leg_frequency": "6M",
  "floating_leg_frequency": "3M",
  "swap_rates": [
    {
      "rate": 3.34567803,
      "date": "2024-06-01",
      "tenor": "1Y"
    }
  ]
}

Successful retrieval of historical swap rates.

Swap Pricer

Calculate the mark-to-market (MTM) value, fair rate, PV01, and detailed cashflows for an interest rate swap. Supports amortizing swaps with variable notional amounts.

View guide with examples →

When fixed_rate is omitted, the swap is valued at the fair (par) rate and mark-to-market is zero.

This endpoint provides comprehensive swap valuation including:

Fair swap rate calculation
Mark-to-market valuation
PV01 (dollar value of a basis point)
Detailed cashflow schedules for both fixed and floating legs

Body·

required

application/json

fixed_leg_frequency
Type: string ·
required

Payment frequency for financial instruments
fixed_notionals
required

Notional amount(s). Provide a single number for vanilla swaps or a list for amortizing swaps.
Type: number Format: double

Notional amount(s). Provide a single number for vanilla swaps or a list for amortizing swaps.
index
Type: string · enum
required

The reference rate index (e.g., SOFR, 3M EURIBOR, SONIA). The full supported set is the Index enum, also served by GET /v1/indices.

The authoritative set of interest rate indices supported by the curve, swap and rate endpoints (/forward_curve, /discount_curve, /swap_rate, /get_swap_curve, /forward_rate, /zero_rate, ...). Retrieve it programmatically via GET /v1/indices. Note this is NOT the same list as GET /fixing supports -- fixings cover published benchmark values (see FixingIndex and GET /v1/fixing_indices).
values
- SOFR
- Fed Funds
- 1M USD-LIBOR
- 3M USD-LIBOR
- 6M USD-LIBOR
maturity_date
required
Type: string · Format: date

A date in ISO 8601 only date format (YYYY-MM-DD)
start_date
required
Type: string · Format: date

A date in ISO 8601 only date format (YYYY-MM-DD)
fixed_leg_day_count
- Type: string · enum
  
  The day count convention used for the fixed leg. By default, uses the currency-specific convention
  
  values
  Actual360
  Actual365
  Actual365Fixed
  Thirty360BondBasis
  Thirty360EuroBondBasis
  Business252
fixed_leg_first_payment_date
Type: string Format: date

The first payment date (e.g., '2026-08-02'). If not provided, defaults to start_date + fixed_leg_frequency adjusted for business days.
fixed_rate
Type: number Format: double

The fixed rate as a percentage (e.g., 4.25 for 4.25%). Optional; when omitted, the swap is valued at the fair rate and mark-to-market is zero.
valuation_time
Type: string Format: date-time

Valuation time in ISO 8601 format. Defaults to current time if not provided.

Responses

application/json
application/json
application/json
500

Internal Server Error - An error occurred while processing the request.

post/swap_pricer

curl https://api.bluegamma.io/v1/swap_pricer \
  --request POST \
  --header 'Content-Type: application/json' \
  --header 'x-api-key: YOUR_SECRET_TOKEN' \
  --data '{
  "index": "SOFR",
  "start_date": "2025-01-15",
  "maturity_date": "2030-03-31",
  "fixed_leg_frequency": "6M",
  "fixed_rate": 4.25,
  "fixed_notionals": [
    100000000
  ]
}'

Show Schema

{
  "index": "SOFR",
  "currency": "USD",
  "start_date": "2025-01-15",
  "maturity_date": "2030-03-31",
  "fixed_leg_first_payment_date": "2025-07-15",
  "floating_leg_first_payment_date": "2025-07-15",
  "valuation_time": "2026-01-28T15:00:00Z",
  "timestamp": "2026-01-28T15:00:00Z",
  "fixed_leg_frequency": "6M",
  "floating_leg_frequency": "6M",
  "fixed_leg_day_count": "Actual360",
  "floating_leg_day_count": "Actual360",
  "fixed_rate": 4.25,
  "fair_rate": 3.87654,
  "mtm": -125430.5,
  "pv01": 42850.25,
  "fixed_cashflows": [
    {
      "period_start": "2025-01-15",
      "period_end": "2025-03-31",
      "notional": 100000000,
      "day_count_fraction": 0.2083,
      "rate": 4.25,
      "cashflow": 212500,
      "discount_factor": 0.9912,
      "present_value": 210630
    }
  ],
  "floating_cashflows": [
    {
      "period_start": "2025-01-15",
      "period_end": "2025-03-31",
      "notional": 100000000,
      "day_count_fraction": 0.2083,
      "rate": 4.25,
      "cashflow": 212500,
      "discount_factor": 0.9912,
      "present_value": 210630
    }
  ]
}

Successful swap pricer calculation.

