# BlueGamma Documentation ## BlueGamma - [Quick Start](https://bluegamma.io/documentation/getting-started/readme.md) - [Creating Your Account](https://bluegamma.io/documentation/getting-started/setting-up-your-account.md): Getting started with BlueGamma is quick and easy. Follow these steps to access our powerful platform: - [Installing BlueGamma as a Desktop App](https://bluegamma.io/documentation/getting-started/installing-bluegamma-as-a-desktop-app.md): Install the BlueGamma web app as a standalone desktop app on Windows or Mac so it opens in its own window, outside the browser. - [What's Available](https://bluegamma.io/documentation/data-coverage/data-coverage.md): A complete overview of what data and features are available through BlueGamma, across the web app, API, Excel Add-in, and MCP. - [Forward Curves](https://bluegamma.io/documentation/market-data-guides/overview.md): An overview of forward curves, their construction using market data and bootstrapping, and their key applications in financial modeling and risk management. - [Viewing & Downloading Forward Curves](https://bluegamma.io/documentation/market-data-guides/overview/downloading-a-forward-curve.md): Downloading forward curve data from the BlueGamma platform is quick and simple. Follow these steps to customize and download your desired interest rate curve. - [Historical Forward Curves](https://bluegamma.io/documentation/market-data-guides/overview/downloading-historic-forward-curves.md): To access and download historic forward curves, follow these steps: - [Advanced](https://bluegamma.io/documentation/market-data-guides/overview/advanced.md): Welcome to the Advanced section! This area is designed for power users and those with specific or niche workflows - [How to Access BRL Forward Curves and Download TLP Forecasts](https://bluegamma.io/documentation/market-data-guides/overview/advanced/how-to-access-brl-forward-curves-and-download-tlp-forecasts.md): Our platform enables users to access Brazilian forward curves and download TLP (Taxa de Longo Prazo) forecasts with ease. Follow these steps to get started: - [FAQs](https://bluegamma.io/documentation/market-data-guides/overview/faqs.md) - [Swap Rates](https://bluegamma.io/documentation/market-data-guides/overview-1.md): A comprehensive introduction to interest rate swaps, how they work, and how they are priced - [Advanced](https://bluegamma.io/documentation/market-data-guides/overview-1/advanced.md): Welcome to the Advanced section! This area is designed for power users and those with specific or niche workflows - [Download a Custom Table of Swap Rates](https://bluegamma.io/documentation/market-data-guides/overview-1/advanced/download-a-custom-table-of-swap-rates.md): Our Customised Swaps Download feature lets you generate a table of current swap rates tailored to your chosen tenors and payment frequencies. - [Benchmarking a Swap Rate with a Bank](https://bluegamma.io/documentation/market-data-guides/overview-1/advanced/benchmarking-a-swap-rate-with-a-bank.md): Benchmarking with a bank helps you compare swap rates using consistent profiles and methodologies. Here’s a step-by-step guide to conducting a benchmarking exercise: - [Government Bonds](https://bluegamma.io/documentation/market-data-guides/overview-2.md): An introduction to government bonds, yield curves, and how they're used in financial markets - [Accessing Bond Yields](https://bluegamma.io/documentation/market-data-guides/overview-2/accessing-bond-yields.md) - [Accessing Forward Starting Bond Yields](https://bluegamma.io/documentation/market-data-guides/overview-2/accessing-forward-starting-bond-yields.md): BlueGamma makes it easy to access and download forward starting bond yields. Follow these steps to explore and extract the data: - [FAQs](https://bluegamma.io/documentation/market-data-guides/overview-2/faqs.md): Frequently asked questions about government bond yields and methodology. - [Foreign Exchange](https://bluegamma.io/documentation/market-data-guides/downloading-fx-forward-rates.md): The BlueGamma FX page allows users to download forward rates for foreign exchange (FX) rates, helping with financial modelling and risk management. - [Swap Pricer](https://bluegamma.io/documentation/pricers/calculating-a-swap-rate.md): The