How to Pull a Forward Curve Directly into Excel

Pull forward curves directly into Excel using BlueGamma's Excel Add-in. Set up dates, choose your index, select a valuation date and validate the curve.

BlueGamma's Excel Add-in lets you fetch forward curves directly into your model using simple functions. This guide walks you through how to do that: setting up dates, choosing your index, selecting a valuation date and validating the curve.

Before You Start

To follow this guide, make sure you have:

• Installed the BlueGamma Excel Add-in

• Signed in through the BlueGamma tab in Excel

• An active BlueGamma trial or subscription

If you haven't set this up yet, see:

Installation & Setup

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1. Add Start Dates and End Dates

Forward rates are defined over a Start Date → End Date period. This period reflects the start of the interest period and the end of the interest period (usually the interest payment date).

In your model, set up the schedule of periods you want to forecast.

For example:

	C	D	E	F	G
Start Date	2026-01-01	2026-04-01	2026-07-01	2026-10-01	2027-01-01
End Date	2026-04-01	2026-07-01	2026-10-01	2027-01-01	2027-04-01

These dates typically come from:

• your debt schedule,

• loan interest periods, or

• swap cashflow dates.

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2. Choose the Index

Use the index linked to your instrument, e.g.:

• SOFR

• SONIA

• 3M EURIBOR

• CORRA

For a full list of supported indices, see:

Available Indices

Place it in a fixed cell for easy referencing:

A1 = "SOFR"

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3. Choose the Valuation Date

You can:

• Use the latest curve (leave the valuation date blank)

• Or anchor the data to a specific date, e.g.:

A2 = 30/11/2025

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4. Pull the Forward Curve

Use the BlueGamma function:

=BlueGamma.FORWARD_RATE(index, start_date, end_date, [valuation_date])

Example:

=BlueGamma.FORWARD_RATE($A$1, C1, C2)

Or if you would like to pick a particular valuation date:

=BlueGamma.FORWARD_RATE($A$1, C1, C2, $A$2)

Fill across your spreadsheet to generate the forward curve.

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5. Example Output

This produces a full forward curve that aligns with your model's interest periods.

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6. Sense-Check the Curve

Before relying on the data, validate it using app.bluegamma.io:

1. Open the Forward Curve for the same index

2. Use the same valuation date/time

3. Compare a few key points (e.g., 3M, 6M, 1Y)

4. Confirm the curve shape and levels match your Excel output

This helps ensure your model dates, index, and snapshot all align correctly.

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You now have a forward curve directly in Excel, ready to feed into your interest and debt modelling.

Ready to pull live forward curves directly into your model?

Create a free BlueGamma trial and start using the Excel Add-in today.