Date
Attendees
Agenda
1) Use Case reminder
2) Where we are on our road map.
3) Open Action Items
4) JIRA Issues Review - https://jira.edmcouncil.org/projects/DER/issues/DER-10?filter=allopenissues
5) Todays content discussion.
6) For next week.
Proceedings:
Everyone had challenges getting into the meeting today - likely with everyone working from home, so we started quite late. Apologies to anyone who was unable to join us.
The council is very interested in our working on a demonstration using the Mizuho content, and will see MakoLab has the bandwidth to create a user interface on top of Stardog / Cambridge Semantics.
Notes from John Nowlin on discount notional:
As per your request regarding discount notional amount definition; for interest rate swaps where the contract states that discounting is applicable, a discount rate and discount rate day count fraction are specified. When calculating payments for such a swap a discounted notional amount is used where
Discounted Notional Amount = Notional Amount /( 1 + (Discount Rate X Discount Rate Day Count fraction))
Also, from last week, John Gemski sent some additional links on Interest Rate Swaps:
https://www.wallstreetmojo.com/interest-rate-swap-curve/ - gives an easy to follow example
https://www.citibank.co.kr/cgrp_pjt/jsp/en/fed/fed040030v.jsp?gnbname=fed – gives Citibank’s explanation of interest rate swaps
Note that in both examples they use the term Notional Amount which is the amount that is swapped.
Discussion of underlier - there may be a difference between underlying asset and underlying product. John will do some more investigating and get back to us.