API Reference

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.

💡 Looking for more? Visit our website to explore use cases and solutions.

🔗 Ready to get started? Request API access

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Get Swap Rate

get

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

Authorizations

Query parameters

indexstring · enumRequired

Common interest rate benchmarks and indices used in financial markets

Example: 3M EURIBORPossible values:

start_dateone ofRequired

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.

string · dateOptional

A date in ISO 8601 format (YYYY-MM-DD)

Example: 2025-12-31

or

stringOptional

A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years)

Example: 5YPattern: ^[0-9]+[DWMY]$

maturity_dateone ofRequired

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.

string · dateOptional

A date in ISO 8601 format (YYYY-MM-DD)

Example: 2025-12-31

or

stringOptional

A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years)

Example: 5YPattern: ^[0-9]+[DWMY]$

fixed_leg_frequencystringRequired

Payment frequency for financial instruments

Example: 6M

floating_leg_frequencystringOptional

Payment frequency for financial instruments

Example: 6M

fixed_leg_day_countstring · enumOptional

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

Example: Actual365FixedPossible values:

floating_leg_day_countstring · enumOptional

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

Example: Actual360Possible values:

valuation_timestring · date-timeOptional

A date and time in ISO 8601 format (YYYY-MM-DDThh:mm:ss). All times are interpreted as UTC.

Example: 2024-01-01T15:00:00

Responses

get

HTTPcURLJavaScriptPython

GET /v1/swap_rate HTTP/1.1
Host: api.bluegamma.io
x-api-key: YOUR_API_KEY
Accept: */*

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

Get Forward Rate

get

Fetches the forward rate based on the specified parameters, including reference rate, start date, end date and optional valuation time.

Authorizations

Query parameters

indexstring · enumRequired

Common interest rate benchmarks and indices used in financial markets

Example: 3M EURIBORPossible values:

start_dateone ofRequired

The start date for the forward rate calculation. Provide either a specific date (e.g., '2024-01-01') or a tenor (e.g., '1Y', '5Y'), but not both.

string · dateOptional

A date in ISO 8601 format (YYYY-MM-DD)

Example: 2025-12-31

or

stringOptional

A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years)

Example: 5YPattern: ^[0-9]+[DWMY]$

end_dateone ofRequired

The end date for the forward period. Provide either a specific date (e.g., '2024-02-01') or a tenor (e.g., '1M', '3M'), but not both.

string · dateOptional

A date in ISO 8601 format (YYYY-MM-DD)

Example: 2025-12-31

or

stringOptional

A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years)

Example: 5YPattern: ^[0-9]+[DWMY]$

valuation_timestring · date-timeOptional

A date and time in ISO 8601 format (YYYY-MM-DDThh:mm:ss). All times are interpreted as UTC.

Example: 2024-01-01T15:00:00

Responses

get

HTTPcURLJavaScriptPython

GET /v1/forward_rate HTTP/1.1
Host: api.bluegamma.io
x-api-key: YOUR_API_KEY
Accept: */*

{
  "index": "SOFR",
  "start_date": "2025-12-31",
  "end_date": "2025-12-31",
  "valuation_time": "2024-01-01T15:00:00",
  "forward_rate": 2.986345445
}

Get Discount Factor

get

Fetches the discount factor based on the specified parameters, including reference rate, date and optional valuation time.

Authorizations

Query parameters

indexstring · enumRequired

Common interest rate benchmarks and indices used in financial markets

Example: 3M EURIBORPossible values:

dateone ofRequired

The date for the discount factor calculation. Provide either a specific date (e.g., '2024-01-01') or a tenor (e.g., '1Y', '5Y'), but not both.

string · dateOptional

A date in ISO 8601 format (YYYY-MM-DD)

Example: 2025-12-31

or

stringOptional

A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years)

Example: 5YPattern: ^[0-9]+[DWMY]$

valuation_timestring · date-timeOptional

A date and time in ISO 8601 format (YYYY-MM-DDThh:mm:ss). All times are interpreted as UTC.

