Amortising swap

An Amortising swap ^[1] 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

^ Frank J. Fabozzi, 2018. The Handbook of Financial Instruments, Wiley ISBN 978-1-119-52296-6

Further reading

Mark Rubinstein Rubinstein on Derivatives. Futures, Options and Dynamic Strategies 1999 ISBN 1-899332-53-7

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[Fabozzi-1] Frank J. Fabozzi, 2018. The Handbook of Financial Instruments, Wiley ISBN 978-1-119-52296-6

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