Term SOFR API - Get Term SOFR Rates - History

Gets historical Term SOFR rates based on a single date or range of dates provided by the customer. By default returns all historical Term SOFR rates.

Accepts the below requests/inputs:

If both (startDate) and (endDate) fields are provided -> Returns an inclusive range between customer-provided (startDate) and (endDate).
If (startDate) field is provided but no (endDate) field -> The (endDate) field will be defaulted to today/current-date. Returns Term SOFR rates between the range of the specified (startDate) and today/current-date.
If (endDate) field provided but no (startDate) field -> Returns all Term SOFR rates up to customer-provided (endDate).
If no Date fields are provided -> Returns all historical Term SOFR rates based on the customer-provided product codes leading up to today/current-date.
If no arguments / parameters are provided -> Returns all historical Term SOFR rates leading up to today/current-date.
If only (date) field is provided -> Returns the SOFR Term Rate for the customer-provided date.
If date (field) is provided with (startDate) or (endDate) -> The date field takes precedence. Returns the SOFR Term Rate for the customer-provided date.
If all 3 Date fields are provided -> The (date) field takes precedence. Returns the SOFR Term Rate for the customer-provided date.
If only one Product (productCodes) is provided -> Returns the requested product with the historical Term SOFR rate.
If multiple Products (productCodes) are provided, separated by "," (comma) -> Returns the requested products with the historical Term SOFR rate for each.

URL	/history
HTTP Method	GET

Contents

Ref	Parameter	Name	Type	Multiple	Values	Usage	Description

Ref	Parameter	Name	Type	Multiple	Usage	Description
1	CME-Application-Name	Application Name	string	No	REQUIRED	Name of the customer system that generated the message.
2	CME-Application-Vendor	Application Vendor	string	No	REQUIRED	Name of the vendor who provided the customer system. For a proprietary system, use the firm name.
3	CME-Application-Version	Application Version	string	No	REQUIRED	Version identifier for the customer system.

Ref	Parameter	Name	Type	Multi-ple	Values	Usage	Description

Ref	Parameter	Name	Type	Multi-ple	Values	Usage	Description
1	productCodes	Product Code	string	Yes	TR1 TR3 TR6 T1Y	OPTIONAL	Indicates the underlying asset code (Product Code). Clients can query for one or more Product Codes. e.g productCodes=TR1,TR3 - Results will be limited to TR1 & TR3
2	date	Date	string	No		OPTIONAL	A parameter to be used by the customer to specify a single date for which they want to obtain the rates. Format YYYY-MM-DD
3	startDate	Start Date	string	No		OPTIONAL	A parameter to be used by the customer to specify the lower bound within the desired date range. Format YYYY-MM-DD
4	endDate	End Date	string	No		OPTIONAL	A parameter to be used by the customer to specify the upper bound within the desired date range. Format YYYY-MM-DD

Ref	Parameter	Name	Type	Multiple	Values	Usage	Description

Ref	Parameter	Name	Type	Multiple	Usage	Description
1	sentTime	Sent Time	TimeStamp	No	REQUIRED	Time the message was published
2	version	Version	String	No	REQUIRED	Version Number of the application generating the message
3	dataset	Data Set	string	No	REQUIRED	Represents the type of data the application is generating

Successfully retrieved

Ref	Field	Name	Data Type	Values	Usage	Description

Ref	Field	Name	Data Type	Values	Usage	Description
1	businessDt	Business Date	string		REQUIRED	Trade date of published data. The relevant date for which the SOFR rates are in reference to. Format YYYY-MM-DD
2	sofrRt	SOFR Rate	number		REQUIRED	SOFR Term Rate for this Tenor
4	instrument[]	Instrument	instrument		REQUIRED
5	→ guidInt	Instrument GUID Int	integer		REQUIRED	Unique Instrument ID Can be used with Referential Data API to get Instrument details.
6	→ productCode	Product Code	string	TR1 TR3 TR6 T1Y	REQUIRED	Indicates the underlying asset code (Product Code). Can be used with Referential Data API to get Product

Internal Server Error

Bad request Exception from incorrect user input e.g. incorrectly formatted date