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2018-08-06 Meeting notes

2018-08-06 Meeting notes

Owned by Dennis Wisnosky
Last updated: Oct 25, 2019 by Elisa Kendall

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/SEC/issues/SEC-7?filter=allopenissues

5) Todays content discussion.

SMIF OWL-UML

SKOS

RDF/S

6) For next week.

Proceedings:

20180806 FBO SEC FPT

 

EK 8 open SEC JIRA issues. SEC-53 was missing labels and had one dupe property. SEC-37 and 34 and 18 are remaining log hanging fruit. All others are for Provisional.

 

Provisional will not be in OMG FIBO 2.0.

 

FBC has 17 issues. Some raised by Vladimir of Ontotec.

 

Elisa eliminated underscores where she saw them. Elisa will add comments about what she did so that this info can aid in continuous automation improvement.

 

Elisa goal was to eliminate hygiene issues. Eliminating isPartof. Doing FND now. CIV, CAE, MD, Loans, BP remain. Pete wrote an email detailing all. BE done.

 

ACTION: EK to create a JIRA for this.

 

When EK is done, 100% of FIBO should pass the automated Hygiene Tests.

 

Jeff Braswell - there are several definitions of volatility. EK Should there be a rateVoluatilioty Class? JB should be timeseriesVolatility then all is covered. ImpliedforwardVolatility is a a different concept that FIBO does not have. Need that for decisions about risk and more. All is under the time series class. Anything can then go there because all are based on time series. Important to distinguish between historical and looking forward. EK Changed priceVolatility and that is all. JB priceVolaitiliy. and FXvolatility are just variants of the same thing. Different ways of computing volatility, but all based on statistical analyisys of historical time series.

 

EK In the past dates were not considered. JB just need the time stamp of the price. EK The time and the rate. JB Need sample rate to compute time stamp. End of day and interday are 2 different concepts. Price is just a data point in time, not the index. Wikipedia has 4 classes of volatility. Maybe we just include those classes and that is all.

 

JB to get from the price structure to volatility need to have the time stamp. EK Then probably need more indices. JB Need to describe the index thoroughly to have volatility. EK We need impliedforwardVolatility. EK We can put text definitions. JB Yes, do that buy not the calculations.

 

EK then there will be 6 outstanding IND issues remaining.

 

equityPosition added per Pete idea by EK.

 

EK We have not included netPosition yet. Not long and short. JB Need to also consider option portfolios. Simplify life by considering only what is actually owned.

 

EK only 1 Provisional onto in equities. Some Domains have none.

 

JB equityBond tree is very old and not like fit for an ontology tree structure. EK Need Loans and more on Bonds to address this. Need some more definitions.

 

JB Where are repos? EK in Money Markets. JB should be in Loans. If repos of a security, then in securities. Should distinguish kinds of repos. They are pivotal restructuring instruments. This is what killed Lehman. Repos are very central ideas.

 

ACTION: EK to talk to RB about Repos.

 

EK Update complete.

 

 

Next is getting together with Oliver with the new baseline and look for gaps. UCC Cork did SS fixed income work. DS Oliver is now a lecturer at UCC so will be replaced on the SS project. Available only for a while. EK need the last version of the SS work from Oliver.

 

ACTION: DS ask Oliver for the latest Version of the Ontology.

 

Pete to EK Why is the module abbreviation in UPPER CASE? EK always put abbreviations in UPPER CASE. EK We originally did this for OMG. PR Don't see this in OMG either. Already have the classes in lower case. What is the problem with abbreviations being in UPPER CASE? PR can't check if there is UPPER CASE. PR maybe can do this globally. EK Can't because they are all different. FIBO policy per FIBO Metadata spec is all lower case.

Decisions:

Action items