Amortising swap

Amortising swap is usually an interest rate swap in which the notional principal for the interest payments declines 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). If the swap allows for uncertain contingent ups and downs in the notional principal, it is called a "roller-coaster swap". The opposite of the accreting swap.

References

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

Derivatives market

Derivative (finance)

Options

Terms	Credit spread Debit spread Exercise Expiration Moneyness Open interest Pin risk Risk-free interest rate Strike price the Greeks Volatility
Vanilla options	Bond option Call Employee stock option Fixed income FX Option styles Put Warrants
Exotic options	Asian Barrier Basket Binary Chooser Cliquet Commodore Compound Forward start Interest rate Lookback Mountain range Rainbow Swaption
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Swaps

Exotic derivatives

Other derivatives

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