Swap Pricer gives you a live swap rate for a custom notional profile, plus the underlying forward curve to drop into your financial model. - [Swap Mark-to-Market](https://bluegamma.io/documentation/pricers/calculating-the-mtm-of-a-swap.md): 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 to value your swaps in BlueGamma. - [Forecast MtM](https://bluegamma.io/documentation/pricers/calculating-the-mtm-of-a-swap/forecast-mtm.md): Forecast the range of potential Mark-to-Market values for a swap over time, using volatility-based confidence bands. - [Cap Pricer](https://bluegamma.io/documentation/pricers/pricing-a-cap.md): Price interest rate caps with scenario analysis, caplet breakdowns, and a strike/tenor price grid. - [Cross-Currency Swap Pricer](https://bluegamma.io/documentation/pricers/overview.md): Understand cross-currency swaps and use BlueGamma's pricer to calculate implied spreads across currencies and tenors. - [Excel Add-in](https://bluegamma.io/documentation/integrations/excel-add-in.md): Welcome to the BlueGamma Excel Add-In support guide. - [Installation & Setup](https://bluegamma.io/documentation/integrations/excel-add-in/installation-and-setup.md): Get the BlueGamma Excel Add-In up and running in minutes. Available on Microsoft AppSource for Excel Desktop and Excel for the Web. - [How-To Guides](https://bluegamma.io/documentation/integrations/excel-add-in/how-to-guides.md) - [How to Pull a Forward Curve Directly into Excel](https://bluegamma.io/documentation/integrations/excel-add-in/how-to-guides/how-to-pull-a-forward-curve-directly-into-excel.md): 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. - [How to Price a Swap in Excel Using BlueGamma's Add-in](https://bluegamma.io/documentation/integrations/excel-add-in/how-to-guides/how-to-price-a-swap-in-excel-using-bluegammas-add-in.md): Price an interest rate swap directly in Excel using BlueGamma's Excel Add-in. Build a cashflow schedule with forward rates and discount factors to calculate the mid swap rate. - [How to Pull Bond Yields in Excel](https://bluegamma.io/documentation/integrations/excel-add-in/how-to-guides/how-to-pull-bond-yields-in-excel.md): Pull government bond yields directly into Excel for discount rates, DCF models, and risk-free rate benchmarking using BlueGamma's Excel Add-in. - [How to Calculate Discount Factors Using Government Bond Yields](https://bluegamma.io/documentation/integrations/excel-add-in/how-to-guides/how-to-calculate-discount-factors-in-excel.md): Calculate discount factors for valuations using US Treasury zero-coupon bond yields directly in Excel with BlueGamma's Excel Add-in. - [How to Pull FX Forward Rates in Excel](https://bluegamma.io/documentation/integrations/excel-add-in/how-to-guides/how-to-pull-fx-forward-rates-in-excel.md): Pull FX forward rates directly into Excel using BlueGamma's Excel Add-in. Forecast future exchange rates for hedging, cash flow forecasting, and financial modeling. - [How to Pull Zero Rate Curves in Excel](https://bluegamma.io/documentation/integrations/excel-add-in/how-to-guides/how-to-pull-zero-rate-curves-in-excel.md): Pull zero rate curves directly into Excel for discounting, DCF models, and interest rate analysis using BlueGamma's Excel Add-in. - [How to Calculate Swap MtM in Excel](https://bluegamma.io/documentation/integrations/excel-add-in/how-to-guides/how-to-calculate-swap-mtm-in-excel.md): Calculate the Mark-to-Market (MtM) of an interest rate swap directly in Excel using BlueGamma's Excel Add-in. Build a cashflow schedule with forward rates and discount factors to value your swap at cu - [Function Reference](https://bluegamma.io/documentation/integrations/excel-add-in/functions.md) - [Get Swap Rates](https://bluegamma.io/documentation/integrations/excel-add-in/functions/get-swap-rates.md): Fetches swap rate data for a given swap. - [Get Discount Factors](https://bluegamma.io/documentation/integrations/excel-add-in/functions/get-discount-factors.md): Fetches discount factors for a specified index and date. - [Get Forward Rates](https://bluegamma.io/documentation/integrations/excel-add-in/functions/get-forward-rates.md): Fetches forward rate data for a specified period. - [Get Zero-Coupon Rates](https://bluegamma.io/documentation/integrations/excel-add-in/functions/get-zero-coupon-rates.md): Fetch