Date

18 Jan 2019

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:

20190118 FIBO IND

IND (Indices and Indicators) has been underway for a while - original focus (from Semantic Repository) started with interest rates, Fx and economic indicators. StatCan and BLS provided SME knowledge for economic indicators

Goal - overview of IND to date + areas where SME assistance is needed (market indices and volitality) + onward engagement

IND is a supporting area - supporting other areas with core content. Now need SME assistance to build out the rest of FIBO IND content. IND supports Loans, Derivatives based on rates (Fx, IR, economic indices, etc.) and the basis for any statistical measure for FIBO (including volatility). See MA structure of FIBO slide for scope.

IND ontologies include indicators, economic indicators, FX, IR and starting point for market indices. EK shows Protege (top is measure of "market rate"). Statistical measures - a number of concepts have been identified based on contributions from BLS.

Most work so far has been on economic indicators - for dependent instruments, BLS, CPI, employment rates.

Overview of content of economic indicators within FIBO (including periods and release dates). Reference rates (including IR) - including interbank rates, overnight rates, etc. Interest rates links to FBC for core IR concepts. FpML content about reference rates has been included. Fx - do not have Fx reference rates but do include core concepts for generating Fx quotes.

This is what currently exists in IND

We will add all to the IND Wiki for access. Each FIBO Content Team has a Wiki page - minutes, next meeting dates, documents, PPT. Wiki + JIRA for issue management available to all interested

Access point for FIBO (spec.edmcouncil.org/fibo) - all content is available here + some additional expressions (tree structure, glossary, SKOS, OWL, spreadsheet). Most of the FCT work operates in OWL - but everything is linked to the OWL system of record (use whatever expression is comfortable)

Open JIRA issues - two issues need SME input - first is volatility (functions used to calculate volatility) - business requirements are requested for prioritization. Also need to model "distribution" but the building blocks exist. For volatility measures - are we publishing the math for calculating volatility vs identifying the definition of the meaning of the underlying concepts. Depends on member requirements - please let IND know what they need to drive FIBO priorities. Create the building blocks first - all we have is the top level definitions of volatility and price volatility. Overview of current volatility (only high level) - volunteers needed to expland.

John Gemski: Price Volatility here? Wouldn't it be better under Pricing itself?

Market Indices - the next focus (have basic high level definition + basis of baskets + reporting period + release date + index value) is all that currently exists. Have not captured any of the indices (i.e. DJIA, S&P) specifics - REQUIREMENTS and VOLUNTEERS needed.

Skeleton only of credit indices + baskets + credit indices (part of credit events ontology). What they have now is about my knowledge level on this topic which is typically the use of indices and indicators.

Jeff Braswell: Benchmark indices are probably worth defining.

Basket of Equities - need SME engagement

EDMC priorities (review volatility and market indices + identify examples + identify requirements).

John Gemski:They might be going too deep here. How indices and indicators are developed are normally proprietary and unless you're in the business of developing indices and indicators no one cares.

Open discussion (how sophisticated should we be on volatility and market indices?

USE CASES drives all - must define the requirements and level of details needed from FIBO

Marla Dans: Do the meeting schedules have specific agendas about which indices will be reviewed in which meetings?

Publish agenda as far in advance as possible to help with SME recruitment. Goal is to start with market indices - members should shout if they have alternative suggestions

Jeff B - define the general framework first - then consider "purpose" and "calculation method" etc. without describing how they work. Consider benchmark index definition - Define the fundamental properties of an index. The challenge is "what are the general attributes that are needed for classification"

Definition of what is a market index is the goal of next week (using common indexes) - list of top indexes being used is desirable. Jeff Braswell: Also: what is the type of value actually measured in an index ? is it price, or interest rate, or economic statistic, etc?

Today's presentation -

Decisions:

Action items

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