Example: 2024-01-01T15:00:00

Responses

get

HTTPcURLJavaScriptPython

GET /v1/discount_factor HTTP/1.1
Host: api.bluegamma.io
x-api-key: YOUR_API_KEY
Accept: */*

{
  "index": "SOFR",
  "date": "2025-12-31",
  "valuation_time": "2024-01-01T15:00:00",
  "discount_factor": 0.7863454
}

Get FX Spot Rate

get

Fetches the foreign exchange spot rate for the specified currency pair.

Authorizations

Query parameters

currency_pairstringRequired

Currency pair for which to retrieve the FX spot rate (e.g., EURUSD, GBPJPY).

Example: EURUSD

valuation_timestring · date-timeOptional

A date and time in ISO 8601 format (YYYY-MM-DDThh:mm:ss). All times are interpreted as UTC.

Example: 2024-01-01T15:00:00

Responses

get

HTTPcURLJavaScriptPython

GET /v1/fx HTTP/1.1
Host: api.bluegamma.io
x-api-key: YOUR_API_KEY
Accept: */*

{
  "currency_pair": "EURUSD",
  "valuation_time": "2024-01-01T15:00:00",
  "rate": 1.1234
}

Get FX Forward Rate

get

Fetches the forward exchange rate for a given currency pair. The forward rate is determined based on the specified date or defaults to the current date.

Query parameters

currency_pairstringRequired

The currency pair in ISO format (e.g., "EURUSD" for Euro to US Dollar).

Example: EURUSD

datestring · dateOptional

The date for which the forward rate is requested. Defaults to the current date if not specified.

Example: 2024-12-31

Responses

get

HTTPcURLJavaScriptPython

GET /v1/fx_forward HTTP/1.1
Host: api.bluegamma.io
Accept: */*

{
  "currency_pair": "EURUSD",
  "date": "2025-12-31",
  "rate": 1.2345
}

Get Government Bond Yield

get

Calculates the yield for a government bond yield based on country and tenor. Yields are zero coupon yields, assuming S/A compounding.

Authorizations

Query parameters

country_codestringRequired

The ISO country code for which to retrieve the government bond yield (e.g., US, UK, DE).

Example: US

maturityone ofRequired

The tenor or specific date for the government bond yield (e.g., '1Y', '5Y', '10Y' or '2024-12-31').

string · dateOptional

A date in ISO 8601 format (YYYY-MM-DD)

Example: 2025-12-31

or

stringOptional

A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years)

Example: 5YPattern: ^[0-9]+[DWMY]$

forward_startone ofOptional

The forward start date or tenor for the government bond yield (e.g., '1Y', '5Y', '10Y' or '2024-12-31').

string · dateOptional

A date in ISO 8601 format (YYYY-MM-DD)

Example: 2025-12-31

or

stringOptional

A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years)

Example: 5YPattern: ^[0-9]+[DWMY]$

valuation_timestring · date-timeOptional

A date and time in ISO 8601 format (YYYY-MM-DDThh:mm:ss). All times are interpreted as UTC.

Example: 2024-01-01T15:00:00

Responses

get

HTTPcURLJavaScriptPython

GET /v1/gov_yield HTTP/1.1
Host: api.bluegamma.io
x-api-key: YOUR_API_KEY
Accept: */*

{
  "country_code": "US",
  "tenor": "10Y",
  "valuation_time": "2024-01-01T15:00:00",
  "yield": 3.245
}

Get Forward Curve

get

Returns a forward curve constructed over a schedule of periods between start_date and end_date.

