Date

25 Aug 2020

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:

Continued discussion of the hierarchy reorganization from last week, as well as considered reorganizing the content in the 'file system'. The approach we're taking with respect to the ontology was validated by John Nowlin as being on the right track - any asset class can be the underlier for a variance swap, or correlation swap, so moving them up the hierarchy was the right approach. Using a polyhierarchical structure that includes (1) the instrument type, (2) the underlying asset class, and (3) various other features of the instruments enables analysis from a variety of perspectives. And we really need both the top-down polyhierarchy as well as the micro-level detail to provide a full picture.

We also discussed the need for a demo vehicle, to allow analysts to see, even with dummy data such as the Mizuho data, how they can map their own data to the ontology. We started to do that for interest rate swaps, but need to provide the rest of the data set to help demonstrate the efficacy of the model, and then provide a way for people to see how it works dynamically.

For next week, Elisa will continue working on the merge/collapse/extend process (i.e., merge properties that are the same across the various ontologies from the legacy content, collapse and merge duplicate classes, and extend the semantics with either new classes or restrictions to reflect what we've been discussing so far), to cover the various possible legs for equity swaps, and for further review next week. Other FCT members may receive more requests for definitions through that process.

Decisions:

Action items