An Amortising swap
[Frank J. Fabozzi, 2018]
''The Handbook of Financial Instruments''
Wiley is usually an
interest rate swap in which the
notional principal for the interest payments declines (i.e. is
paid down) during the life of the swap, perhaps at a rate tied to the prepayment of a mortgage or to an interest rate benchmark such as the
London Interbank Offered Rate (Libor).
It is the opposite of the
accreting swap.
If the swap allows for uncertain
contingent ups and downs in the notional principal, it is called a "roller-coaster swap".
References
Sources
Further reading
*
Mark Rubinstein ''Rubinstein on Derivatives. Futures, Options and Dynamic Strategies'' 1999
Interest rates
Swaps (finance)
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