Query parameters

indexstring · enumRequired

Common interest rate benchmarks and indices used in financial markets

Example: 3M EURIBORPossible values:

start_dateone ofRequired

The start date for the forward curve calculation. Provide either a specific date (e.g., '2024-01-01') or a tenor (e.g., '1Y', '5Y'), but not both.

string · dateOptional

A date in ISO 8601 format (YYYY-MM-DD)

Example: 2025-12-31

or

stringOptional

A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years)

Example: 5YPattern: ^[0-9]+[DWMY]$

end_dateone ofRequired

The end date for the forward curve. Provide either a specific date (e.g., '2024-12-31') or a tenor (e.g., '1Y', '5Y'), but not both.

string · dateOptional

A date in ISO 8601 format (YYYY-MM-DD)

Example: 2025-12-31

or

stringOptional

A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years)

Example: 5YPattern: ^[0-9]+[DWMY]$

tenorstringRequired

A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years)

Example: 5YPattern: ^[0-9]+[DWMY]$

valuation_timestring · date-timeOptional

A date and time in ISO 8601 format (YYYY-MM-DDThh:mm:ss). All times are interpreted as UTC.

Example: 2024-01-01T15:00:00

is_end_of_monthbooleanOptional

Whether to align periods to the end of each month.

Default: true

frequencystringRequired

Payment frequency for financial instruments

Example: 6M

Responses

get

HTTPcURLJavaScriptPython

GET /v1/forward_curve HTTP/1.1
Host: api.bluegamma.io
Accept: */*

{
  "start_date": "2025-12-31",
  "end_date": "2025-12-31",
  "index": "3M EURIBOR",
  "tenor": "5Y",
  "valuation_time": "2024-01-01T15:00:00",
  "is_end_of_month": true,
  "frequency": "6M",
  "curve": [
    {
      "start_date": "2025-12-31",
      "end_date": "2025-12-31",
      "forward_rate": 3.245
    }
  ]
}

Get Discount Curve

get

Returns discount factors for a schedule between start_date and end_date using a given index.

Query parameters

indexstring · enumRequired

Common interest rate benchmarks and indices used in financial markets

Example: 3M EURIBORPossible values:

start_dateone ofRequired

The start date for the discount curve calculation. Provide either a specific date (e.g., '2024-01-01') or a tenor (e.g., '1Y', '5Y'), but not both.

string · dateOptional

A date in ISO 8601 format (YYYY-MM-DD)

Example: 2025-12-31

or

stringOptional

A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years)

Example: 5YPattern: ^[0-9]+[DWMY]$

end_dateone ofRequired

The end date for the discount curve. Provide either a specific date (e.g., '2024-12-31') or a tenor (e.g., '1Y', '5Y'), but not both.

string · dateOptional

A date in ISO 8601 format (YYYY-MM-DD)

Example: 2025-12-31

or

stringOptional

A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years)

Example: 5YPattern: ^[0-9]+[DWMY]$

valuation_timestring · date-timeOptional

A date and time in ISO 8601 format (YYYY-MM-DDThh:mm:ss). All times are interpreted as UTC.

Example: 2024-01-01T15:00:00

is_end_of_monthbooleanOptional

Whether to align periods to the end of each month.

Default: true

frequencystringRequired

Payment frequency for financial instruments

Example: 6M

Responses

get

HTTPcURLJavaScriptPython

GET /v1/discount_curve HTTP/1.1
Host: api.bluegamma.io
Accept: */*

{
  "start_date": "2025-12-31",
  "end_date": "2025-12-31",
  "index": "3M EURIBOR",
  "valuation_time": "2024-01-01T15:00:00",
  "is_end_of_month": true,
  "frequency": "6M",
  "curve": [
    {
      "date": "2025-12-31",
      "discount_factor": 0.9823
    }
  ]
}

Get Fixing Rate

get

Fetches the fixing rate for a given index at a specific valuation time.

Authorizations

Query parameters

indexstring · enumRequired

Common interest rate benchmarks and indices used in financial markets

Example: 3M EURIBORPossible values:

valuation_datestring · dateOptional

A date in ISO 8601 format (YYYY-MM-DD)

Example: 2025-12-31

Responses

get

HTTPcURLJavaScriptPython

GET /v1/fixing HTTP/1.1
Host: api.bluegamma.io
x-api-key: YOUR_API_KEY
Accept: */*

{
  "index": "SOFR",
  "valuation_date": "2025-12-31",
  "fixing_rate": 0.9876,
  "fixing_date": "2025-12-31"
}