openapi: 3.1.0 info: title: BlueGamma API description: | 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.
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version: 1.0.0 contact: name: BlueGamma url: https://www.bluegamma.io email: support@bluegamma.io servers: - url: "https://api.bluegamma.io/v1" description: Production server tags: - name: Swap Rates description: Live and historical swap rate calculations, available tenors, and swap curve construction - name: Forward & Discount Curves description: Forward curves, discount curves, and single-point calculations - name: FX description: FX spot and forward rates, and real-time market data - name: Central Bank and Benchmark Rates description: Interest rate fixings, central bank rates, and benchmark rate data for financial calculations - name: Government Bonds description: Government bond yields and treasury rate calculations - name: Inflation description: Market-implied inflation rates derived from zero-coupon inflation swap curves - name: Swaptions description: European swaption pricing with live yield curves and normal volatility surface. Pricing, delta, DV01, and vega for payer and receiver swaptions. - name: Caps & Floors description: Interest rate cap and floor pricing with caplet-level breakdowns and volatility smile options. Multi-strike and staggered-notional structures are supported via the POST endpoint. paths: /inflation_curve: get: summary: Get Inflation Curve (Beta) operationId: getInflationCurve tags: - Inflation description: | **Beta endpoint:** This endpoint is currently in beta and may change. Returns the full zero-coupon inflation swap curve for a given inflation index. Rates are derived from zero-coupon inflation swap market data, bootstrapped into a PiecewiseZeroInflation curve. Supported inflation indices: - **UK RPI** — UK Retail Price Index (discount curve: SONIA, observation lag: 2 months) - **EU HICP** — Euro Area Harmonised Index of Consumer Prices (discount curve: 6M EURIBOR, observation lag: 3 months) parameters: - name: index in: query description: The inflation index to retrieve the curve for. required: true schema: $ref: "#/components/schemas/InflationIndex" examples: uk_rpi: summary: UK Retail Price Index value: "UK RPI" eu_hicp: summary: Euro Area HICP value: "EU HICP" - $ref: "#/components/parameters/valuation_time" security: - api_key: [] responses: "200": description: Successful retrieval of inflation curve data. content: application/json: schema: type: object properties: index: type: string description: The inflation index used example: UK RPI discount_index: type: string description: The nominal discount curve used for bootstrapping example: SONIA rates: type: array items: type: object properties: tenor: type: string example: 5Y zc_rate: type: number description: Zero-coupon inflation rate as a percentage example: 3.05 timestamp: $ref: "#/components/schemas/DateTime" "400": $ref: "#/components/responses/BadRequest" "422": $ref: "#/components/responses/UnprocessableEntity" "500": description: Internal Server Error - An error occurred while processing the request. /swap_rate: get: summary: Get Swap Rate operationId: getSwapRate tags: - Swap Rates description: | This endpoint calculates the swap rate based on the specified parameters. View guide with examples → parameters: - name: index in: query description: >- The specific index (e.g., SOFR, 1M EURIBOR, 6M EURIBOR OR SONIA) on which the swap rate is based. required: true schema: $ref: "#/components/schemas/Index" - name: start_date in: query description: >- The start date for the swap. Provide either a specific date (e.g., '2025-12-31') or a tenor (e.g., '6M', '1Y'), but not both. required: true schema: $ref: "#/components/schemas/DateOrTenor" - name: maturity_date in: query description: >- The maturity date for the swap. Provide either a specific date (e.g., '2030-12-31') or a tenor (e.g., '1Y', '5Y'), but not both. **Validation Requirements:** - Maturity date must be in the future - Maturity date must be later than start date - If using a tenor, it represents the period from start date to maturity required: true schema: $ref: "#/components/schemas/LaterDateOrTenor" examples: one_year: summary: 1 year maturity value: "1Y" five_year: summary: 5 year maturity value: "5Y" ten_year: summary: 10 year maturity value: "10Y" specific_maturity: summary: Specific maturity date value: "2030-06-15" - name: fixed_leg_frequency in: query description: >- The payment frequency for the fixed leg of the swap. Common values are '1M', '3M', '6M', '1Y'. required: true schema: $ref: "#/components/schemas/Frequency" - name: floating_leg_frequency in: query description: >- 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. required: false schema: $ref: "#/components/schemas/Frequency" - name: fixed_leg_day_count in: query description: >- The day count convention used for the fixed leg of the swap. By default, we use the currency-specific day count convention. required: false schema: $ref: "#/components/schemas/DayCountConvention" - name: floating_leg_day_count in: query description: >- The day count convention used for the floating leg of the swap. By default, we use the currency-specific day count convention. required: false schema: $ref: "#/components/schemas/DayCountConvention" - $ref: "#/components/parameters/valuation_time" security: - api_key: [] responses: "200": description: Successful retrieval of calculated swap rate data. content: application/json: schema: type: object properties: index: type: string example: "3M EURIBOR" start_date: $ref: "#/components/schemas/Date" maturity_date: $ref: "#/components/schemas/Date" fixed_leg_first_payment_date: $ref: "#/components/schemas/Date" floating_leg_first_payment_date: $ref: "#/components/schemas/Date" floating_leg_frequency: type: string example: 3M floating_leg_day_count: $ref: "#/components/schemas/DayCountConvention" fixed_leg_frequency: type: string example: 6M fixed_leg_day_count: $ref: "#/components/schemas/DayCountConvention" valuation_time: $ref: "#/components/schemas/DateTime" swap_rate: type: number example: 3.34567803 "400": $ref: "#/components/responses/BadRequest" "422": $ref: "#/components/responses/UnprocessableEntity" "500": description: >- Internal Server Error - An error occurred while processing the request. /get_swap_curve: get: summary: Get Swap Curve operationId: getSwapRateCurve tags: - Swap Rates description: | This endpoint returns a complete swap curve for a given index, calculating swap rates for all available tenors. It uses the predefined index configuration to automatically determine the appropriate day count conventions and frequencies, then fetches all available tenors from the database. View guide with examples → parameters: - name: index in: query description: >- The name of the index for which to retrieve the swap curve. required: true schema: $ref: "#/components/schemas/Index" - $ref: "#/components/parameters/valuation_time" security: - api_key: [] responses: "200": description: Successful retrieval of complete swap curve data for all available tenors. content: application/json: schema: type: object properties: index_name: type: string example: "SOFR" start_date: $ref: "#/components/schemas/Date" floating_leg_frequency: type: string example: "12M" floating_leg_day_count: $ref: "#/components/schemas/DayCountConvention" fixed_leg_frequency: type: string example: "12M" fixed_leg_day_count: $ref: "#/components/schemas/DayCountConvention" valuation_time: $ref: "#/components/schemas/DateTime" swap_rates: type: array items: type: object properties: tenor: type: string example: "5Y" swap_rate: type: number example: 3.34567803 error: type: string description: Error message if the calculation failed for this tenor example: - tenor: "1Y" swap_rate: 2.45678901 - tenor: "5Y" swap_rate: 3.34567803 - tenor: "10Y" swap_rate: 3.87654321 "400": $ref: "#/components/responses/BadRequest" "404": description: >- Not Found - No tenors available for the specified index or currency. "422": description: >- Unprocessable Entity - The provided index name is not found in the configuration. "500": description: >- Internal Server Error - An error occurred while processing the request. /forward_rate: get: summary: Get Forward Rate operationId: getForwardRate tags: - Forward & Discount Curves description: | Fetches the forward rate based on the specified parameters, including reference rate, start date, end date and optional valuation time. View guide with examples → parameters: - name: index in: query description: >- The specific rate the user wants to base the forecast on (e.g., SOFR, 1M EURIBOR, 6M EURIBOR, SONIA, 3M NIBOR etc.). required: true schema: $ref: "#/components/schemas/Index" - name: start_date in: query description: > The start date for the forward rate calculation. Provide either a specific date (e.g., '2025-12-31') or a tenor (e.g., '1Y', '5Y'), but not both. **Validation Requirements:** - Start date must be later than valuation time - If using a tenor, it represents the period from valuation time to start date required: true schema: $ref: "#/components/schemas/DateOrTenor" examples: one_year_forward: summary: 1 year forward start value: "1Y" two_year_forward: summary: 2 year forward start value: "2Y" specific_forward_date: summary: Specific forward start date value: "2026-03-15" - name: end_date in: query description: > The end date for the forward period. Provide either a specific date (e.g., '2026-03-31') or a tenor (e.g., '1M', '3M'), but not both. required: true schema: $ref: "#/components/schemas/DateOrTenor" examples: three_month_period: summary: 3 month forward period value: "3M" six_month_period: summary: 6 month forward period value: "6M" one_year_period: summary: 1 year forward period value: "1Y" specific_end_date: summary: Specific end date value: "2026-09-15" - $ref: "#/components/parameters/valuation_time" security: - api_key: [] responses: "200": description: Successful retrieval of forward curve data. content: application/json: schema: type: object properties: index: type: string example: SOFR start_date: $ref: "#/components/schemas/Date" end_date: $ref: "#/components/schemas/Date" valuation_time: $ref: "#/components/schemas/DateTime" forward_rate: type: number example: 2.986345445 "400": $ref: "#/components/responses/BadRequest" "404": $ref: "#/components/responses/NotFound" "422": $ref: "#/components/responses/UnprocessableEntity" "500": description: >- Internal Server Error - An error occurred