SOFR Curve Construction: A Quick Guide

Constructing a SOFR forward curve is essential for interest rate modelling, debtpricing, and derivatives valuation. Whether you're building infrastructure financemodels or automating risk tools, a reliable forward curve is the foundation.

At BlueGamma, we make SOFR curve construction easy—through a simple,developer-friendly API.

What Is SOFR Curve Construction?

SOFR (Secured Overnight Financing Rate) is the risk-free reference rate for USD markets. To build a SOFR forward curve, you typically:

• Start with market data (SOFR OIS, futures, and swaps)
• Bootstrap discount factors
• Extract forward rates from the curve
• Smooth and interpolate to get usable forward rates

Doing this from scratch requires financial expertise, daily data pipelines, and constant maintenance. That's why many teams now rely on APIs to fetch clean, production-ready forward curves on demand.

Use Python to Build a SOFR Forward Curve

We've written a short technical guide showing how to construct a forward curve using Python and the BlueGamma API. You can fetch forward rates for specific start dates and tenors, then plot the full curve—all in a few lines of code.

👉 Read the Python guide →

Explore the API

BlueGamma's /forward_rate and /discount_curve endpoints let you:

• Get forward rates for SOFR, SONIA, EURIBOR, and more
• Automate curve building in Python or Excel
• Use clean, real-market data from clearing houses and brokers

Our API supports flexible date inputs, interpolated outputs, and is built for treasury and project finance use cases.

👉 View API documentation →

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