18.2 Supported Instruments and Tables

The Market Valuation for embedded options using the Black-76 model supports all interest rate caps (such as period caps, life caps), interest rate floors, cap, and floor combinations (e.g. collars), interest rate call and put options (European and Bermudan only).

Supports Adjustable Type 250 – Other Adjustable only.

Supported Amortization Types:

• 100 Conventional Fixed
• 500 Conventional Adjustable
• 600 Adjustable Negative Amortization
• 700 Non-Amortizing
• 710 Rule of 78s
• 820 Level Principal Payments
• 800 Conventional Schedule
• 801 Level Principal Schedule
• 802 Simple Insummterest Schedule
• 400 Balloon Payment

Supported instrument types and FSI_D tables are mentioned in the following table.

Table 18-1 List of Supported Instrument Types and FSI_D tables

Variable Rate Instruments
Instrument Table	Caps/Caplets	Floors/Floorlets
FSI_D_INVESTMENTS	X	X
FSI_D_BORROWINGS	X	X
FSI_D_MORTGAGES	X	X
FSI_D_CAPFLOORS	X	X