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Exotic Linear Amortizer (LAX)

Description​

Exotic version of LAM. However step ups with respect to (i) Principal, (ii) Interest rates are possible. Highly flexible to match totally irregular principal payments. Principal can also be paid out in steps.

Real-world Instrument Examples (but not limited to)​

A special version of this kind are teaser rate loans and mortgages.

Required Terms​

  • contractDealDate
  • contractID
  • contractRole
  • contractType
  • counterpartyID
  • creatorID
  • currency
  • dayCountConvention
  • initialExchangeDate
  • nominalInterestRate
  • notionalPrincipal
  • statusDate

Conditional Groups​

Group 1​

  • Drivers: feeRate
  • Required if triggered: feeBasis
  • Optional: cycleAnchorDateOfFee, cycleOfFee, feeAccrued

Group 2​

  • Drivers: arrayCycleAnchorDateOfInterestPayment, arrayCycleOfInterestPayment
  • Required if triggered: None
  • Optional: cyclePointOfInterestPayment

Group 3​

  • Drivers: interestCalculationBase
  • Required if triggered: interestCalculationBaseAmount
  • Optional: cycleAnchorDateOfInterestCalculationBase, cycleOfInterestCalculationBase

Group 4​

  • Drivers: arrayCycleAnchorDateOfPrincipalRedemption, arrayCycleOfPrincipalRedemption, arrayNextPrincipalRedemptionPayment, arrayIncreaseDecrease
  • Required if triggered: None
  • Optional: None

Group 5​

  • Drivers: purchaseDate
  • Required if triggered: priceAtPurchaseDate
  • Optional: None

Group 6​

  • Drivers: terminationDate
  • Required if triggered: priceAtTerminationDate
  • Optional: None

Group 7​

  • Drivers: scalingEffect
  • Required if triggered: marketObjectCodeOfScalingIndex, scalingIndexAtContractDealDate, notionalScalingMultiplier, interestScalingMultiplier
  • Optional: cycleAnchorDateOfScalingIndex, cycleOfScalingIndex

Group 8​

  • Drivers: prepaymentEffect
  • Required if triggered: None
  • Optional: prepaymentPeriod, optionExerciseEndDate, cycleAnchorDateOfOptionality, cycleOfOptionality, penaltyType, penaltyRate

Group 9​

  • Drivers: arrayCycleAnchorDateOfRateReset
  • Required if triggered: arrayRate, arrayFixedVariable, marketObjectCodeOfRateReset
  • Optional: arrayCycleOfRateReset, lifeCap, lifeFloor, periodCap, periodFloor, cyclePointOfRateReset, fixingPeriod, nextResetRate, rateMultiplier

Standalone Optional Terms​

  • accruedInterest
  • businessDayConvention
  • calendar
  • capitalizationEndDate
  • contractPerformance
  • delinquencyPeriod
  • delinquencyRate
  • endOfMonthConvention
  • gracePeriod
  • marketObjectCode
  • marketValueObserved
  • maturityDate
  • nonPerformingDate
  • premiumDiscountAtIED
  • seniority
  • settlementCurrency

Notes​

  • contractType is automatically set to "LAX" when using the class.