I am dealing with a cross currency swap where the notional amount changes halfway through the strip accrual period, and I would like to know if there's a specific name for this structure? A stylized example below:
Consider a vanilla AUDUSD CCIRS with a 5% fixed rate on the USD side with a 10m USD notional. Let's say the accrual period is 6m, such that we would expect the undiscounted cashflow for the USD leg to be roughly 5% * 6/12 * 10m = 250k.
The structure im asking about has a notional that would change to say 9million 3 months through the accrual period, such that the end undiscounted cashflow for the USD leg would be approximately 5% * 3/12 * 10m + 5% * 3m * 9m = 237.5k
I would think any naming convention would differ from a vanilla amortized swap given the quirk of the notional amounts changing halfway through the accrual period.
Thank you in advance