Know exactly where your number comes from
On nearly every call, we get asked the same two questions: where does the data come from, and how do you build your curves? Fair questions — your models, valuations and audits depend on the answers. So here they are, in full.
The same source the banks use
Everyone drinks from the same well. That’s why, once you align conventions and timestamps, BlueGamma, the terminal and your bank should all agree — typically within a basis point.
Four steps. No black box.
Observe
Live mid quotes on traded swaps, from 1 week out to 50 years. Captured every 30 seconds, each point timestamped in UTC at source.
Bootstrap
Market-standard bootstrapping, built and maintained in-house — no third-party black box. Same method, same curve, whoever runs it.
Normalise
Raw quotes carry market conventions — annual vs semi-annual legs, act/360 vs act/365, holiday calendars. We convert them into rates your model can actually use.
Validate
An automated anomaly engine watches every feed around the clock, we compare daily against clearing-house settlement prices, and an engineer reviews every flag.
Which close — and can you rebuild it a year later?
FX spot and government yields
One value per business day.
Fixed by construction. No intraday cut applies, so the prior day’s value is settled once the day closes.
Swaps and OIS
Intraday history, every quote timestamped.
The last quote before that market stops updating. GBP stops around 16:00 and is unchanged after; EUR around 16:30; USD runs on into the evening. Pass a valuation time and we return the last quote at or before it, together with its timestamp — so you set your own cut, per currency, and apply the same one every time.
Published, then frozen
Historical records are not rewritten. Ask for the same date, or the same valuation time, a year later and the same inputs come back — which is what makes a past valuation something you can evidence rather than re-estimate.
What this looks like in an audit file →Why two providers show different numbers
Snap time
5pm New York, 5pm London or midnight UTC — "end of day" means different things on different systems. For swaps and OIS you pass the valuation time and we return the quote we held at it, with its timestamp; FX and government yields are a single daily close. Either way, you know which observation you are comparing.
The most common causeConventions
An annual fixed leg compared against a semi-annual one looks like a pricing error. It isn’t — it’s a compounding mismatch, and it alone can account for several basis points.
Typically 4–5 bpsInterpolation defaults
Some systems default to a stepwise curve unless you configure them. On amortising debt, that quietly distorts the swap rate. We interpolate properly — you don’t have to know to ask.
5–15 bps on amortising dealsAlign all three, and the difference left over is typically within one basis point of your bank’s mid. If it isn’t, tell us — we’ll trace it with you, point by point.
Every customer tested us first. You should too.
Every institution that has ever onboarded with BlueGamma ran the same exercise first: our data side by side against their terminal, their bank’s quotes, or both. Rating agencies put our methodology through extensive testing before putting their own name on it. We don’t just tolerate the comparison — we’ll help you run it.
Side-by-side validation — we’ll overlay BlueGamma against your current source at the same UTC minute, and explain any residual.
Methodology document — instruments, interpolation, day counts and calendars, curve by curve. Citable by your auditors; ships with every trial.
Point-in-time history — pull any curve as it stood on any date, for valuations, audits and hedge accounting.
Independent by design — we don’t advise, broker or trade. Our only product is the number being right.
The questions everyone asks
No. We license directly from an interdealer broker and the exchanges — the same origin the terminals aggregate from. Nothing is scraped or resold.
On mid rates, typically within a basis point — assuming no embedded floors or options in the quote. The remaining spread you see from a bank is their margin, not the market.
Mid only. Bid and offer depend on your relationship with your bank — quoting them would be pretending to know your spread. The mid is the anchor you negotiate from.
It depends on the market, and we track each one to its own close. FX spot and government yields hold one value per business day, so the daily close is fixed by construction. Swaps and OIS hold intraday history, and the close is the last quote before that market stops updating — around 16:00 for GBP, around 16:30 for EUR, and into the evening for USD. You pass a valuation time, we return the last quote at or before it along with its timestamp, so you can set your own cut per currency.
Yes — point-in-time curves for any historical valuation date, in the app, Excel or API. And the record does not move: historical data is not rewritten, so the same date or the same valuation time returns the same inputs however long after you ask. Your quarter-end numbers stay reproducible long after quarter end.
Yes. End-of-day data across FX spot, FX forwards, swaps, government debt and OIS — through the app, the REST API and the Excel add-in, on the same licence.
Yes. A methodology document covers construction curve by curve, and rating agencies already rely on the same data in their published work. If an auditor asks how a valuation was produced six months ago, we can reproduce the chain — the market inputs as at that date, and the curve built from them — timestamped to the minute for swaps and OIS, dated to the business day for FX and government debt. The construction itself is standard: par instruments bootstrapped to discount and forward curves on each currency's recognised conventions.