Our Data & Methodology

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.

“Most providers will tell you the curve is a proprietary algorithm. It isn’t. The only reason you buy data from us is so you don’t have to build the curve yourself — so we’ll show you exactly how we build it.”Ali Vohra, co-founder & CEO

The same source the banks use

Swaps trade over the counter. When a bank executes, it goes through an interdealer broker — that’s where prices are born. The legacy terminals don’t own that data either; they aggregate it, just like we do. We license ours directly from one of the world’s largest interdealer brokers and the exchanges, so the mid you see on BlueGamma is the mid the desks see.

Banks & dealersquote and execute swaps over the counter

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Interdealer brokers & exchangeswhere every price originates

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BlueGammalicensed direct — live mids every 30 seconds

Legacy terminalssame feed, terminal price tag

Your bank’s desksame feed, plus their margin

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.

We use the same market-standard method the banks use — because a forward curve only works if everyone who checks it gets the same answer.

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.

Why two providers show different numbers

When rates from two sources disagree, it’s almost never the underlying data — it’s one of three settings. We’ve diagnosed hundreds of these side by side.

Snap time

5pm New York, 5pm London or midnight UTC — "end of day" means different things on different systems. Every BlueGamma data point carries its source timestamp, so you can line them up exactly.

The most common cause

Conventions

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 bps

Interpolation 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 deals

Align 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.

1 bp

typical difference vs bank mids, once conventions align

30 sec

refresh on every curve — web, Excel and API

50 yrs

of quoted tenors observed, from 1 week out

UTC

source timestamp on every single data 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.

“We recommend that every client who onboards with us first compares our data to something they’re already using. I can tell you the numbers match — but you need to see it yourself.”Ali Vohra, co-founder & CEO

✓

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

Run the comparison yourself

Fourteen days, full access, every curve. Put BlueGamma next to your current source and see if you can tell the difference — then look at the two invoices.

Try Free for 14 Days Book a Demo

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