If you’re building treasury tech, valuation tooling, or anything that touches derivatives, you’ve probably had the same moment:
You’ve built a swap pricer, the logic looks right… and the output is still meaningfully off what the dealer shows.
In our experience, swap pricing rarely breaks on the “maths”. It breaks on the dull parts: schedules, stubs, conventions, curve choices, and the glue code that holds it together.
That’s why BlueGamma is launching what we believe is the world’s first end-to-end interest rate swap pricing endpoint: /swap_pricer.
It’s built as a plug-and-play solution: give it the deal terms, and get mid rate, MTM, and full cashflows back in milliseconds.
The DIY approach: why “just build it” turns into a rates platform
There’s a well-known DIY path to pricing a vanilla swap:
- Build a cashflow schedule (dates, accrual fractions, notionals).
- Pull forwards for each period.
- Pull discount factors for each payment date.
- Compute the par rate as a weighted average (discount factors × accrual fractions × notionals). (BlueGamma)
BlueGamma even documents this approach because sometimes you do want full control (custom schedules, amortising structures, internal model integration). (BlueGamma)
But as soon as you go down this route, you now own:
- schedule generation (including stubs and business day rules)
- day count conventions and “defaults” per market
- curve calibration and roll logic
- data consistency and validation
- regression tests every time you add a new index or currency
And those are exactly the areas that create drift and “doesn’t match the bank” escalations.
What changes with /swap_pricer: one endpoint, end-to-end outputs
/swap_pricer is designed to remove the bits that make swap pricing expensive to ship and painful to maintain.
It gives you:
- Mid Rates
- MTM
- Full cashflow analysis
- Fast (milliseconds)
It also handles common real-world quirks automatically (for example, stubs).
And the practical goal is simple: results that line up with dealer quotes, without weeks of edge-case debugging
A concrete example (SOFR, 10Y)
From the launch example:
- Index: SOF26
- End: 26/01/2036 (10Y)
- First payment: 26/07/2026 (stubs handled automatically)
- Notional: **10,000
Want the current/par rate? Leave the fixed rate blank. Want MTM? Provide a fixed rate.
Where it fits: swap rate API, forward curve API, and a full interest rate API
Most teams start with a Swap Rate API, then realise they need a forward curve API for forecasting and discounting support
BlueGamma’s interest rate API is built around those building blocks: swap rates, forward curves, forward rates, and discount factors/curves. (BlueGamma)
A few core endpoints you can use alongside /swap_pricer:
/swap_rate: par swap rate for a vanilla swap. (BlueGamma)/get_swap_curve: full par curve across tenors for an index. (BlueGamma)/forward_curve: full forward curve over a horizon/tenor. (BlueGamma)/forward_rate: implied forward between any two dates/tenors. (BlueGamma Documentation)/discount_curve: discount factors over a schedule. (BlueGamma Documentation)
The key difference is that /swap_pricer aims to be the finished answer (rate + MTM + cashflows), rather than a set of components you still need to stitch together.
Coverage: EURIBOR, SONIA, CORRA, NIBOR, STIBOR, CIBOR, and more
If you’re shipping for real users, coverage matters. You don’t want a different provider (and a different set of conventions) for every new market.
BlueGamma’s API supports a wide list of indices for forward curves and discount curves, including EURIBOR (1M/3M/6M), SONIA, CORRA, NIBOR (3M/6M), STIBOR, and CIBOR (1M/3M/6M). (BlueGamma Documentation)
And BlueGamma publicly states coverage across major curves (including SOFR, SONIA, EURIBOR, CORRA, STIBOR, NIBOR, JIBAR) plus “30 other curves”. (BlueGamma)
Why CTOs choose an interest rate API over DIY
DIY swap pricing can be a good research project. It’s rarely a good product decision.
A purpose-built interest rate API is usually the better call when:
- you need to ship fast without building a rates team
- you want stable outputs across indices and over time
- you want fewer moving parts to test, maintain, and explain
- you want a clear path from “rate” to “valuation” to “cashflows”
That’s the gap /swap_pricer is designed to close: plug-and-play swap valuation that avoids turning your roadmap into a curve-building programme.
Book a demo
If you’re evaluating an interest rate API, forward curve API, or swap rate API for a product you need to ship this quarter, we’d love to show you /swap_pricer in action.
Book a demo to try it out. (BlueGamma)
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