BlueGamma
  • Getting Started
  • Setting up your account
  • Features Overview
  • Interest Rate Swaps
    • Overview
    • Calculating a Swap Rate
    • Calculating the MtM of a Swap
    • Refinancing a Swap
    • Advanced
      • Download a Custom Table of Swap Rates
      • Benchmarking a Swap Rate with a Bank
    • FAQs
      • How Forward Rates Are Calculated
      • How Discount Factors Are Calculated
  • Forward Curves
    • Overview
    • Downloading a Forward Curve
    • Downloading Historic Forward Curves
    • Advanced
      • How to Access BRL Forward Curves and Download TLP Forecasts
    • FAQs
  • Government Bonds
    • Accessing Bond Yields
    • Accessing Forward Starting Bond Yields
  • Foreign Exchange
    • Downloading FX Forward Rates
  • Cross Currency
    • Overview
    • Pricing a Cross-Currency Swap
  • Integrations
    • Excel Add-in
      • Installation & Setup
      • Get Swap Rates
      • Get Discount Factors
      • Get Forward Rates
      • Get Swap Rate by ID
    • API
      • API Reference
      • How to Guides
        • Fetching a Swap Rate
        • Fetching Historical Swap Rates
        • Getting Forward Rates
        • Getting a Forward Curve
        • Getting Discount Factors
        • Validating BlueGamma API Data Against Bloomberg or Other Platforms
  • Accounts and Plans
    • Adding and removing seats
  • FAQs
    • Currency-Specific FAQs
    • Where does your data come from?
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On this page
  • 1. Navigate to the Swap MtM module
  • 2. Add a Swap
  • 3. Download and Edit the Schedule
  • 5. Upload the Edited Schedule
  • 4. View Automatic MtM Calculations
  1. Interest Rate Swaps

Calculating the MtM of a Swap

The Mark-to-Market (MtM) value of a swap represents the current net value of the swap’s cashflows, calculated using prevailing market interest rates. Here’s how it works in the context of BlueGamma:

PreviousCalculating a Swap RateNextRefinancing a Swap

Last updated 2 months ago

1. Navigate to the Swap MtM module

  • Log in to .

  • From the left-hand navigation menu, click Swap MtM.

2. Add a Swap

  1. Click Add New.

  2. To add a new swap click 'Add Swap'

  3. Fill in the required details in the Create Swap popup.

3. Download and Edit the Schedule

  1. After creating the swap, click the Download Pricer button to add the notional profile.

  2. Open the downloaded file in Excel and ensure all dates align with the interest payment schedule.

Populate the Notionals column: the notional value of the swap at each period.

Pro Tip: If the dates don’t align, return to the platform and adjust them before proceeding.

5. Upload the Edited Schedule

  1. Save the Excel file after inputting the data.

  2. Use the Upload Pricer button to re-import the updated schedule.

4. View Automatic MtM Calculations

Once uploaded, BlueGamma will automatically calculate the MtM using current market rates and your input data.

How it works:

  • The platform calculates the present value (PV) of future cashflows for both the fixed leg and the floating leg.

  • Formula: PV(Fixed Leg) – PV(Floating Leg) = MtM

You’ll see updated MtM values displayed on the page, ensuring real-time insights into your swap’s performance. 🎉

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