Get Available Swap Rate Tenors

Returns the list of available tenors for swap rates for a given index.

Query Parameters

index
Type: string · enum
required

The specific index (e.g., SOFR, 1M EURIBOR, 6M EURIBOR, SONIA) for which to retrieve available swap rate tenors.

The authoritative set of interest rate indices supported by the curve, swap and rate endpoints (/forward_curve, /discount_curve, /swap_rate, /get_swap_curve, /forward_rate, /zero_rate, ...). Retrieve it programmatically via GET /v1/indices. Note this is NOT the same list as GET /fixing supports -- fixings cover published benchmark values (see FixingIndex and GET /v1/fixing_indices).
values
- SOFR
- Fed Funds
- 1M USD-LIBOR
- 3M USD-LIBOR
- 6M USD-LIBOR

Responses

application/json
application/json
application/json
application/json
500

Internal Server Error - An error occurred while processing the request.

get/swap_rate_tenors

curl 'https://api.bluegamma.io/v1/swap_rate_tenors?index=SOFR' \
  --header 'x-api-key: YOUR_SECRET_TOKEN'

Show Schema

{
  "index": "3M EURIBOR",
  "tenors": [
    "1Y",
    "2Y",
    "5Y",
    "10Y"
  ]
}

Successful retrieval of available swap rate tenors.

Forward & Discount Curves (Collapsed)

Forward curves, discount curves, FRA rates, and single-point calculations

Forward & Discount Curves Operations

get/forward_rate
post/forward_rates
get/discount_factor
get/discount_factors
get/zero_rate
get/zero_rates
get/forward_curve
get/discount_curve
get/forward_swap_curve
get/indices
get/fras

FX (Collapsed)

FX spot and forward rates, and real-time market data

FX Operations

get/fx
get/fx_forward
get/fx_forwards
get/fx_forward_curve
get/fx_stream

Central Bank and Benchmark Rates (Collapsed)

Interest rate fixings, central bank rates, and benchmark rate data for financial calculations

Central Bank and Benchmark Rates Operations

get/fixing
get/historical_fixings
get/fixing_indices
get/compounded_rate
get/central_bank_probabilities
get/central_bank_probability_matrix

Government Bonds (Collapsed)

Government bond yields and treasury rate calculations

Government Bonds Operations

get/gov_yield

Inflation (Collapsed)

Market-implied inflation rates derived from zero-coupon inflation swap curves

Inflation Operations

get/inflation_curve

Swaptions (Collapsed)

European swaption pricing with live yield curves and normal volatility surface. Pricing, delta, DV01, and vega for payer and receiver swaptions.

Swaptions Operations

get/swaption_price

Caps & Floors (Collapsed)

Interest rate cap and floor pricing with caplet-level breakdowns and volatility smile options. Multi-strike and staggered-notional structures are supported via the POST endpoint.

Caps & Floors Operations

get/cap_floor_price
post/cap_floor_price

Bonds (Collapsed)

Descriptive bond metadata and indicative pricing (not live market quotes).

Bonds Operations

get/bond
get/bond_price
get/bond_yield

BlueGamma API

AuthenticationRequired

Swap Rates

Get Swap Rate

Get Swap Curve

Get Historical Swap Rates

Swap Pricer

Get Available Swap Rate Tenors

Forward & Discount Curves (Collapsed)

FX (Collapsed)

Central Bank and Benchmark Rates (Collapsed)

Government Bonds (Collapsed)

Inflation (Collapsed)

Swaptions (Collapsed)

Caps & Floors (Collapsed)

Bonds (Collapsed)

Models