Zero-Coupon Rates via Excel Add-in - [Get Fixing](https://bluegamma.io/documentation/integrations/excel-add-in/functions/get-fixing.md): Fetches the rate for a specified central bank or benchmark rate. - [Get Swap Rate by ID](https://bluegamma.io/documentation/integrations/excel-add-in/functions/get-swap-rate-by-id.md): Fetches the live swap rate for a specific swap saved in the app. - [Get Swap MtM by ID](https://bluegamma.io/documentation/integrations/excel-add-in/functions/get-swap-mtm-by-id.md): Fetches the mark-to-market value for a specific swap saved in the app. - [Get FX Rate](https://bluegamma.io/documentation/integrations/excel-add-in/functions/get-fx-rate.md): Get the spot FX rate for a currency pair (e.g. EURUSD, GBPJPY). - [Get FX Forward Rate](https://bluegamma.io/documentation/integrations/excel-add-in/functions/get-fx-forward-rate.md) - [Get Government Bond Yield](https://bluegamma.io/documentation/integrations/excel-add-in/functions/get-government-bond-yield.md): Get the government bond yield (zero coupon, semi-annual compounding) for a given country and maturity. - [Get Bond Price](https://bluegamma.io/documentation/integrations/excel-add-in/functions/get-bond-price.md): Get the indicative bond mid price for an ISIN. - [Get Bond Yield](https://bluegamma.io/documentation/integrations/excel-add-in/functions/get-bond-yield.md): Get the indicative bond yield-to-maturity for an ISIN. - [Get Timestamp](https://bluegamma.io/documentation/integrations/excel-add-in/functions/get-timestamp.md): Fetches the most recent timestamp for a given rate family and value (eg RATES/FIXINGS). Useful for checking when the data behind a quote was last updated. - [Get Canadian Bank Spread (Historical)](https://bluegamma.io/documentation/integrations/excel-add-in/functions/get-canadian-bank-spread-historical.md): Retrieve historical spread for Canadian bank senior debt index. - [Get Canadian Bank Spread (Forward)](https://bluegamma.io/documentation/integrations/excel-add-in/functions/get-canadian-bank-spread-forward.md): Retrieve forward spread for Canadian bank senior debt index. - [Troubleshooting](https://bluegamma.io/documentation/integrations/excel-add-in/troubleshooting.md): Solutions for common issues when installing or using the BlueGamma Excel Add-in. - [API](https://bluegamma.io/documentation/integrations/api.md) - [Authentication](https://bluegamma.io/documentation/integrations/api/authentication.md): How to authenticate with the BlueGamma API using your API key. - [API Reference](https://bluegamma.io/documentation/integrations/api/api-reference.md) - [How-To Guides](https://bluegamma.io/documentation/integrations/api/how-to-guides.md): Use these guides to learn how to fetch swap rates, forward curves, and other interest rate data using the BlueGamma API. - [Fetching Forward Curves](https://bluegamma.io/documentation/integrations/api/how-to-guides/getting-a-forward-curve.md): Fetch forward rate curves for pricing, forecasting, and building interest rate models. - [Getting Forward Rates](https://bluegamma.io/documentation/integrations/api/how-to-guides/getting-forward-rates.md) - [Getting Discount Factors](https://bluegamma.io/documentation/integrations/api/how-to-guides/getting-discount-factors.md) - [Fetching a Discount Curve](https://bluegamma.io/documentation/integrations/api/how-to-guides/fetching-a-discount-curve.md): Use the /discount\_curve endpoint to get a full schedule of discount factors for cash flow discounting, loan valuation, and DCF models. - [Fetching Zero Rates](https://bluegamma.io/documentation/integrations/api/how-to-guides/fetching-zero-rates.md): Fetch zero-coupon rates for discounting cash flows, building DCF models, and valuing debt portfolios. - [Fetching a Swap Curve](https://bluegamma.io/documentation/integrations/api/how-to-guides/fetching-a-swap-curve.md): Use the /get\_swap\_curve endpoint to retrieve par swap rates across tenors for any supported index. - [Fetching a Swap Rate](https://bluegamma.io/documentation/integrations/api/how-to-guides/fetching-a-swap-rate.md): Use the /swap\_rate endpoint to calculate the par rate for a vanilla interest rate swap, given an index, start/maturity, and leg conventions. - [How