This web service is designed to provide real-time U.S., European and Asian Interest Rate Swaps pricing. Pricing includes Overnight Index Swaps (OIS), Forward Rate Agreements (FRA), International Monetary Market Forward Rate Agreements (IMM FRA), Non-Deliverable Swaps (NDS), Non-Deliverable Interest Rate Swaps (NDIRS) and Cross Currency Swaps (CCS). BGCantor’s Interest Rates Swap pricing is an independent source of liquidity that is relied on by hundreds of global institutions. UNITED STATES (GetUSSwapsFamily)
The following Interest Rate Swaps are available:
- United States Dollar (USD)
The following Overnight Index Swaps and Forward Overnight Index Swaps are available:
- United States Dollar (USD)
EUROPE (GetEuropeSwapsFamily)
The following Interest Rate Swaps are available:
- Euro (EUR)
- Danish Krone (DKK)
- Swedish Krona (SEK)
- Norwegian Krona (NOK)
- Czech Koruna (CZK)
- Slovakia Koruny (SKK)
- Russia Ruble (RUB)
- Turkey New Lira (TRY)
The following Overnight Index Swaps and Forward Overnight Index Swaps are available:
The following Forward Rate Agreements are available:
- Czech Koruna (CZK)
- Euro (EUR)
- Turkey New Lira (TRY)
The following International Monetary Market Forward Rate Agreements are available:
- Danish Krone (DKK)
- Swedish Krona (SEK)
The following Cross Currency Swaps are available:
- Russia Ruble (RUB)
- Turkey New Lira (TRY)
ASIA & MIDDLE EAST (GetAsiaAndMiddleEastSwapsFamily)
The following Interest Rate Swaps are available:
- Australia Dollar (AUD)
- New Zealand Dollar (NZD)
- Hong Kong Dollar (HKD)
- Singapore Dollar (SGD)
- China Yuan Renminbi (CNY)
- United Arab Emirates Dirham (AED)
- Saudi Arabia Riyal (SAR)
The following Overnight Index Swaps are available:
- Australian Dollar (AUD)
- Hong Kong Dollar (HKD)
- New Zealand Dollar (NZD)
- Singapore Dollar (SGD)
The following Non-Deliverable Overnight Index Swaps are available:
- China Yuan Renminbi (CNY)
The following Forward Rate Agreements are available:
- Hong Kong Dollar (HKD)
- Singapore Dollar (SGD)
The following Cross Currency Swaps are available:
The following Non-Deliverable Swaps are available:
- China Yuan Renminbi (CNY)
- Indonesia Rupiah (IDR)
- Indian Rupee (INR)
- Korean Won (KRW)
- Philippines Peso (PHP)
- Thailand Baht (THB)
- Taiwan Dollar (TWD)
- Vietnamese Dong (VND)
The following Non-Deliverable Interest Rate Swaps are available:
- China Yuan Renminbi (CNY)
- Indian Rupee (INR)
- Korean Won (KRW)
- Malaysian Ringgit (MYR)
- Thailand Baht (THB)
- Taiwan Dollar (TWD)
Daily pricing coverage is subject to market liquidity.
This web service supports the following operations:
- GetUSSwapsFamily
- Sample file: ( XML, Spreadsheet [CSV] )*
Returns pricing for US Interest Rate Swaps, Overnight Index Swaps (OIS), IMM FRA vs. OIS Spreads and Swap Spreads
- GetEuropeSwapsFamilyReturns pricing for European Interest Rate Swaps, Forward Rate Agreements, Overnight Index Swaps, Cross Currency Swaps, IMM Forward Rate Agreements, IMM FRA vs. EONIA Spreads, and IRS Spreads
- GetAsiaAndMiddleEastSwapsFamilyReturns pricing for Asian and Middle Eastern Interest Rate Swaps, Overnight Index Swaps (OIS), Non-Deliverable Overnight Index Swaps (NDOIS), Non-Deliverable Swaps (NDS), Non-Deliverable Interest Rate Swaps (NDIRS), Forward Rate Agreements (FRA) and Cross Currency Swaps (CCS)
- GetInterestRateSwapsInstrumentReturns pricing for a single Interest Rate Swaps instrument
- ListInstrumentsReturns a list of Interest Rate Swap instruments that are currently available
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