while processing the request. /discount_factor: get: summary: Get Discount Factor operationId: getDiscountFactor tags: - Forward & Discount Curves description: | Fetches the discount factor based on the specified parameters, including reference rate, date and optional valuation time. View guide with examples → parameters: - name: index in: query description: >- The specific rate the user wants to base the forecast on (e.g., SOFR, 1M EURIBOR, 6M EURIBOR, SONIA, 3M NIBOR etc.). required: true schema: $ref: "#/components/schemas/Index" - name: date in: query description: > The date for the discount factor calculation. Provide either a specific date (e.g., '2025-12-31') or a tenor (e.g., '1Y', '5Y'), but not both. required: true schema: $ref: "#/components/schemas/DateOrTenor" examples: one_year_df: summary: 1 year discount factor value: "1Y" five_year_df: summary: 5 year discount factor value: "5Y" ten_year_df: summary: 10 year discount factor value: "10Y" specific_date_df: summary: Specific date discount factor value: "2027-06-15" - $ref: "#/components/parameters/valuation_time" security: - api_key: [] responses: "200": description: Successful retrieval of discount rate data. content: application/json: schema: type: object properties: index: type: string example: SOFR date: $ref: "#/components/schemas/Date" valuation_time: $ref: "#/components/schemas/DateTime" discount_factor: type: number example: 0.7863454 "400": $ref: "#/components/responses/BadRequest" "404": $ref: "#/components/responses/NotFound" "422": $ref: "#/components/responses/UnprocessableEntity" "500": description: >- Internal Server Error - An error occurred while processing the request. /zero_rate: get: summary: Get Zero Rate operationId: getZeroRate tags: - Forward & Discount Curves description: | Fetches the zero rate (spot rate) based on the specified parameters, including reference rate, date and optional valuation time. Returns the zero rate as a percentage with configurable compounding and day count conventions. View guide with examples → parameters: - name: index in: query description: >- The specific rate the user wants to base the forecast on (e.g., SOFR, 1M EURIBOR, 6M EURIBOR, SONIA, 3M NIBOR etc.). required: true schema: $ref: "#/components/schemas/Index" - name: date in: query description: > The date for the zero rate calculation. Provide either a specific date (e.g., '2025-12-31') or a tenor (e.g., '1Y', '5Y'), but not both. required: true schema: $ref: "#/components/schemas/DateOrTenor" examples: one_year_zr: summary: 1 year zero rate value: "1Y" five_year_zr: summary: 5 year zero rate value: "5Y" ten_year_zr: summary: 10 year zero rate value: "10Y" specific_date_zr: summary: Specific date zero rate value: "2027-06-15" - $ref: "#/components/parameters/valuation_time" - name: day_count in: query description: > Day count convention for the zero rate calculation. If not provided, uses the curve's default day count. required: false schema: $ref: "#/components/schemas/DayCountConvention" examples: actual_360: summary: Actual/360 value: "Actual360" actual_365: summary: Actual/365 Fixed value: "Actual365Fixed" - name: compounding in: query description: > Compounding type for the zero rate. Default is Simple. required: false schema: type: string enum: [Simple, Compounded, Continuous] default: Simple examples: simple: summary: Simple (no compounding) value: "Simple" compounded: summary: Discrete compounding value: "Compounded" continuous: summary: Continuous compounding value: "Continuous" - name: compounding_frequency in: query description: > Compounding frequency. Only applicable when compounding is set to 'Compounded'. Default is 12M (Annual). required: false schema: type: string enum: [1M, 3M, 6M, 12M] default: 12M examples: annual: summary: Annual compounding value: "12M" semiannual: summary: Semiannual compounding value: "6M" quarterly: summary: Quarterly compounding value: "3M" monthly: summary: Monthly compounding value: "1M" security: - api_key: [] responses: "200": description: Successful retrieval of zero rate data. content: application/json: schema: type: object properties: index: type: string example: SOFR date: $ref: "#/components/schemas/Date" valuation_time: $ref: "#/components/schemas/DateTime" zero_rate: type: number example: 4.25 day_count: $ref: "#/components/schemas/DayCountConvention" compounding: type: string example: Simple compounding_frequency: type: string example: 12M description: Only present when compounding is 'Compounded' timestamp: $ref: "#/components/schemas/DateTime" "400": $ref: "#/components/responses/BadRequest" "404": $ref: "#/components/responses/NotFound" "422": $ref: "#/components/responses/UnprocessableEntity" "500": description: >- Internal Server Error - An error occurred while processing the request. /fx: get: summary: Get FX Spot Rate operationId: getFxSpotRate tags: - FX description: Fetches the foreign exchange spot rate for the specified currency pair. parameters: - name: currency_pair in: query description: Currency pair for which to retrieve the FX spot rate (e.g., EURUSD, GBPJPY). required: true schema: type: string examples: major_eur_usd: summary: EUR/USD (Euro to US Dollar) value: "EURUSD" major_gbp_usd: summary: GBP/USD (British Pound to US Dollar) value: "GBPUSD" major_usd_jpy: summary: USD/JPY (US Dollar to Japanese Yen) value: "USDJPY" cross_eur_gbp: summary: EUR/GBP (Euro to British Pound) value: "EURGBP" emerging_usd_mxn: summary: USD/MXN (US Dollar to Mexican Peso) value: "USDMXN" - $ref: "#/components/parameters/valuation_time" security: - api_key: [] responses: "200": description: Successful retrieval of FX spot rate data. content: application/json: schema: type: object properties: currency_pair: type: string example: EURUSD valuation_time: $ref: "#/components/schemas/DateTime" rate: type: number example: 1.1234 "400": $ref: "#/components/responses/BadRequest" "404": $ref: "#/components/responses/NotFound" "422": $ref: "#/components/responses/UnprocessableEntity" "500": description: Internal Server Error - An error occurred while processing the request. /fx_forward: get: summary: Get FX Forward Rate operationId: getFxForwardRate tags: - FX description: | Returns the forward exchange rate for a given currency pair and date. The response includes the forward rate along with spot rate, forward diff, premium, and days forward. View guide with examples → parameters: - name: currency_pair in: query description: The currency pair in ISO format (e.g., "EURUSD" for Euro to US Dollar). required: true schema: type: string example: EURUSD - name: date in: query description: The forward date in YYYY-MM-DD format. Defaults to the current date if not specified. required: false schema: type: string format: date example: "2024-12-31" responses: "200": description: Successful retrieval of FX forward rate data. content: application/json: schema: type: object properties: currency_pair: type: string description: The currency pair requested. example: EURUSD date: type: string format: date description: The forward date in ISO 8601 format (YYYY-MM-DD). example: "2027-04-02" rate: type: number description: The forward exchange rate. example: 1.1714 spot_rate: type: number description: The current spot rate. example: 1.1565 forward_diff: type: number description: Difference between forward rate and spot rate (forward_rate - spot_rate). example: 0.0149 premium: type: string description: Forward premium/discount as a percentage. example: "1.29%" days_forward: type: integer description: Number of days from today to the forward date. example: 365 "400": $ref: "#/components/responses/BadRequest" "404": $ref: "#/components/responses/NotFound" "422": $ref: "#/components/responses/UnprocessableEntity" "500": description: Internal Server Error - An error occurred while processing the request. /fx_forward_curve: get: summary: Get FX Forward Curve operationId: getFxForwardCurve tags: - FX description: | Fetches the complete FX forward curve for a given currency pair in a single API call. **Two modes:** - **Standard mode** (default, `frequency=standard`): Returns spot rate plus forward rates for all available market tenors for the pair. The `start_date` and `end_date` parameters are ignored. - **Custom mode** (any other frequency): Returns forward rates at the specified interval between `start_date` and `end_date`. Useful for custom date ranges or daily/weekly data. This endpoint is more efficient than making multiple `/fx_forward` calls when you need the full curve. View guide with examples → parameters: - name: currency_pair in: query description: The currency pair in ISO format (e.g., "EURUSD" for Euro to US Dollar). required: true schema: type: string example: EURUSD - name: frequency in: query description: | The frequency of forward rate points. Use "standard" (default) for standard tenors, or specify an interval like "1D" (daily), "1W" (weekly), "1M" (monthly), "3M" (quarterly), "6M" (semi-annual), "12M" (annual). required: false schema: type: string default: standard example: standard enum: - standard - 1D - 1W - 1M - 3M - 6M - 12M - name: start_date in: query description: Start date for custom frequency mode (ignored for standard mode). required: false schema: type: string format: date example: "2024-04-01" - name: end_date in: query description: End date for custom frequency mode (ignored for standard mode). Defaults to 10 years from today. required: false schema: type: string format: date example: "2026-04-01" responses: "200": description: Successful retrieval of FX forward curve data. content: application/json: schema: type: object properties: currency_pair: type: string description: The currency pair requested. example: EURUSD spot_rate: type: number description: The current spot rate. example: 1.1565 valuation_time: type: string format: date-time description: The timestamp of the valuation. example: "2026-03-31T16:00:00Z" frequency: type: string description: The frequency used (standard or custom interval). example: standard start_date: type: string format: date description: Start date (only present in custom mode). example: "2026-03-31" end_date: type: string format: date description: End date (only present in custom mode). example: "2028-03-31" curve: type: array description: Array of forward rate points. items: type: object properties: tenor: type: string description: The tenor label (only present in standard mode). example: "1Y" date: type: string format: date description: The forward date. example: "2027-03-31" forward_rate: type: number description: The forward exchange rate. example: 1.1714 forward_diff: type: number description: Difference between forward rate and spot rate (forward_rate - spot_rate). example: 0.0149 examples: standard_mode: summary: Standard mode response value: currency_pair: EURUSD spot_rate: 1.1565 valuation_time: "2026-03-31T16:00:00Z" frequency: standard curve: - tenor: "1W" date: "2026-04-07" forward_rate: 1.1566 forward_diff: 0.0001 - tenor: "1M" date: "2026-04-30" forward_rate: 1.1572 forward_diff: 0.0007 - tenor: "1Y" date: "2027-03-31" forward_rate: 1.1714 forward_diff: 0.0149 custom_mode: summary: Custom mode response (quarterly) value: currency_pair: EURUSD spot_rate: 1.1565 valuation_time: "2026-03-31T16:00:00Z" start_date: "2026-03-31" end_date: "2028-03-31" frequency: "3M" curve: - date: "2026-06-30" forward_rate: 1.1589 forward_diff: 0.0024 - date: "2026-09-30" forward_rate: 1.1618 forward_diff: 0.0053 - date: "2026-12-31" forward_rate: 1.1649 forward_diff: 0.0084 "400": $ref: "#/components/responses/BadRequest" "404": $ref: "#/components/responses/NotFound" "422": $ref: "#/components/responses/UnprocessableEntity" "500": description: Internal Server Error - An error occurred while processing the request. /fx_stream: get: summary: Real-Time FX Streaming (WebSocket) operationId: fxStreamWebSocketInfo tags: - FX description: | Access live foreign exchange market data with real-time mid-prices derived from institutional market feeds. This HTTP endpoint has been replaced by a dedicated WebSocket service and is kept here for documentation purposes for prospective users. Connect directly via WebSocket at: `wss://streaming.bluegamma.io/fx_stream` Example connection URL: `wss://streaming.bluegamma.io/fx_stream?s=EURUSD&token=YOUR_TOKEN` If you previously relied on an HTTP redirect, please update your client to open a WebSocket connection directly. The stream provides continuous market data via the WebSocket protocol for low-latency, bidirectional communication. Query parameters: - `s`: one or more symbols (repeatable), e.g. `?s=EURUSD&s=GBPUSD` - `token`: your JWT token Server Messages (from server to client): Quote updates: ```json { "type": "quote", "symbol": "EURUSD", "mid": 1.0845, "timestamp": "2025-01-15T14:30:25.123Z" } ``` Connection status: ```json {"type": "connected"} {"type": "reconnecting", "timestamp": 1234567890} ``` Subscription confirmations: ```json {"type": "subscribed", "symbols": ["GBPUSD"]} {"type": "unsubscribed", "symbols": ["EURUSD"]} ``` Heartbeat: ```json {"type": "ping"} {"type": "pong"} ``` Client Commands (send from client to server): Subscribe to additional symbols: ```json {"action": "subscribe", "symbols": ["GBPUSD", "USDJPY"]} ``` Unsubscribe from symbols: ```json {"action": "unsubscribe", "symbols": ["EURUSD"]} ``` Ping (optional - server sends automatic pings): ```json {"action": "ping"} ``` Example Usage (JavaScript): ```javascript const url = 'wss://streaming.bluegamma.io/fx_stream?s=EURUSD&token=YOUR_TOKEN'; const ws = new WebSocket(url); ws.onmessage = (event) => { const data = JSON.parse(event.data); if (data.type === 'quote') { console.log(`${data.symbol}: ${data.mid}`); } }; // Subscribe to more symbols dynamically ws.addEventListener('open', () => { ws.send(JSON.stringify({action: 'subscribe', symbols: ['GBPUSD']})); }); ``` Example Usage (Python - websockets): ```python import asyncio, json, websockets async def run(): url = 'wss://streaming.bluegamma.io/fx_stream?s=EURUSD&token=YOUR_TOKEN' async with websockets.connect(url) as ws: await ws.send(json.dumps({"action": "subscribe", "symbols": ["GBPUSD"]})) async for msg in ws: data = json.loads(msg) if data.get("type") == "quote": print(data) asyncio.run(run()) ``` parameters: - name: s in: query description: | Select which currency symbols to include in your real-time data stream. Repeat the `s` parameter to include multiple symbols (e.g., `?s=EURUSD&s=GBPUSD`). Supports major pairs (EUR/USD, GBP/USD), crosses (EUR/GBP, AUD/JPY), and emerging market currencies. **Supported symbols include:** - **Major pairs**: EURUSD, GBPUSD, USDJPY, USDCHF, AUDUSD, USDCAD, NZDUSD - **Euro crosses**: EURGBP, EURJPY, EURCHF, EURAUD, EURCAD - **Other crosses**: GBPJPY, CHFJPY, AUDJPY, CADJPY - **Emerging markets**: USDMXN, USDBRL, USDZAR, USDTRY, USDCNY Comma-separated values are not accepted. required: false schema: type: array items: type: string style: form explode: true default: - "EURUSD" examples: major_pair: summary: EUR/USD (most liquid pair) value: - "EURUSD" trading_basket: summary: Popular trading pairs value: - "EURUSD" - "GBPUSD" - "USDJPY" portfolio_monitoring: summary: Diversified currency exposure value: - "EURUSD" - "GBPUSD" - "USDJPY" - "USDCHF" - "AUDUSD" - "USDCAD" emerging_markets: summary: Emerging market currencies value: - "USDMXN" - "USDBRL" - "USDZAR" - name: token in: query description: | JWT token used to authenticate the WebSocket connection. Obtain your token from BlueGamma. This token must be provided as a query parameter when opening the WebSocket connection. required: true schema: type: string examples: sample: summary: Example token value: "eyJhbGciOi..." responses: "302": description: | This endpoint provides documentation for the FX WebSocket streaming service. Connect directly using the WebSocket URL. headers: Location: description: WebSocket streaming endpoint URL with authentication token and selected symbols schema: type: string example: "wss://streaming.bluegamma.io/fx_stream?s=EURUSD&s=GBPUSD&token=..." "400": $ref: "#/components/responses/BadRequest" "403": description: | **Authentication Required** Your API key is missing, invalid, or has insufficient permissions for real-time data access. Please verify your API key and ensure your subscription includes streaming data access. "500": description: | **Service Temporarily Unavailable** The streaming service is experiencing high demand or temporary maintenance. Please retry your connection in a few moments. /gov_yield: get: summary: Get Government Bond Yield operationId: getGovernmentBondYield tags: - Government Bonds description: Calculates the yield for a government bond yield based on country and tenor. Yields are zero coupon yields, assuming S/A compounding. parameters: - name: country_code in: query description: The ISO country code for which to retrieve the government bond yield (e.g., US, UK, DE). required: true schema: type: string examples: us_treasury: summary: US Treasury bonds value: "US" uk_gilts: summary: UK Government bonds (Gilts) value: "UK" german_bunds: summary: German Government bonds (Bunds) value: "DE" japanese_bonds: summary: Japanese Government bonds value: "JP" canadian_bonds: summary: Canadian Government bonds value: "CA" - name: maturity in: query description: The tenor or specific date for the government bond yield (e.g., '1Y', '5Y', '10Y' or '2030-12-31'). required: true schema: $ref: "#/components/schemas/LaterDateOrTenor" examples: short_term: summary: 2-year government bond value: "2Y" medium_term: summary: 5-year government bond value: "5Y" benchmark: summary: 10-year government bond (benchmark) value: "10Y" long_term: summary: 30-year government bond value: "30Y" specific_maturity: summary: Specific maturity date value: "2035-06-15" - name: forward_start in: query description: The forward start date or tenor for the government bond yield (e.g., '1Y', '5Y', '10Y' or '2030-12-31'). required: false schema: $ref: "#/components/schemas/LaterDateOrTenor" - $ref: "#/components/parameters/valuation_time" security: - api_key: [] responses: "200": description: Successful retrieval of government bond yield data. content: application/json: schema: type: object properties: country_code: type: string example: US tenor: type: string example: 10Y valuation_time: $ref: "#/components/schemas/DateTime" yield: type: number example: 3.245 "400": $ref: "#/components/responses/BadRequest" "404": $ref: "#/components/responses/NotFound" "422": $ref: "#/components/responses/UnprocessableEntity" "500": description: Internal Server Error - An error occurred while processing the request. /forward_curve: get: summary: Get Forward Curve operationId: getForwardCurve tags: - Forward & Discount Curves description: | Returns a forward curve constructed over a schedule of periods between start_date and end_date. View guide with examples → parameters: - name: index in: query description: >- The specific rate the user wants to base the forecast on (e.g., SOFR, 1M EURIBOR, 6M EURIBOR, SONIA, 3M NIBOR etc.). required: true schema: $ref: "#/components/schemas/Index" - name: start_date in: query description: > The start date for the forward curve calculation. Provide either a specific date (e.g., '2025-12-31') or a tenor (e.g., '1Y', '5Y'), but not both. **Validation Requirements:** - Start date must be later than valuation time - If using a tenor, it represents the period from valuation time to start date required: true schema: $ref: "#/components/schemas/DateOrTenor" - name: end_date in: query description: > The end date for the forward curve. Provide either a specific date (e.g., '2050-12-31') or a tenor (e.g., '10Y', '20Y'), but not both. required: true schema: $ref: "#/components/schemas/LaterDateOrTenor" examples: medium_term: summary: 5 year curve value: "5Y" long_term: summary: 10 year curve value: "10Y" very_long_term: summary: 30 year curve value: "30Y" specific_end: summary: Specific end date value: "2050-06-01" - name: tenor in: query description: > The tenor (time period) for each forward rate in the curve (e.g., '1M', '3M', '6M'). This represents the length of each forward-looking period in the curve. **Optional**: If not provided, a default tenor will be used based on the specified index. required: false schema: $ref: "#/components/schemas/Tenor" examples: monthly_forwards: summary: 1 month forward rates value: "1M" quarterly_forwards: summary: 3 month forward rates value: "3M" semi_annual_forwards: summary: 6 month forward rates value: "6M" - name: frequency in: query description: The frequency at which to generate curve points (e.g., '1M', '3M', '6M', '1Y'). required: true schema: $ref: "#/components/schemas/Frequency" examples: monthly_points: summary: Monthly curve points value: "1M" quarterly_points: summary: Quarterly curve points value: "3M" semi_annual_points: summary: Semi-annual curve points value: "6M" annual_points: summary: Annual curve points value: "1Y" - $ref: "#/components/parameters/valuation_time" - name: is_end_of_month in: query description: Whether to align periods to the end of each month. required: false schema: type: boolean default: true responses: "200": description: Successful retrieval of forward curve data. content: application/json: schema: type: object properties: start_date: $ref: "#/components/schemas/Date" end_date: $ref: "#/components/schemas/Date" index: $ref: "#/components/schemas/Index" tenor: $ref: "#/components/schemas/Tenor" valuation_time: $ref: "#/components/schemas/DateTime" is_end_of_month: type: boolean example: true frequency: $ref: "#/components/schemas/Frequency" curve: type: array items: type: object properties: start_date: $ref: "#/components/schemas/Date" end_date: $ref: "#/components/schemas/Date" forward_rate: type: number example: 3.245 "400": $ref: "#/components/responses/BadRequest" "404": $ref: "#/components/responses/NotFound" "422": $ref: "#/components/responses/UnprocessableEntity" "500": description: Internal Server Error - An error occurred while processing the request. /discount_curve: get: summary: Get Discount Curve operationId: getDiscountCurve tags: - Forward & Discount Curves description: | Returns discount factors for a schedule between start_date and end_date using a given index. View guide with examples → parameters: - name: index in: query description: >- The specific rate the user wants to base the discount factors on (e.g., SOFR, 1M EURIBOR, 6M EURIBOR, SONIA, 3M NIBOR etc.). required: true schema: $ref: "#/components/schemas/Index" - name: start_date in: query description: > The start date for the discount curve calculation. Provide either a specific date (e.g., '2025-12-31') or a tenor (e.g., '1Y', '5Y'), but not both. required: true schema: $ref: "#/components/schemas/DateOrTenor" - name: end_date in: query description: > The end date for the discount curve. Provide either a specific date (e.g., '2030-12-31') or a tenor (e.g., '10Y', '50Y'), but not both. required: true schema: $ref: "#/components/schemas/LaterDateOrTenor" examples: short_discount: summary: 2 year discount curve value: "2Y" medium_discount: summary: 10 year discount curve value: "10Y" long_discount: summary: 30 year discount curve value: "30Y" specific_end: summary: Specific end date value: "2050-03-01" - $ref: "#/components/parameters/valuation_time" - name: is_end_of_month in: query description: Whether to align periods to the end of each month. required: false schema: type: boolean default: true - name: frequency in: query description: The frequency at which to generate curve points (e.g., '1M', '3M', '6M', '1Y'). required: true schema: $ref: "#/components/schemas/Frequency" examples: monthly_discounts: summary: Monthly discount factors value: "1M" quarterly_discounts: summary: Quarterly discount factors value: "3M" semi_annual_discounts: summary: Semi-annual discount factors value: "6M" annual_discounts: summary: Annual discount factors value: "1Y" responses: "200": description: Successful retrieval of discount curve data. content: application/json: schema: type: object properties: start_date: $ref: "#/components/schemas/Date" end_date: $ref: "#/components/schemas/Date" index: $ref: "#/components/schemas/Index" valuation_time: $ref: "#/components/schemas/DateTime" is_end_of_month: type: boolean example: true frequency: $ref: "#/components/schemas/Frequency" curve: type: array items: type: object properties: date: $ref: "#/components/schemas/Date" discount_factor: type: number example: 0.9823 "400": $ref: "#/components/responses/BadRequest" "404": $ref: "#/components/responses/NotFound" "422": $ref: "#/components/responses/UnprocessableEntity" "500": description: Internal Server Error - An error occurred while processing the request. /forward_swap_curve: get: summary: Get Forward-Starting Swap Curve operationId: getForwardSwapCurve tags: - Forward & Discount Curves description: | This endpoint calculates forward-starting swap rates for a single tenor across multiple start dates. Returns how a specific swap tenor's rate evolves over different forward start dates, reducing the need for multiple `/swap_rate` API calls. **Use Case:** "How does the 5Y STIBOR swap rate change for swaps starting 3M, 6M, 9M, 12M from now?" **Benefits:** - Single API call replaces multiple parallel `/swap_rate` requests - Avoids rate limiting when querying many forward-starting swaps - Ideal for scenario analysis and forward rate projections parameters: - name: index in: query description: >- The specific index (e.g., SOFR, 3M STIBOR, 3M EURIBOR, SONIA) on which the swap rates are based. required: true schema: $ref: "#/components/schemas/Index" examples: stibor: summary: Swedish STIBOR value: "3M STIBOR" euribor: summary: Euro EURIBOR value: "3M EURIBOR" nibor: summary: Norwegian NIBOR value: "3M NIBOR" - name: tenor in: query description: >- The swap maturity length for all swaps in the curve (e.g., '5Y', '10Y'). This tenor is applied from each start_date to calculate the corresponding maturity_date. required: true schema: $ref: "#/components/schemas/Tenor" examples: five_year: summary: 5 year swaps value: "5Y" ten_year: summary: 10 year swaps value: "10Y" - name: start_date in: query description: >- The first forward start date for the curve. Provide either a specific date (e.g., '2026-06-01') or a tenor (e.g., '3M', '1Y') representing the offset from valuation time. If not provided, defaults to spot date (2 business days forward). **Validation Requirements:** - Cannot be more than 10 years in the past - Must be before end_date required: false schema: $ref: "#/components/schemas/DateOrTenor" examples: three_months: summary: Starting in 3 months value: "3M" specific_date: summary: Specific start date value: "2026-06-01" - name: end_date in: query description: >- The last forward start date for the curve. Provide either a specific date (e.g., '2027-06-01') or a tenor (e.g., '1Y', '5Y') representing the offset from start_date. **Validation Requirements:** - Must be later than start_date - Maximum range: 50 years from start_date required: true schema: $ref: "#/components/schemas/LaterDateOrTenor" examples: one_year: summary: 1 year range value: "1Y" five_years: summary: 5 year range value: "5Y" specific_date: summary: Specific end date value: "2027-06-01" - name: frequency in: query description: >- The spacing between start dates in the curve (e.g., '1M', '3M', '6M', '1Y'). Determines how many data points will be generated between start_date and end_date. required: true schema: $ref: "#/components/schemas/Frequency" examples: monthly: summary: Monthly start dates value: "1M" quarterly: summary: Quarterly start dates value: "3M" semi_annual: summary: Semi-annual start dates value: "6M" - name: is_end_of_month in: query description: >- Whether to align start dates to the end of each month. When true, dates will be adjusted to month-end boundaries. required: false schema: type: boolean default: true - name: fixed_leg_frequency in: query description: >- The payment frequency for the fixed leg of all swaps in the curve. Common values are '1M', '3M', '6M', '1Y'. required: true schema: $ref: "#/components/schemas/Frequency" examples: annual: summary: Annual fixed payments value: "1Y" semi_annual: summary: Semi-annual fixed payments value: "6M" - name: floating_leg_frequency in: query description: >- The payment frequency for the floating leg of all swaps. If not provided, defaults to match the fixed leg frequency. required: false schema: $ref: "#/components/schemas/Frequency" - name: fixed_leg_day_count in: query description: >- The day count convention for the fixed leg. If not provided, uses the currency-specific default. required: false schema: $ref: "#/components/schemas/DayCountConvention" - name: floating_leg_day_count in: query description: >- The day count convention for the floating leg. If not provided, uses the currency-specific default. required: false schema: $ref: "#/components/schemas/DayCountConvention" - $ref: "#/components/parameters/valuation_time" security: - api_key: [] responses: "200": description: Successful retrieval of forward-starting swap curve data. content: application/json: schema: type: object properties: index: type: string example: "3M STIBOR" currency: type: string example: "SEK" tenor: type: string example: "5Y" start_date: $ref: "#/components/schemas/Date" end_date: $ref: "#/components/schemas/Date" frequency: type: string example: "3M" is_end_of_month: type: boolean example: true fixed_leg_frequency: type: string example: "1Y" floating_leg_frequency: type: string nullable: true example: "3M" fixed_leg_day_count: $ref: "#/components/schemas/DayCountConvention" floating_leg_day_count: $ref: "#/components/schemas/DayCountConvention" valuation_time: $ref: "#/components/schemas/DateTime" timestamp: type: string format: date-time description: Timestamp of the underlying curve data example: "2026-03-09T18:00:35" curve: type: array description: Array of forward-starting swap rates, one for each start date in the schedule items: type: object properties: start_date: $ref: "#/components/schemas/Date" maturity_date: $ref: "#/components/schemas/Date" swap_rate: type: number description: The swap rate for a swap starting at start_date with the specified tenor example: 0.026264775343760226 example: index: "3M STIBOR" currency: "SEK" tenor: "5Y" start_date: "2026-06-09" end_date: "2027-06-09" frequency: "3M" is_end_of_month: true fixed_leg_frequency: "1Y" floating_leg_frequency: null fixed_leg_day_count: null floating_leg_day_count: null valuation_time: "2026-03-09T20:27:56.191653" timestamp: "2026-03-09T18:00:35" curve: - start_date: "2026-06-09" maturity_date: "2031-06-09" swap_rate: 0.026264775343760226 - start_date: "2026-06-30" maturity_date: "2031-06-30" swap_rate: 0.026377015392480666 - start_date: "2026-09-30" maturity_date: "2031-09-30" swap_rate: 0.02684143363682677 "400": $ref: "#/components/responses/BadRequest" "422": description: | Validation error. Common causes: - end_date must be later than start_date - start_date cannot be more than 10 years in the past - Date range exceeds maximum of 50 years - Invalid tenor format (expected format: '5Y', '10Y', '3M', etc.) - No valid swaps could be generated (all maturity dates in the past) - Invalid day count convention content: application/json: schema: type: object properties: detail: type: string "500": description: Internal Server Error - An error occurred while processing the request. /fixing: get: summary: Get