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DER-138 - Need to add relationships to tranches and model them with respect to an index tranche CDS #1974

Merged
merged 8 commits into from
Nov 7, 2023
Merged

DER-138 - Need to add relationships to tranches and model them with respect to an index tranche CDS #1974

merged 8 commits into from
Nov 7, 2023

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ElisaKendall
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@ElisaKendall ElisaKendall commented Oct 10, 2023 •
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Description

  1. Augmented the CDS ontology to include credit default swap index and basket of credit default swaps as a starting point for adding attachement and detachment points and other analytics
  2. Added concepts including collateral value as of date and 'has estimated total collateral value at issuance'
  3. Added concepts related to attachment and detachment points

Fixes: #1973 / DER-138

Checklist:

  • I'm familiar with the FIBO developer quide. My contribution meets all the requirements described there.
  • My contribution follows the principles of best practices for FIBO.
  • My changes have been reconciled with latest master and no merge conflicts remain.
  • This PR is related to exactly one issue. The issue is referenced by using a GitHub keyword such as "fixes", "closes", or "resolves".
  • Hygiene tests have been applied by a PR with "(WIP)" in title.
  • The issue has been tested locally using a reasoner (for ontology changes).

@ElisaKendall
DER-138 #comment - augmented the CDS ontology to include credit defau…
f227ddc 
…lt swap index and basket of credit default swaps as a starting point for adding attachement and detachment points and other analytics

Signed-off-by: Elisa Kendall <ekendall@thematix.com>
@ElisaKendall ElisaKendall added enhancement DER FIBO Derivatives labels Oct 10, 2023
@ElisaKendall ElisaKendall self-assigned this Oct 10, 2023
@ElisaKendall
DER-138 #comment - added the notion of the estimated value of the tot…
f690919 
…al collateral for some underlier as of some date, and related to that, the total estimated value of the collateral for some tranche as of its date of issuance

Signed-off-by: Elisa Kendall <ekendall@thematix.com>
@ElisaKendall
DER-138 #comment - added attachment and detachment point properties (…
1891fd4 
…but the definitions need clarification)

Signed-off-by: Elisa Kendall <ekendall@thematix.com>
@ElisaKendall
DER-138 #comment - addressed hygiene issue with smart quote
1f9ee40 
Signed-off-by: Elisa Kendall <ekendall@thematix.com>
@ElisaKendall
DER-138 #comment - corrected restriction on Tranche
6971451 
Signed-off-by: Elisa Kendall <ekendall@thematix.com>
@ElisaKendall
DER-138 #comment - defined attachment and detachment points, revised …
9b9ec04 
…related properties and added restrictions to tranche

Signed-off-by: Elisa Kendall <ekendall@thematix.com>
@ElisaKendall
Merge branch 'master' of https://github.com/edmcouncil/fibo into DER-138
7d833ff
@ElisaKendall
DER-138 #comment - added notes regarding what 'liable for losses mean…
6fe50aa 
…s' in the sense of a tranche attachment / detachment point

Signed-off-by: Elisa Kendall <ekendall@thematix.com>
@ElisaKendall ElisaKendall changed the title DER-138 - Need to add relationships to tranches and model them with respect to an index tranche CDS (WIP) DER-138 - Need to add relationships to tranches and model them with respect to an index tranche CDS Nov 7, 2023
@ElisaKendall ElisaKendall merged commit 52d70b7 into edmcouncil:master Nov 7, 2023
4 checks passed
@ElisaKendall ElisaKendall deleted the DER-138 branch November 7, 2023 22:25
@mereolog mereolog added this to the 2023Q4 FIBO Release milestone Dec 11, 2023
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Reviewers

@jfgemski jfgemski jfgemski approved these changes

@tahoeblue tahoeblue tahoeblue approved these changes

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@ElisaKendall ElisaKendall

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DER FIBO Derivatives enhancement
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2023Q4 FIBO Release
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DER-138 - Need to add relationships to tranches and model them with respect to an index tranche CDS
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@ElisaKendall @tahoeblue @jfgemski @mereolog