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.

Errors

Errors from BlueGamma return JSON with a detail message, e.g. {"detail": "Index 'NOTANINDEX' not found"}. A 422 for a missing or malformed parameter returns detail as a list of per-field errors instead.
Errors from the API gateway return message instead: a missing or invalid API key (403), a rate or daily quota limit (429), a crashed request (502) or one that ran past the 29-second limit (504).
Each endpoint lists the status codes it can return.

Rate limits

Keys from the API dashboard allow 5 requests/second, with bursts up to 20. For higher limits, contact sales.
Successful responses carry a RateLimit-Policy header stating the key's limits, in the IETF RateLimit header format, e.g. "limited";q=5;w=1 (q requests per w seconds). It is best-effort: treat a response without it as unchanged limits.
Going over the limit returns 429 with Retry-After: 1.

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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
post/swap_rate/batch
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.

Market-standard quote (recommended): call with just index, start_date and maturity_date. When fixed_leg_frequency is omitted, both leg frequencies and any unset day counts are taken from the index's market-standard conventions, so the result matches the standard on-screen quote for that index. Pass SPOT as the start date to start at the index's spot date.

Passing fixed_leg_frequency (and optionally the other convention parameters) prices a custom swap with exactly those conventions instead. The response always echoes the conventions that were used.

View guide with examples →

Query Parameters

index
Type: 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
- 6M EURIBOR
- 3M EURIBOR
- 1M EURIBOR
start_date
required

The start date for the swap. Provide a specific date (e.g., '2025-12-31'), a tenor (e.g., '6M', '1Y'), or 'SPOT' for the index's spot start date.
Type: 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: Format: date

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

The payment frequency for the fixed leg of the swap. Common values are '1M', '3M', '6M', '1Y'. Omit to quote at the index's market-standard conventions (recommended).

A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years)
floating_leg_frequency
Type:

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.

A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years)
fixed_leg_day_count
Type: 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
Actual360Actual365Actual365FixedThirty360BondBasisThirty360EuroBondBasisBusiness252
floating_leg_day_count
Type: 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
Actual360Actual365Actual365FixedThirty360BondBasisThirty360EuroBondBasisBusiness252
valuation_time
Type: 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 valuation_time far enough in the future that no market data can be read for it is rejected with a 422; to price a forward-starting instrument, leave valuation_time unset and use the instrument's own start date.

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
application/json
application/json
application/json
application/json

get/swap_rate

curl 'https://api.bluegamma.io/v1/swap_rate?index=SOFR&start_date=SPOT&maturity_date=1Y&fixed_leg_frequency=6M&floating_leg_frequency=1Y&fixed_leg_day_count=Actual360&floating_leg_day_count=Actual360&valuation_time=2024-01-01T15%3A00%3A00Z' \
  --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.

Batch Swap Rates

Prices many swap rates in one request: calls GET /v1/swap_rate once per item and returns the results in input order. Items may mix indices and valuation times. Up to 50 items per request.

Each item is validated, access-checked and priced exactly as the equivalent GET request would be. A failing item does not fail the request: its entry in results carries the status code and error detail that GET would have returned, and every other item is still priced. The request itself only fails (4xx) for authentication, a malformed body, or more than 50 items.

Body

required

application/json

items
Type: 1…50
required
Properties: 8

Responses

application/json
application/json
application/json
application/json
application/json
application/json

post/swap_rate/batch

curl https://api.bluegamma.io/v1/swap_rate/batch \
  --request POST \
  --header 'Content-Type: application/json' \
  --header 'x-api-key: YOUR_SECRET_TOKEN' \
  --data '{
  "items": [
    {
      "index": "SOFR",
      "start_date": "SPOT",
      "maturity_date": "5Y"
    }
  ]
}'

Show Schema

{
  "results": [
    {
      "status": 200,
      "data": {
        "index": "SOFR",
        "start_date": "2026-09-23",
        "maturity_date": "2031-09-23",
        "fixed_leg_frequency": "1Y",
        "swap_rate": 3.41250113
      }
    }
  ]
}

One result per item, in the order the items were sent.

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: 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
- 6M EURIBOR
- 3M EURIBOR
- 1M EURIBOR
valuation_time
Type: 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 valuation_time far enough in the future that no market data can be read for it is rejected with a 422; to price a forward-starting instrument, leave valuation_time unset and use the instrument's own start date.

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
application/json
application/json
application/json
application/json
application/json

get/get_swap_curve

curl 'https://api.bluegamma.io/v1/get_swap_curve?index=SOFR&valuation_time=2024-01-01T15%3A00%3A00Z' \
  --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: 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
- 6M EURIBOR
- 3M EURIBOR
- 1M EURIBOR
tenor
Type:
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: 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: 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
application/json
application/json
application/json
application/json

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:
required

A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years)
fixed_notionals
required

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

Notional amount(s). Provide a single number for vanilla swaps or a list for amortizing swaps.
index
Type: 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.
values
- SOFR
- Fed Funds
- 1M USD-LIBOR
- 3M USD-LIBOR
- 6M USD-LIBOR
- 6M EURIBOR
- 3M EURIBOR
- 1M EURIBOR
maturity_date
required
Type: Format: date

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

A date in ISO 8601 only date format (YYYY-MM-DD)
fixed_leg_day_count
- Type: enum
  
  The day count convention used for the fixed leg. By default, uses the currency-specific convention
  
  values
  Actual360Actual365Actual365FixedThirty360BondBasisThirty360EuroBondBasisBusiness252
fixed_leg_first_payment_date
Type: stringFormat: 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: numberFormat: 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: stringFormat: date-time

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

Responses

application/json
application/json
application/json
application/json
application/json
application/json
application/json

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: 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
- 6M EURIBOR
- 3M EURIBOR
- 1M EURIBOR

Responses

application/json
application/json
application/json
application/json
application/json
application/json
application/json
application/json

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

Query Parameters

Responses

Batch Swap Rates

Body

Responses

Get Swap Curve

Query Parameters

Responses

Get Historical Swap Rates

Query Parameters

Responses

Swap Pricer

Body·

Responses

Get Available Swap Rate Tenors

Query Parameters

Responses

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

BlueGamma API

AuthenticationRequired

Swap Rates

Get Swap Rate

Query Parameters

Responses

Batch Swap Rates

Body

Responses

Get Swap Curve

Query Parameters

Responses

Get Historical Swap Rates

Query Parameters

Responses

Swap Pricer

Body·SwapPricerRequest

Responses

Get Available Swap Rate Tenors

Query Parameters

Responses

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

Body·