Fixing Rate operationId: getFixingRate tags: - Central Bank and Benchmark Rates description: Fetches the fixing rate for a given index at a specific valuation time. parameters: - name: index in: query description: The specific rate or benchmark for which to retrieve a daily published value. This includes traditional fixings (e.g., SOFR, 3M EURIBOR), as well as central bank policy rates (e.g., Fed Funds Target Rate, ECB Main Refinancing Rate, BOE Bank Rate). required: true schema: $ref: "#/components/schemas/FixingIndex" - name: valuation_date in: query description: >- The specific date for the market data used in the calculation. If not provided, live data is used by default. required: false schema: $ref: "#/components/schemas/Date" security: - api_key: [] responses: "200": description: Successful retrieval of fixing rate data. content: application/json: schema: type: object properties: index: type: string example: SOFR valuation_date: $ref: "#/components/schemas/Date" fixing_rate: type: number example: 0.9876 fixing_date: $ref: "#/components/schemas/Date" "400": $ref: "#/components/responses/BadRequest" "404": description: Fixing not found. "500": description: Internal Server Error - An error occurred while processing the request. /historical_swap_rates: get: summary: Get Historical Swap Rates operationId: getHistoricalSwapRates tags: - Swap Rates description: | Returns historical swap rates for a given index and tenor over a date range (start_date to end_date). View guide with examples → parameters: - name: index in: query description: The specific index (e.g., SOFR, 1M EURIBOR, 6M EURIBOR, SONIA) for the swap rates. required: true schema: $ref: "#/components/schemas/Index" - name: tenor in: query description: The tenor for each swap rate (e.g., '1Y', '5Y'). required: true schema: $ref: "#/components/schemas/Tenor" - name: start_date in: query description: The start date for the swap rates (inclusive). Provide a specific date (e.g., '2025-12-31'). required: true schema: $ref: "#/components/schemas/Date" - name: end_date in: query description: The end date for the swap rates (inclusive). Provide a specific date (e.g., '2025-12-31'). required: true schema: $ref: "#/components/schemas/Date" security: - api_key: [] responses: "200": description: Successful retrieval of historical swap rates. content: application/json: schema: type: object properties: index_name: type: string example: "3M EURIBOR" currency: type: string example: "EUR" fixed_leg_day_count: $ref: "#/components/schemas/DayCountConvention" floating_leg_day_count: $ref: "#/components/schemas/DayCountConvention" fixed_leg_frequency: type: string example: "6M" floating_leg_frequency: type: string example: "3M" swap_rates: type: array items: type: object properties: rate: type: number example: 3.34567803 date: type: string format: date example: "2024-06-01" tenor: type: string example: "1Y" "400": $ref: "#/components/responses/BadRequest" "404": $ref: "#/components/responses/NotFound" "422": $ref: "#/components/responses/UnprocessableEntity" "500": description: Internal Server Error - An error occurred while processing the request. /swap_pricer: post: summary: Swap Pricer operationId: swapPricer tags: - Swap Rates description: | Calculate the mark-to-market (MTM) value, fair rate, PV01, and detailed cashflows for an interest rate swap. Supports amortizing swaps with variable notional amounts. View guide with examples → When fixed_rate is omitted, the swap is valued at the fair (par) rate and mark-to-market is zero. This endpoint provides comprehensive swap valuation including: - Fair swap rate calculation - Mark-to-market valuation - PV01 (dollar value of a basis point) - Detailed cashflow schedules for both fixed and floating legs requestBody: required: true content: application/json: schema: $ref: "#/components/schemas/SwapPricerRequest" examples: vanilla_swap: summary: Vanilla Interest Rate Swap value: index: "SOFR" start_date: "2025-01-15" maturity_date: "2030-03-31" fixed_leg_frequency: "6M" fixed_rate: 4.25 fixed_notionals: [100000000] amortizing_swap: summary: Amortizing Swap value: index: "SOFR" start_date: "0D" maturity_date: "5Y" fixed_leg_first_payment_date: "2025-07-15" fixed_leg_frequency: "6M" fixed_rate: 4.25 fixed_notionals: [100000000, 95000000, 90000000, 85000000, 80000000] valuation_time: "2026-01-28T15:00:00Z" with_day_counts: summary: Swap with Custom Day Count Conventions value: index: "3M EURIBOR" start_date: "2025-01-15" maturity_date: "10Y" fixed_leg_frequency: "6M" fixed_leg_day_count: "Actual365Fixed" fixed_rate: 3.5 fixed_notionals: [50000000] at_fair_rate: summary: Swap at fair rate (no fixed rate; MTM zero) value: index: "SOFR" start_date: "2025-01-15" maturity_date: "2030-03-31" fixed_leg_frequency: "6M" fixed_notionals: [100000000] security: - api_key: [] responses: "200": description: Successful swap pricer calculation. content: application/json: schema: $ref: "#/components/schemas/SwapPricerResponse" "400": $ref: "#/components/responses/BadRequest" "422": $ref: "#/components/responses/UnprocessableEntity" "500": description: >- Internal Server Error - An error occurred while processing the request. /swap_rate_tenors: get: summary: Get Available Swap Rate Tenors operationId: getSwapRateTenors tags: - Swap Rates description: | Returns the list of available tenors for swap rates for a given index. parameters: - name: index in: query description: The specific index (e.g., SOFR, 1M EURIBOR, 6M EURIBOR, SONIA) for which to retrieve available swap rate tenors. required: true schema: $ref: "#/components/schemas/Index" examples: sofr_tenors: summary: Available SOFR swap tenors value: "SOFR" euribor_tenors: summary: Available EURIBOR swap tenors value: "3M EURIBOR" sonia_tenors: summary: Available SONIA swap tenors value: "SONIA" emerging_tenors: summary: Available emerging market tenors value: "3M JIBAR" security: - api_key: [] responses: "200": description: Successful retrieval of available swap rate tenors. content: application/json: schema: type: object properties: index: type: string example: "3M EURIBOR" tenors: type: array items: type: string example: ["1Y", "2Y", "5Y", "10Y"] "400": $ref: "#/components/responses/BadRequest" "404": $ref: "#/components/responses/NotFound" "422": $ref: "#/components/responses/UnprocessableEntity" "500": description: Internal Server Error - An error occurred while processing the request. /compounded_rate: get: summary: Calculate Compounded Overnight Rate / Realised Rate operationId: getCompoundedRate tags: - Central Bank and Benchmark Rates description: | Calculate compounded overnight rates (realised rates) for risk-free rate (RFR) indices over a specified period. This endpoint computes the realised compounded rate using actual market fixings for overnight reference rates. The calculation follows market conventions for each index, including day count conventions, lookback periods, lockout days, and observation shifts. **Supported Overnight Indices:** - SOFR (Secured Overnight Financing Rate) - SONIA (Sterling Overnight Index Average) - ESTR (Euro Short-Term Rate) - SORA (Singapore Overnight Rate Average) - TONAR (Tokyo Overnight Average Rate) - CORRA (Canadian Overnight Repo Rate Average) - SARON (Swiss Average Rate Overnight) **Use Cases:** - Calculate historical realised rates for loan settlements - Compute interest payments based on overnight index compounding - Validate RFR-based calculations - Generate audit trails for compounded rate calculations parameters: - name: start_date in: query description: > Period start date. Provide a specific date (e.g., '2024-01-01'). required: true schema: $ref: "#/components/schemas/Date" examples: specific_date: summary: Specific start date value: "2024-01-01" - name: end_date in: query description: > Period end date. Provide a specific date (e.g., '2024-01-31'). **Validation Requirements:** - End date must be later than start date required: true schema: $ref: "#/components/schemas/LaterDate" examples: specific_end: summary: Specific end date value: "2024-01-31" - name: index in: query description: > Overnight index name. Supported indices include SOFR, SONIA, ESTR, SORA, TONAR, CORRA, SARON, CDI, and Fed Funds. required: true schema: type: string enum: ["SOFR", "SONIA", "ESTR", "SORA", "TONAR", "CORRA", "SARON"] examples: sofr: summary: SOFR index value: "SOFR" sonia: summary: SONIA index value: "SONIA" estr: summary: ESTR index value: "ESTR" - name: nominal in: query description: > Notional amount for calculation. If not provided, defaults to 1,000,000. required: false schema: type: number format: float default: 1000000 examples: one_million: summary: 1 million notional value: 1000000 ten_million: summary: 10 million notional value: 10000000 - name: spread in: query description: > Additional spread in percentage (e.g. 5 = 5%). If not provided, defaults to 0. required: false schema: type: number format: float default: 0 examples: no_spread: summary: No spread value: 0 - name: day_counter in: query description: > Day count convention for the calculation. If not provided, uses the index-specific default convention. required: false schema: type: string examples: act_360: summary: Actual/360 value: "Actual/360" act_365: summary: Actual/365 value: "Actual/365" - name: lookback_days in: query description: > Number of days to lag the reference rate. If not provided, defaults to 0. required: false schema: type: integer default: 0 examples: no_lag: summary: No lookback value: 0 two_day_lag: summary: 2-day lookback value: 2 - name: lockout_days in: query description: > Number of days at the end of the period without rate resets. If not provided, defaults to 0. required: false schema: type: integer default: 0 examples: no_lockout: summary: No lockout value: 0 five_day_lockout: summary: 5-day lockout value: 5 - name: apply_observation_shift in: query description: > Whether to apply observation shift to the rate calculation. If not provided, defaults to false. required: false schema: type: boolean default: false examples: no_shift: summary: No observation shift value: false with_shift: summary: With observation shift value: true security: - api_key: [] responses: "200": description: Successful calculation of compounded overnight rate. content: application/json: schema: type: object properties: start_date: type: string format: date description: Actual start date used in calculation example: "2024-01-01" end_date: type: string format: date description: Actual end