2024-02-02 Meeting notes
- Elisa Kendall
Date
Feb 2, 2024
Participants
@Elisa Kendall
@John Gemski
@Rob Warren
@Tahoe Blue
@Pete Rivett
Discussion
Today we continued working on FBC-317, looking at how the representation of swap lifecycle events and leg events should be generalized. A swap leg event may not necessarily be a transaction event, so we’ve adjusted accordingly. We also discussed step events. The class ‘step event’ is buried in the bonds ontology and may apply to any loan or debt instrument In the debt instruments ontology we have the notion of a prescriptive event. That should be moved to occurrences or contracts, as any event can be prescriptive. Further, a step event should be moved to the debt instruments ontology, as any debt instrument can have step events. Then, many of the events that are called interest rate leg event should be generalized as well, and moved to the debt instruments ontology - loans, such as construction loans, have step events, for example. Notional step change events can apply to other kinds of swaps, but are mostly applicable to IR swaps. We should move that to the swaps ontology and make it a subclass of step event once step event is moved. The others, including IR reset events, rate setting events, interest calculation events - those apply to many kinds of adjustable rate debt instruments and should be generalized accordingly.