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May 02, 2018 at 12:50 AM

Amortizing interest rate swap

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Hi Experts,

We are currently using product type 62A for interest rate swaps in our company. However, we recently have a requirement to process "amortizing interest rate swap" in our system. From the business requirement, it looks the same as a normal IRS, only the that notional principal amount decreases with time. Have any of you encountered a similar requirement?

Possible workarounds can be seen like creating multiple swaps or even editing the same swap during notional amount change but I am interested if there a more elegant or standard way of doing this. As an amortizing swap is common financial transaction, SAP should have had a solution for this.