date used in calculation example: "2024-01-31" index: type: string description: Overnight index used example: "SOFR" nominal: type: number format: float description: Notional amount used example: 1000000 spread: type: number format: float description: Spread applied in percentage example: 0 day_counter: type: string description: Day count convention used example: "Actual/360" calendar: type: string description: Calendar used for business day adjustments example: "United States" lookback_days: type: integer description: Lookback days applied example: 0 lockout_days: type: integer description: Lockout days applied example: 0 apply_observation_shift: type: boolean description: Whether observation shift was applied example: false rate: type: number format: float description: Compounded rate as percentage example: 5.25 amount: type: number format: float description: Interest amount for the notional example: 43750.00 "400": $ref: "#/components/responses/BadRequest" "422": description: >- Unprocessable Entity - Invalid parameters provided (e.g., end date before start date, unsupported index). "500": description: >- Internal Server Error - An error occurred while processing the request. /fras: get: summary: Get FRAs operationId: getFras tags: - Central Bank and Benchmark Rates description: | Retrieves Forward Rate Agreement (FRA) rates for a given index. Returns all available tenors and their corresponding rates. Supported indices are denominated in EUR, SEK, NOK, and DKK. parameters: - name: index in: query description: The index name for which to retrieve FRA rates (e.g., 3M EURIBOR, 3M STIBOR, 3M NIBOR, 3M CIBOR). required: true schema: $ref: "#/components/schemas/FRAIndex" - $ref: "#/components/parameters/valuation_time" security: - api_key: [] responses: "200": description: Successful retrieval of FRA rates. content: application/json: schema: type: object properties: index: type: string description: The index name example: "3M EURIBOR" currency: type: string description: The currency derived from the index example: "EUR" valuation_time: $ref: "#/components/schemas/DateTime" timestamp: type: string format: date-time description: The actual data timestamp example: "2026-01-28T18:00:00" fras: type: array items: type: object properties: tenor: type: string description: FRA tenor example: "3X6" type: type: string description: Instrument type example: "FRA" value: type: number format: float description: FRA rate value example: 2.045 "400": $ref: "#/components/responses/BadRequest" "404": description: No FRA rates found for the given index and valuation time. "422": description: >- Unprocessable Entity - FRA rates not available for the given index. "500": description: >- Internal Server Error - An error occurred while processing the request. /swaption_price: get: summary: Price a European Swaption operationId: priceSwaption tags: - Swaptions description: | Price a European swaption (payer or receiver) with live yield curves and normal volatility surface. Returns NPV, delta, DV01, and vega. The exercise date equals the swap start date (mid-curve swaptions are not supported). View guide with examples → **Supported indices:** SOFR, SONIA, 3M EURIBOR, 6M EURIBOR, 1M EURIBOR, SARON, AONIA, 3M CDOR, NOWA, SWESTR, STINA, DESTR, CITA, 3M JIBAR, ZARONIA, 3M HIBOR, HONIA, 3M KLIBOR, OCR, NZONIA, TONAR, 3M TIBOR, 6M TIBOR, 3M SAIBOR, 3M PRIBOR, 6M PRIBOR, 6M BUBOR, 3M BUBOR, 3M TAIBOR, 28 Day TIIE, TIIEON, 91D CD, 7D REPO, 1Y DEPO. **Example request:** ``` GET /swaption_price?index=SOFR&start_date=2Y&maturity_date=5Y&swaption_type=payer ``` parameters: - name: index in: query required: true schema: type: string description: >- The reference rate index (e.g., SOFR, SONIA, 3M EURIBOR). Must be a supported post-LIBOR transition index. example: "SOFR" - name: start_date in: query required: true schema: type: string description: >- The start date for the underlying swap (= exercise date). Provide either a specific date (e.g., '2028-02-21') or a tenor (e.g., '2Y'). example: "2Y" - name: maturity_date in: query required: true schema: type: string description: >- The maturity date for the underlying swap. Provide either a specific date (e.g., '2033-02-21') or a tenor (e.g., '5Y'). If using a tenor, it represents the period from start date to maturity. example: "5Y" - name: strike_rate in: query required: false schema: type: number nullable: true description: >- Strike rate as a percentage (e.g., 3.5 for 3.5%). If omitted, the swaption is priced at ATM (forward swap rate). example: 3.5 - name: notional in: query required: false schema: type: number default: 10000000 description: "Notional amount. Defaults to 10,000,000." example: 10000000 - name: swaption_type in: query required: false schema: type: string enum: - payer - receiver default: payer description: "Swaption type. Defaults to 'payer'." example: "payer" - name: valuation_time in: query required: false schema: type: string format: date-time nullable: true description: "Valuation time in ISO 8601 format. Defaults to current time." responses: "200": description: Successful swaption pricing content: application/json: schema: type: object properties: index: type: string example: "SOFR" currency: type: string example: "USD" swaption_type: type: string example: "payer" start_date: type: string format: date example: "2028-02-21" maturity_date: type: string format: date example: "2033-02-21" exercise_date: type: string format: date example: "2028-02-21" valuation_time: $ref: "#/components/schemas/DateTime" notional: type: number example: 10000000 forward_rate: type: number description: "ATM forward swap rate as a percentage" example: 3.57 strike_rate: type: number description: "Strike rate as a percentage" example: 3.57 normal_volatility_bps: type: number description: "Normal (Bachelier) volatility in basis points (e.g., 60.7 for 60.7 bps). Sourced directly from Xignite." example: 60.7 npv: type: number description: "Net present value in currency units" example: 75661.51 premium_pct: type: number description: "Swaption premium as a percentage of notional (e.g., 0.757 means 0.757%)" example: 0.757 delta: type: number description: "Bachelier delta: Φ(d) for payer (0 to 1), Φ(d)−1 for receiver (−1 to 0). ATM = 0.5 for payer." example: 0.5 dv01: type: number description: "Rate sensitivity: delta × PVBP (pricing currency units per bp). Comparable to PV01 on the swap endpoint." example: 2240.84 vega: type: number description: "NPV sensitivity to a 1bp shift in normal volatility (pricing currency units per bp)" example: 1247.40 timestamp: type: string format: date-time description: "Most recent market data timestamp (max of curve and vol surface data timestamps)." example: "2026-02-25T10:50:28" "422": description: >- Validation Error - Invalid input parameters. "500": description: >- Internal Server Error - An error occurred while processing the request. /cap_floor_price: get: summary: Price an Interest Rate Cap or Floor operationId: priceCapFloor tags: - Caps & Floors description: | Price an interest rate cap or floor with live yield curves and a caplet-level breakdown. A cap is a portfolio of caplets, each a European call option on a forward rate. A floor is a portfolio of floorlets, each a European put option on a forward rate. Pricing uses the Bachelier (normal) model with live yield curves and swaption ATM volatility data. The response includes headline price measures plus the full caplet breakdown used in the calculation. View guide with examples → **Supported indices:** SOFR, SONIA, 3M EURIBOR, 6M EURIBOR, 1M EURIBOR, SARON, AONIA, 3M CDOR, NOWA, SWESTR, STINA, DESTR, CITA, 3M JIBAR, ZARONIA, 3M HIBOR, HONIA, 3M KLIBOR, OCR, NZONIA, TONAR, 3M TIBOR, 6M TIBOR, 3M SAIBOR, 3M PRIBOR, 6M PRIBOR, 6M BUBOR, 3M BUBOR, 3M TAIBOR, 28 Day TIIE, TIIEON, 91D CD, 7D REPO, 1Y DEPO. **Vol smile modes:** - **auto** (default): Uses SABR smile for SOFR caps, calibrated from live market data, and flat ATM vol for other indices. - **flat**: Uses ATM vol for all strikes. - **sabr**: Uses SABR smile with user-provided `sabr_rho` and `sabr_nu`. For multi-strike pricing or staggered notionals, use the POST version of this endpoint. **Example request:** ``` GET /cap_floor_price?index=SOFR&start_date=3M&maturity_date=3Y&cap_or_floor=cap&strike_rate=4.5 ``` parameters: - name: index in: query required: true schema: type: string description: >- The reference rate index (e.g., SOFR, SONIA, 3M EURIBOR). Must be a supported post-LIBOR transition index. example: "SOFR" - name: start_date in: query required: true schema: type: string description: >- The cap/floor start date. Provide either a specific date (e.g., '2026-06-01') or a tenor (e.g., '3M'). example: "3M" - name: maturity_date in: query required: true schema: type: string description: >- The cap/floor maturity date. Provide either a specific date (e.g., '2029-03-01') or a tenor (e.g., '3Y'). If using a tenor, it represents the period from start date to maturity. example: "3Y" - name: strike_rate in: query required: false schema: type: number nullable: true description: >- Strike rate as a percentage (e.g., 4.5 for 4.5%). If omitted, the instrument is priced at ATM — the par swap rate for the same schedule. example: 4.5 - name: notional in: query required: false schema: type: number default: 10000000 description: "Notional amount. Defaults to 10,000,000." example: 10000000 - name: cap_or_floor in: query required: false schema: type: string enum: - cap - floor default: cap description: "Instrument type. Defaults to 'cap'." example: "cap" - name: frequency in: query required: false schema: type: string default: 3M description: >- Caplet/floorlet frequency (e.g., '1M', '3M', '6M'). Defaults to '3M' (quarterly). example: "3M" - name: valuation_time in: query required: false schema: type: string format: date-time nullable: true description: "Valuation time in ISO 8601 format. Defaults to current time." example: "2026-01-28T15:00:00Z" - name: vol_smile in: query required: false schema: type: string enum: - auto - flat - sabr default: auto description: >- Volatility smile model. `auto` uses SABR for SOFR and flat ATM vol for other indices. `flat` uses ATM vol for all strikes. `sabr` uses user-provided `sabr_rho` and `sabr_nu`. example: "auto" - name: sabr_rho in: query required: false schema: type: number nullable: true description: >- SABR correlation parameter (-1 to 1). **Required when `vol_smile=sabr`.