5. Amortizing swap

• Trade amortization schedule (other parameters omitted)

  Effective From	Notional Amount (USD)
  10-Nov-09	100,000,000.00
  10-May-10	100,000,000.00
  10-Nov-10	100,000,000.00
  10-May-11	100,000,000.00
  10-Nov-11	90,000,000.00
  10-May-12	80,000,000.00
  10-Nov-12	70,000,000.00
  10-May-13	60,000,000.00
  10-Nov-13	50,000,000.00
  10-May-14	25,000,000.00

• Challenges for AI

  • Changes in notional do not follow a regular pattern, and the model may not reproduce the amounts precisely during data entry

  • What does “Effective From” refer to?