Notional_Generator/Schedule

[Anonymous]

Hi all,
we are trying to calculate some loans with ORE. At the moment we have to set every single notional change in the notional-tag of the trade:

<Notionals>
	<Notional>10000000.00</Notional>
	<Notional startDate='2018-12-01'>9000000.00</Notional>
	<Notional startDate='2019-12-01'>8000000.00</Notional>
	<Notional startDate='2020-12-01'>7000000.00</Notional>
	<Notional startDate='2021-06-01'>6500000.00</Notional>
	<Notional startDate='2021-12-01'>5500000.00</Notional>
</Notionals>

It would be nice to use a generator for periodical changes (annuity, periodical repayments,..). It would be also nice to combine this with single notional payments.
Maybe something like:

<Notionals>
	<Notional>10000000.00</Notional>

	<!—periodical Payments-->
	<ScheduleData>
		<Rules>
			<StartDate>20181201</StartDate>
			<EndDate>20211201</EndDate>
			<NotionalPay>-1000000.00</NotionalPay>-
			<Tenor>1Y</Tenor>
			<Calendar>TARGET</Calendar>
			<Convention>MF</Convention>
			<TermConvention>MF</TermConvention>
			<Rule>Forward</Rule>
		</Rules>
	</ScheduleData>

	<!—single Payments-->
	< NotionalPay startDate='2021-06-01'>-500000.00</ NotionalPay >
</Notionals>

[Anonymous]

Hi,

While I can see some advantages to this, it can get complicated, the schedule would have to match the coupon schedule of course and the parser needs even more logic, there are already 2 different ways to encode a changing notional.

In the past we have normally avoided this issue by taking one of the following approaches:
1) Use the full vector of nationals, most trade capture systems will give you this.
2) Writing a small script (e.g. python) that will generate the notional vector from a set of rules like you have described.

Not sure how much that helps.

Regards,
Niall.

[Author]

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