** Only used when `vol_smile=sabr`; ignored otherwise. If `vol_smile=auto` and the index is SOFR, rho is calibrated automatically. example: -0.25 - name: sabr_nu in: query required: false schema: type: number nullable: true description: >- SABR vol-of-vol parameter (> 0). **Required when `vol_smile=sabr`.** Only used when `vol_smile=sabr`; ignored otherwise. If `vol_smile=auto` and the index is SOFR, nu is calibrated automatically. example: 0.5 security: - api_key: [] responses: "200": description: Successful cap/floor pricing content: application/json: schema: $ref: "#/components/schemas/CapFloorPriceResponse" "422": description: >- Validation Error - Invalid input parameters. "500": description: >- Internal Server Error - An error occurred while processing the request. post: summary: Price an Interest Rate Cap or Floor (Complex Inputs) operationId: priceCapFloorPost tags: - Caps & Floors description: | Price caps and floors with richer inputs than the GET endpoint supports: - **Multiple strikes** in a single request - **Staggered notionals** for amortizing or accreting structures - **SABR smile controls** via `vol_smile`, `sabr_rho`, and `sabr_nu` Returns a single pricing result for a single strike, or an array of pricing results when `strike_rate` is provided as a list. requestBody: required: true content: application/json: schema: $ref: "#/components/schemas/CapFloorPricerRequest" examples: vanilla_cap: summary: Vanilla cap priced at ATM value: index: "SOFR" start_date: "3M" maturity_date: "3Y" cap_or_floor: "cap" notional: 10000000 multi_strike_cap: summary: Multi-strike cap request value: index: "SOFR" start_date: "3M" maturity_date: "5Y" strike_rate: [2.0, 3.0, 3.5, 4.0, 5.0] notional: 10000000 cap_or_floor: "cap" staggered_floor: summary: Floor with staggered notionals value: index: "3M EURIBOR" start_date: "2026-06-01" maturity_date: "2029-06-01" strike_rate: 2.75 notional: [10000000, 9500000, 9000000, 8500000] cap_or_floor: "floor" frequency: "3M" security: - api_key: [] responses: "200": description: Successful cap/floor pricing content: application/json: schema: $ref: "#/components/schemas/CapFloorPricePostResponse" "422": description: >- Validation Error - Invalid input parameters. "500": description: >- Internal Server Error - An error occurred while processing the request. components: parameters: valuation_time: name: valuation_time in: query description: >- The specific time (or date) for the market data used in the calculation. If valuation_time is not provided, the endpoint will use the most recent market data available. For major currencies (e.g. USD, EUR, GBP), data is updated every minute. This timestamp should be in ISO 8601 format and is interpreted as UTC. required: false schema: $ref: "#/components/schemas/DateTime" schemas: DateOrTenor: oneOf: - $ref: "#/components/schemas/Date" - $ref: "#/components/schemas/Tenor" examples: - "2D" - "1Y" - "2025-06-01" LaterDateOrTenor: oneOf: - $ref: "#/components/schemas/LaterDate" - $ref: "#/components/schemas/Tenor" examples: - "2D" - "1Y" - "2030-12-31" Date: type: string format: date description: A date in ISO 8601 only date format (YYYY-MM-DD) example: "2025-12-31" LaterDate: type: string format: date description: A date in ISO 8601 only date format (YYYY-MM-DD) example: "2030-12-31" DateTime: type: string format: date-time description: A date and time in ISO 8601 format (YYYY-MM-DDThh:mm:ssZ). All times are interpreted as UTC. example: "2024-01-01T15:00:00Z" Tenor: type: string description: A time period represented as a number followed by a period indicator (D=days, W=weeks, M=months, Y=years) examples: - "1Y" - "5Y" - "10Y" - "20Y" - "30Y" pattern: "^[0-9]+[DWMY]$" Index: type: string description: Common interest rate benchmarks and indices used in financial markets examples: - "SOFR" - "3M EURIBOR" - "SONIA" enum: - SOFR - Fed Funds - 1M USD-LIBOR - 3M USD-LIBOR - 6M USD-LIBOR - 6M EURIBOR - 3M EURIBOR - 1M EURIBOR - SONIA - 1M GBP-LIBOR - 3M GBP-LIBOR - 6M GBP-LIBOR - 12M EIBOR - 6M EIBOR - 3M EIBOR - 1M EIBOR - CDI - CORRA - 3M CDOR - SARON - 1M CHF-LIBOR - 6M CHF-LIBOR - 6M PRIBOR - 3M HIBOR - 6M BUBOR - 3M TELBOR - 12M CIBOR - 6M CIBOR - 3M CIBOR - 1M CIBOR - Overnight MIBOR - 6M MIFOR - TONAR - 91D CD - 3M KLIBOR - 3M NIBOR - 6M NIBOR - 3M BKBM - 6M WIBOR - 3M SAIBOR - 3M STIBOR - SORA - 3M TRYIBOR - 3M TAIBOR - 3M JIBAR - 6M BBSW - 3M BBSW - 28 Day TIIE InflationIndex: type: string description: Inflation indices available for zero-coupon inflation rate calculations examples: - "UK RPI" - "EU HICP" enum: - UK RPI - EU HICP FixingIndex: type: string description: Interest rate benchmarks and indices available for fixing rate retrieval (excludes SAIBOR) examples: - "SOFR" - "3M EURIBOR" - "SONIA" - "FED Federal Funds Target Rate" - "BOE Bank Rate" - "ECB Main Refinancing Rate" enum: - SOFR - Fed Funds - 1M USD-LIBOR - 3M USD-LIBOR - 6M USD-LIBOR - 6M EURIBOR - 3M EURIBOR - 1M EURIBOR - SONIA - 1M GBP-LIBOR - 3M GBP-LIBOR - 6M GBP-LIBOR - 12M EIBOR - 6M EIBOR - 3M EIBOR - 1M EIBOR - CDI - CORRA - 3M CDOR - SARON - 1M CHF-LIBOR - 6M CHF-LIBOR - 3M HIBOR - 6M BUBOR - 3M TELBOR - 12M CIBOR - Overnight MIBOR - 6M MIFOR - TONAR - SWESTR - 91D CD - 3M KLIBOR - 3M BKBM - 6M WIBOR - SORA - 3M TRYIBOR - 3M TAIBOR - 3M JIBAR - 6M BBSW - 3M BBSW - 28 Day TIIE - FED Federal Funds Target Rate - BOE Bank Rate - ECB Main Refinancing Rate - RBA Cash Rate Target - BOC Target for the Overnight Rate - CBB SELIC Rate - PBOC Loan Prime Rate - CBC Monetary Policy Rate - CNB 2-Week Repo Rate - DNB Lending Rate - MNB Base Rate - RBI Policy Repo Rate - BOI Key Interest Rate - BOJ Overnight Call Rate - BANXICO Overnight Target Rate - RBNZ Official Cash Rate - Norges Bank Key Policy Rate - NBP Reference Rate - CBR Key Rate - SAMA Repo Rate - SARB Repo Rate - BOK Base Rate - Riksbank Policy Rate - SNB Policy Rate - CBRT Repo Rate FRAIndex: type: string description: Indices supported for FRA rate retrieval. These are IBOR-type indices denominated in EUR, SEK, NOK, and DKK. examples: - "3M EURIBOR" - "6M EURIBOR" - "3M STIBOR" enum: - 3M EURIBOR - 3M STIBOR - 3M NIBOR - 3M CIBOR Frequency: type: string description: Payment frequency for financial instruments examples: - "1Y" - "6M" - "3M" - "1M" CapFloorPricerRequest: type: object required: - index - start_date - maturity_date properties: index: type: string description: The reference rate index (e.g., SOFR, 3M EURIBOR, SONIA) example: "SOFR" start_date: $ref: "#/components/schemas/DateOrTenor" maturity_date: $ref: "#/components/schemas/LaterDateOrTenor" strike_rate: oneOf: - type: number format: double - type: array items: type: number format: double description: >- Strike rate(s) as a percentage. Provide a single value for standard pricing or a list to return a pricing result for each strike. If omitted, the pricer uses ATM. example: [2.0, 3.0, 3.5, 4.0, 5.0] notional: oneOf: - type: number format: double - type: array items: type: number format: double default: 10000000 description: >- Notional amount(s). Provide a single number for vanilla caps/floors or a list for staggered/amortizing structures with one notional per caplet/floorlet period. example: [10000000, 9500000, 9000000, 8500000] cap_or_floor: type: string enum: - cap - floor default: cap description: Instrument type. Defaults to `cap`. example: "cap" frequency: allOf: - $ref: "#/components/schemas/Frequency" - description: Caplet/floorlet frequency. Defaults to `3M`. example: "3M" valuation_time: type: string format: date-time nullable: true description: Valuation time in ISO 8601 format. Defaults to current time. example: "2026-01-28T15:00:00Z" vol_smile: type: string enum: - auto - flat - sabr default: auto description: >- Volatility smile model. `auto` uses SABR for SOFR and flat ATM vol for other indices. `flat` uses ATM vol for all strikes. `sabr` requires `sabr_rho` and `sabr_nu`. example: "auto" sabr_rho: type: number format: double nullable: true description: >- SABR correlation parameter (-1 to 1). **Required when `vol_smile=sabr`**; ignored otherwise. example: -0.25 sabr_nu: type: number format: double nullable: true description: >- SABR vol-of-vol parameter (> 0). **Required when `vol_smile=sabr`**; ignored otherwise. example: 0.5 CapletBreakdown: type: object description: Detailed pricing information for a single caplet or floorlet. properties: accrual_start: type: string format: date description: Start date of the accrual period. example: "2026-09-01" accrual_end: type: string format: date description: End date of the accrual period. example: "2026-12-01" forward_rate: type: number format: double description: Forward rate for the accrual period as a percentage. example: 3.74251 strike: type: number format: double description: Strike rate applied to the caplet/floorlet as a percentage. example: 4.5 notional: type: number format: double description: Notional amount applied to this period. example: 10000000 normal_vol_bps: type: number format: double description: Caplet normal volatility in basis points. example: 58.42 npv: type: number format: double description: Present value contribution of the caplet/floorlet. example: 12450.23 delta: type: number format: double description: Delta contribution of the caplet/floorlet. example: 0.421337 vega: type: number format: double description: Vega contribution of the caplet/floorlet for a 1bp vol bump. example: 185.74 discount_factor: type: number format: double description: Discount factor used for this period. example: 0.987654 accrual_fraction: type: number format: double description: Year fraction for the accrual period. example: 0.252778 CapFloorPriceResponse: type: object properties: index: type: string description: The reference rate index used. example: "SOFR" currency: type: string description: Currency derived from the index. example: "USD" type: type: string enum: - cap - floor description: Instrument type returned by the pricer. example: "cap" start_date: type: string format: date description: Effective start date of the cap/floor. example: "2026-06-01" maturity_date: type: string format: date description: Maturity date of the cap/floor. example: "2029-06-01" frequency: type: string description: Caplet/floorlet frequency. example: "3M" valuation_time: $ref: "#/components/schemas/DateTime" notional: oneOf: - type: number format: double - type: array items: type: number format: double description: >- Input notional amount(s) used in the pricing run. Returned in the same shape as the request — a scalar for vanilla structures, an array (one entry per caplet/floorlet