Swap amortisation - are they supported by OG

Strata
1

Hi,

I’m using open gamma to calculate the schedules. Was wondering open gamma now supports amortisation, e.g. if I provide it with the frequency, amortisation factor and type can it produce the notional schedule breakdown?

Many thanks

2

Strata does support amortising swaps similar to FpML.

The amount field on NotionalSchedule is a ValueSchedule, which is series of values keyed by date where the dates must match payment boundaries on the swap (amortising fixed rates can also be set on FixedRateCalculation).

The amortisation can be set in two ways:

  • Each change can be manually encoded as the new value and the date is applies from.
  • ValueStepSequence can be used to select a frequency and adjustment.

You probably want the second method. Start from ValueSchedule.of(ValueStepSequence).

HTH
Stephen