to Price a Swap Using the API](https://bluegamma.io/documentation/integrations/api/how-to-guides/how-to-price-a-swap-using-the-api.md): Use the /swap\_pricer endpoint to price interest rate swaps with full cashflow analysis, MTM valuation, and support for amortizing schedules. - [How to Price a Swaption Using the API](https://bluegamma.io/documentation/integrations/api/how-to-guides/how-to-price-a-swaption-using-the-api.md): Use the /swaption\_price endpoint to price European payer and receiver swaptions with NPV, DV01, and vega across 20+ supported indices. - [Fetching Forward Starting Swap Rates](https://bluegamma.io/documentation/integrations/api/how-to-guides/fetching-forward-starting-swap-rates.md): Use the /swap\_rate endpoint to price forward starting swaps where the effective date is in the future. Specify start dates using tenors (6M, 1Y) or specific dates. - [Building a Historical Time Series](https://bluegamma.io/documentation/integrations/api/how-to-guides/building-a-historical-time-series.md): How to retrieve historical swap rate data using the BlueGamma API, whether you need daily end-of-day snapshots or intraday granularity. - [Fetching a Government Bond Curve](https://bluegamma.io/documentation/integrations/api/how-to-guides/fetching-a-government-bond-curve.md): Use the /gov\_yield endpoint to retrieve government bond yields and construct yield curves for risk-free rate benchmarking. - [Fetching FX Forward Rates](https://bluegamma.io/documentation/integrations/api/how-to-guides/fetching-fx-forward-rates.md): Use the /fx\_forward endpoint to get forward exchange rates for any supported currency pair, enabling FX hedging, cash flow forecasting, and valuation models. - [Fetching FX Forward Curves](https://bluegamma.io/documentation/integrations/api/how-to-guides/fetching-an-fx-forward-curve.md): Fetch a complete FX forward curve for any currency pair in a single request, for hedging analysis, cash flow forecasting, and FX risk management. - [Fetching Forward Swap Curves](https://bluegamma.io/documentation/integrations/api/how-to-guides/fetching-a-forward-swap-curve.md): Fetch forward-starting swap rates across multiple start dates in a single request, for scenario analysis and forward rate curve construction. - [Fetching Fixing Rates](https://bluegamma.io/documentation/integrations/api/how-to-guides/fetching-fixing-rates.md): Retrieve published fixing rates for overnight and term benchmarks like SOFR, SONIA, EURIBOR, and central bank policy rates. - [Fetching Compounded RFR Rates](https://bluegamma.io/documentation/integrations/api/how-to-guides/fetching-compounded-rfr-rates.md): Calculate compounded overnight rates (realised rates) for risk-free rate indices like SOFR, SONIA, and ESTR over any custom period. - [Validating BlueGamma API Data Against Bloomberg or Other Platforms](https://bluegamma.io/documentation/integrations/api/how-to-guides/validating-bluegamma-api-data-against-bloomberg-or-other-platforms.md): Learn how to compare BlueGamma API swap rates with other data sources using standard conventions for SOFR, CORRA, and EURIBOR. - [Fetching Inflation Curves](https://bluegamma.io/documentation/integrations/api/how-to-guides/fetching-an-inflation-curve.md): Fetch zero-coupon inflation curves for UK RPI and EU HICP for inflation-linked bond analysis, real rate calculations, and inflation hedging. - [Pricing an Interest Rate Cap](https://bluegamma.io/documentation/integrations/api/how-to-guides/pricing-an-interest-rate-cap.md): Price interest rate caps with caplet-level breakdown, SABR volatility smile, and full Greeks using the BlueGamma API. - [Streaming Real-Time FX Data](https://bluegamma.io/documentation/integrations/api/how-to-guides/streaming-real-time-fx-data.md): Stream real-time FX quotes via WebSocket for live mid, bid, and ask prices across approximately 1000 currency pairs. - [Rate Limits & Best Practices](https://bluegamma.io/documentation/integrations/api/rate-limits.md): Rate limits and best practices for using the BlueGamma API efficiently. - [Model Context Protocol (MCP)](https://bluegamma.io/documentation/integrations/model-context-protocol.md): Connect your AI assistant to live interest rate data from BlueGamma using the Model Context Protocol (MCP). - [Available