Reference
1.0.0
OAS 3.0.0

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.

Ready to get started?
Request Access


Production server

API Key (api_key)
Client Libraries
cURL Shell

Get Swap Rate​

This endpoint calculates the swap rate based on the specified parameters.

Query Parameters
  • index
    string
    required

    The specific index (e.g., SOFR, 1M EURIBOR, 6M EURIBOR OR SONIA) on which the swap rate is based.

    Example3M EURIBOR
  • start_date
    oneOf
    required

    The start date for the swap. Provide either a specific date (e.g., '2024-01-01') or a tenor (e.g., '6M', '1Y'), but not both.

    Specific Date (e.g. '2025-12-31')

    Tenor (e.g., '1Y', '5Y')

  • maturity_date
    oneOf
    required

    The maturity date for the swap. Provide either a specific date (e.g., '2024-12-20') or a tenor (e.g., '1Y', '5Y'), but not both.

    Specific Date (e.g. '2036-12-31')

    Tenor (e.g., '1Y', '5Y')

  • fixed_leg_frequency
    string
    required

    The payment frequency for the fixed leg of the swap. Common values are '1M', '3M', '6M', '1Y'.

    Example6M
  • floating_leg_frequency
    string

    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.

    Example3M
  • fixed_leg_day_count
    string enum

    The day count convention used for the fixed leg of the swap. By default, we use the currency-specific day count convention.

    ExampleActual365Fixed
    • Actual360
    • Actual365Fixed
    • Thirty360BondBasis
    • Thirty360EuroBondBasis
  • floating_leg_day_count
    string enum

    The day count convention used for the floating leg of the swap. By default, we use the currency-specific day count convention.

    ExampleActual360
    • Actual360
    • Actual365Fixed
    • Thirty360BondBasis
    • Thirty360EuroBondBasis
  • valuation_time
    string date-time

    The specific time (or date) for the market data used in the swap rate calculation. If not provided, live data is used by default.

    Example2024-01-01T15:00:00Z
Responses
  • 400

    Bad Request - The request is missing required parameters or contains invalid values.

  • 500

    Internal Server Error - An error occurred while processing the request.

GET/swap_rate
curl --request GET \
  --url 'https://api.bluegamma.io/v1/swap_rate?index=3M+EURIBOR&start_date=2025-12-31&maturity_date=2036-12-31&fixed_leg_frequency=6M'

{
  "index": "3M EURIBOR",
  "start_date": "2025-12-31",
  "maturity_date": "2036-12-31",
  "fixed_leg_first_payment_date": "2026-01-31",
  "floating_leg_first_payment_date": "2026-01-31",
  "floating_leg_frequency": "3M",
  "floating_leg_day_count": "Actual360",
  "fixed_leg_frequency": "6M",
  "fixed_leg_day_count": "Actual365Fixed",
  "valuation_time": "2024-01-01T15:00:00Z",
  "swap_rate": 3.34567803
}

Successful retrieval of calculated swap rate data.