Date

20 Oct 2017

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/IND/issues/IND-17?filter=allopenissues

5) Todays content discussion.

SMIF OWL-UML

SKOS

RDF/S

6) For next week.

Proceedings:

Today we reviewed the FpML floating rates, defined at http://www.fpml.org/coding-scheme/floating-rate-index-2-0.xml to see if it would be possible to generate either classes or individuals for each one of them, as needed by the various institutions and regulators to define the reference rates associated with any particular interest rate swap.

Currently, in the common interest rates ontology (http://spec.edmcouncil.org/fibo/ind/InterestRates/CommonInterestRates.rdf), we have things like the CanadianDollarOfferedRate, which is an interbank offered rate. In addition to this, in the FpML file, there are a number of additional rates that reference the Canadian Dollar, such as CAD-CORRA-OIS-COMPOUND, while others reference both the Canadian Dollar and the Canadian Dollar Offered Rate, for example, CAD-BA-CDOR, which is a Canadian Dollar based Bankers' Acceptance rate that is tied to the Canadian Dollar Offered Rate.

Unfortunately, there are many of these rates embedded in the FpML floating rate index, none of which have expanded definitions. Some of the definitions are expanded in http://www.isda.org/c_and_a/pdf/ISDA-Definitions-Rate-Cross-Reference-Chart-051804.pdf.

The goal of today's discussion was to see if we can auto-generate individuals or classes for the rates from the FpML index, and possibly augment them with information provided in the ISDA reference chart. Pete will investigate what can be done over the coming week.

Each of the rates specified in the resulting ontology would be of types (1) fibo-fbc-dae-dbt:FloatingInterestRate, and (2) fibo-ind-ir-ir:ReferenceInterestRate, with a link to the reference currency using fibo-ind-ir-ir:hasReferenceCurrency, and a link to the organization (association or central bank) that manages it, for example, fibo-fnd-rel-rel:isManagedBy fibo-fbc-fct-cajrga:BankOfCanada, and with links to the publisher(s) of that rate, i.e., Bloomberg, ThomsonReuters, Telerate, etc. The ISDA cross-reference includes the organization that manages the rate (sponsor), the publishers of the rate, and the currencies, but this content would have to be extracted in a second pass using the ISDA cross reference, for those that are included in that reference.

Decisions:

Action items

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