period) for staggered notionals. example: 10000000 forward_rate: type: number format: double description: ATM forward rate for the full cap/floor schedule as a percentage. example: 3.74251 strike_rate: type: number format: double description: >- Strike rate used for pricing as a percentage. When a list of strikes is supplied via POST, each element of the response array carries the strike used for that element. example: 4.5 npv: type: number format: double description: Net present value in currency units. example: 75661.51 premium_pct: type: number format: double description: >- Premium as a percentage of the first notional in the schedule (`notional` for vanilla, `notional[0]` for staggered). Only directly comparable across vanilla structures. example: 0.7566 delta: type: number format: double description: Aggregate delta across all caplets/floorlets. example: 0.512345 vega: type: number format: double description: Aggregate vega across all caplets/floorlets for a 1bp vol bump. example: 1247.4 num_caplets: type: integer minimum: 1 description: Number of caplets/floorlets in the priced schedule. example: 12 caplets: type: array description: Caplet/floorlet-level pricing breakdown. items: $ref: "#/components/schemas/CapletBreakdown" vol_type: type: string enum: - flat - sabr_calibrated - sabr_manual description: >- Effective volatility model used in the calculation. `sabr_calibrated` is produced when `vol_smile=auto` and the index has a calibrated SABR surface (currently SOFR). `sabr_manual` is produced when `vol_smile=sabr` with user-supplied `sabr_rho`/`sabr_nu`. `flat` means ATM vol was used at every strike. example: "sabr_calibrated" sabr_rho: type: number format: double description: >- SABR rho used in pricing when a SABR smile is applied. Only present when `vol_type` is `sabr_calibrated` or `sabr_manual`; omitted when `vol_type=flat`. example: -0.2143 sabr_nu: type: number format: double description: >- SABR nu used in pricing when a SABR smile is applied. Only present when `vol_type` is `sabr_calibrated` or `sabr_manual`; omitted when `vol_type=flat`. example: 0.4876 timestamp: type: string format: date-time description: Most recent market data timestamp used in pricing. example: "2026-02-25T10:50:28Z" CapFloorPricePostResponse: description: >- Pricing result returned by `POST /cap_floor_price`. An array is returned if and only if `strike_rate` was supplied as a list — one element per strike, in the same order as the request. A single object is returned otherwise. oneOf: - $ref: "#/components/schemas/CapFloorPriceResponse" - type: array items: $ref: "#/components/schemas/CapFloorPriceResponse" DayCountConvention: type: string description: Day count convention for interest rate and swap calculations enum: - Actual360 - Actual365 - Actual365Fixed - Thirty360BondBasis - Thirty360EuroBondBasis - Business252 examples: - "Actual360" - "Actual365Fixed" SwapPricerRequest: type: object required: - index - start_date - maturity_date - fixed_leg_frequency - fixed_notionals properties: index: type: string description: The reference rate index (e.g., SOFR, 3M EURIBOR, SONIA) example: "SOFR" start_date: $ref: "#/components/schemas/DateOrTenor" maturity_date: $ref: "#/components/schemas/LaterDateOrTenor" fixed_leg_frequency: $ref: "#/components/schemas/Frequency" fixed_leg_day_count: allOf: - $ref: "#/components/schemas/DayCountConvention" - description: The day count convention used for the fixed leg. By default, uses the currency-specific convention fixed_rate: type: number format: double description: > The fixed rate as a percentage (e.g., 4.25 for 4.25%). Optional; when omitted, the swap is valued at the fair rate and mark-to-market is zero. example: 4.25 fixed_leg_first_payment_date: type: string format: date description: >- The first payment date (e.g., '2026-08-02'). If not provided, defaults to start_date + fixed_leg_frequency adjusted for business days. example: "2026-08-02" fixed_notionals: oneOf: - type: number format: double - type: array items: type: number format: double description: Notional amount(s). Provide a single number for vanilla swaps or a list for amortizing swaps. example: 100000000 valuation_time: type: string format: date-time description: Valuation time in ISO 8601 format. Defaults to current time if not provided. example: "2026-01-28T15:00:00Z" SwapPricerResponse: type: object properties: index: type: string description: The reference rate index used example: "SOFR" currency: type: string description: Currency of the swap derived from the index example: "USD" start_date: type: string format: date description: The effective start date of the swap example: "2025-01-15" maturity_date: type: string format: date description: The maturity date of the swap example: "2030-03-31" fixed_leg_first_payment_date: type: string format: date description: First payment date for the fixed leg example: "2025-07-15" floating_leg_first_payment_date: type: string format: date description: First payment date for the floating leg example: "2025-07-15" valuation_time: type: string format: date-time description: The valuation time used for pricing example: "2026-01-28T15:00:00Z" timestamp: type: string format: date-time description: Timestamp of the market data used example: "2026-01-28T15:00:00Z" fixed_leg_frequency: type: string description: Payment frequency of the fixed leg example: "6M" floating_leg_frequency: type: string description: Payment frequency of the floating leg example: "6M" fixed_leg_day_count: allOf: - $ref: "#/components/schemas/DayCountConvention" - description: Day count convention for the fixed leg example: "Actual360" floating_leg_day_count: allOf: - $ref: "#/components/schemas/DayCountConvention" - description: Day count convention for the floating leg example: "Actual360" fixed_rate: type: number format: double nullable: true description: > The fixed rate of the swap as a percentage (input parameter). Null when not supplied in the request (swap valued at fair rate, MTM zero). example: 4.25 fair_rate: type: number format: double description: The fair (par) swap rate as a percentage example: 3.87654 mtm: type: number format: double description: Mark-to-market value of the swap (positive = asset, negative = liability) example: -125430.50 pv01: type: number format: double description: Dollar value of a 1 basis point move in rates (PV01) example: 42850.25 fixed_cashflows: type: array description: Detailed cashflows for the fixed leg items: $ref: "#/components/schemas/CashflowDetail" floating_cashflows: type: array description: Detailed cashflows for the floating leg items: $ref: "#/components/schemas/CashflowDetail" CashflowDetail: type: object description: Detailed information for a single cashflow period properties: period_start: type: string format: date description: Start date of the accrual period example: "2025-01-15" period_end: type: string format: date description: End date of the accrual period example: "2025-03-31" notional: type: number format: double description: Notional amount for this period example: 100000000 day_count_fraction: type: number format: double description: Year fraction based on day count convention example: 0.2083 rate: type: number format: double description: Interest rate for this period (fixed rate for fixed leg, forward rate for floating leg) example: 4.25 cashflow: type: number format: double description: Undiscounted cashflow amount example: 212500 discount_factor: type: number format: double description: Discount factor to payment date example: 0.9912 present_value: type: number format: double description: Present value of the cashflow example: 210630 ErrorResponse: type: object properties: error: type: object properties: response: type: object properties: data: type: object properties: detail: oneOf: - type: string example: "Invalid input format." - type: array items: type: object properties: type: type: string example: "missing" loc: type: array items: type: string example: ["query", "parameterName"] msg: type: string example: "Field required" input: nullable: true type: string example: null example: - type: "missing" loc: ["query", "parameterName"] msg: "Field required" input: null securitySchemes: api_key: type: apiKey in: header name: x-api-key description: API token required for authentication responses: BadRequest: description: Bad Request – check `error.response.data.detail` which contains a descriptive error message or a list of parameter validation errors. content: application/json: schema: $ref: "#/components/schemas/ErrorResponse" UnprocessableEntity: description: Unprocessable Entity - The request was well-formed but contains semantic errors. content: application/json: schema: type: object properties: detail: type: string examples: invalid_index: summary: Invalid index provided value: detail: "Invalid index provided. Supported indices: SOFR, 3M EURIBOR, SONIA, etc." invalid_tenor: summary: Invalid tenor format value: detail: "Invalid tenor format. Must match pattern: [0-9]+[DWMY] (e.g., 1Y, 3M, 2W, 5D)" invalid_date_range: summary: Invalid date range value: detail: "Start date must be earlier than end date" future_date_required: summary: Future date required value: detail: "Date must be in the future" start_date_before_valuation_time: summary: Start date validation value: detail: "Start date must be later than valuation time" maturity_date_in_past: summary: Maturity date in past value: detail: "Maturity date must be in the future" maturity_date_before_start_date: summary: Maturity date validation value: detail: "Maturity date must be later than start date" invalid_index_parsing: summary: Index parsing error value: detail: "Invalid index provided." invalid_date_format: summary: Date format error value: detail: "Invalid date format. Must be YYYY-MM-DD or a tenor string matching pattern: [0-9]+[DWMY] (e.g., 1Y, 3M, 2W, 5D)" NotFound: description: Not Found - The requested resource or data could not be found. content: application/json: schema: type: object properties: detail: type: string examples: no_data_available: summary: No data available value: detail: "No data available for the specified date range" no_tenors_available: summary: No tenors available value: detail: "No tenors available for the specified index" fixing_not_found: summary: Fixing not found value: detail: "Fixing not found for the specified date" no_curve_data: summary: No curve data value: detail: "No curve data available for the specified parameters" security: - api_key: []