Indices](https://bluegamma.io/documentation/integrations/available-indices.md): A complete list of interest rate indices available through BlueGamma, organised by currency. - [Energy & Infrastructure Finance](https://bluegamma.io/documentation/use-cases/energy-infrastructure.md) - [Debt Advisory](https://bluegamma.io/documentation/use-cases/debt-advisory.md) - [Fintech & API Integration](https://bluegamma.io/documentation/use-cases/fintech-api.md) - [Trials and Billing](https://bluegamma.io/documentation/account-and-team-management/trials-and-billing.md): Everything you need to know about BlueGamma trials, billing, and upgrading your plan. - [Adding and Removing Seats](https://bluegamma.io/documentation/account-and-team-management/adding-and-removing-seats.md): Admins can easily manage user access by allocating, removing, or tracking seats directly in the Admin Dashboard. Follow the steps below to manage your team effectively. - [Security and Access](https://bluegamma.io/documentation/account-and-team-management/security-and-access.md) - [Access Control and SSO](https://bluegamma.io/documentation/account-and-team-management/security-and-access/access-control-and-sso.md): This page gives a simple overview of the available login methods and how access can be applied - [Login via Microsoft](https://bluegamma.io/documentation/account-and-team-management/security-and-access/login-via-microsoft.md): This page provides technical information for IT and Security teams about how Microsoft login works on BlueGamma, what identity data is used, and how your organisation can control access. - [Overview](https://bluegamma.io/documentation/methodology/methodology.md) - [How We Bootstrap the Yield Curve](https://bluegamma.io/documentation/methodology/how-to-bootstrap-the-yield-curve.md): Learn how to bootstrap the yield curve from swap rates. Step-by-step guide to deriving zero-coupon rates and discount factors from market instruments. - [Government Bond Curves](https://bluegamma.io/documentation/methodology/government-bond-curves.md): How BlueGamma constructs government bond yield curves. - [FX Forward Curves](https://bluegamma.io/documentation/methodology/fx-forward-curves.md): How BlueGamma constructs FX forward curves from market data. - [Inflation Curves](https://bluegamma.io/documentation/methodology/inflation-curves.md): How BlueGamma builds zero-coupon inflation curves, including how UK CPI rates are derived. - [Zero Rates](https://bluegamma.io/documentation/methodology/zero-rates.md): How BlueGamma calculates zero-coupon rates from interest rate curves. - [Forward Rates](https://bluegamma.io/documentation/methodology/forward-rates.md): How BlueGamma calculates forward rates from interest rate curves. - [Discount Factors](https://bluegamma.io/documentation/methodology/discount-factors.md): How BlueGamma calculates discount factors from interest rate curves. - [Public Website Curves vs. Platform Curves](https://bluegamma.io/documentation/methodology/public-website-curves-vs-platform-curves.md): Why the curves shown on bluegamma.io marketing pages differ from the curves in the app, API, and Excel Add-in, and which one to use for modelling. - [How far back does BlueGamma's data go?](https://bluegamma.io/documentation/reference/how-far-back-does-bluegammas-data-go.md): BlueGamma provides historical swap rate and forward curve data for every major benchmark index. The table below lists the earliest available date in our database for each index. - [How Often Is Your Data Refreshed?](https://bluegamma.io/documentation/reference/how-often-is-your-data-refreshed.md) - [When Are Fixings Available?](https://bluegamma.io/documentation/reference/when-are-fixings-available.md) - [Where BlueGamma's data comes from?](https://bluegamma.io/documentation/reference/where-bluegammas-data-comes-from.md) --- # Agent Instructions This documentation is published with GitBook. GitBook is the documentation platform designed so that both humans and AI agents can read, navigate, and reason over technical content effectively. Learn more at gitbook.com. ## Querying This Documentation If you need additional information, you can query the documentation dynamically by asking a question. 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