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SEC-185 - Several terms in the DebtAnalytics ontology should be included in the InstrumentPricing ontology #2034

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Aug 4, 2024
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SEC-185 - Several terms in the DebtAnalytics ontology should be included in the InstrumentPricing ontology #2034

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6c6026a
SEC-185 #comment - added a definition for accrued interest to the deb…
ElisaKendall Jul 26, 2024
569ea36
SEC-185 #comment - moved clean price, dirty price, derived price and …
ElisaKendall Jul 30, 2024
cd80781
SEC-185 - cleaned up definitions of clean, dirty, and derived price i…
ElisaKendall Aug 2, 2024
f865852
SEC-185 - removeed collection of debt pools
ElisaKendall Aug 2, 2024
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16 changes: 15 additions & 1 deletion FBC/DebtAndEquities/Debt.rdf
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Expand Up @@ -105,7 +105,7 @@
<owl:imports rdf:resource="https://www.omg.org/spec/Commons/PartiesAndSituations/"/>
<owl:imports rdf:resource="https://www.omg.org/spec/Commons/QuantitiesAndUnits/"/>
<owl:imports rdf:resource="https://www.omg.org/spec/Commons/RolesAndCompositions/"/>
<owl:versionIRI rdf:resource="https://spec.edmcouncil.org/fibo/ontology/FBC/20240301/DebtAndEquities/Debt/"/>
<owl:versionIRI rdf:resource="https://spec.edmcouncil.org/fibo/ontology/FBC/20240701/DebtAndEquities/Debt/"/>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20180801/DebtAndEquities/Debt/ version of this ontology was added to the FBC domain via the FIBO 2.0 RFC in support of several FIBO debt-oriented initiatives.</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20180801/DebtAndEquities/Debt/ version of this ontology was modified to use the generic statistical measures and measurements now in FND.</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20190501/DebtAndEquities/Debt/ version of this ontology was modified to add several common day count conventions used to calculate the amount of accrued interest or the present value when the next coupon payment is less than a full coupon period away, to support collateral agreements such as deeds of trust, UCC filings and the like, to add the concept of a rate reset time of day, to eliminate duplication of concepts in LCC, to simplify addresses, and to merge countries with locations.</skos:changeNote>
Expand All @@ -121,6 +121,7 @@
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20230901/DebtAndEquities/Debt.rdf version of this ontology was modified to add the starting point value of some collateral when it was acquired (DER-138) and to replace content that is now available in the OMG Commons Ontology Library (Commons) v1.1 (FND-380).</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20231201/DebtAndEquities/Debt.rdf version of this ontology was modified to replace additional content that is now available in the OMG Commons Ontology Library (Commons) v1.1 (FND-380).</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20240101/DebtAndEquities/Debt.rdf version of this ontology was modified to incorporate certain general debt schedule terms that were previously in more specific ontologies (FBC-317).</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20240301/DebtAndEquities/Debt.rdf version of this ontology was modified to include a definition for accrued interest, needed for pricing, and correct certain process (methodology) issues in the class hierarchy (SEC-185).</skos:changeNote>
<fibo-fnd-utl-av:hasMaturityLevel rdf:resource="&fibo-fnd-utl-av;Release"/>
<cmns-av:copyright>Copyright (c) 2016-2024 EDM Council, Inc.</cmns-av:copyright>
<cmns-av:copyright>Copyright (c) 2016-2024 Object Management Group, Inc.</cmns-av:copyright>
Expand All @@ -141,6 +142,19 @@
<cmns-av:explanatoryNote>There are legal contractual terms for the accrual of interest, as distinct from the payment of interest.</cmns-av:explanatoryNote>
</owl:Class>

<owl:Class rdf:about="&fibo-fbc-dae-dbt;AccruedInterest">
<rdfs:subClassOf rdf:resource="&fibo-fbc-dae-dbt;Interest"/>
<rdfs:subClassOf>
<owl:Restriction>
<owl:onProperty rdf:resource="&fibo-fnd-dt-fd;hasAsOfDate"/>
<owl:someValuesFrom rdf:resource="&cmns-dt;ExplicitDate"/>
</owl:Restriction>
</rdfs:subClassOf>
<rdfs:label xml:lang="en">accrued interest</rdfs:label>
<skos:definition>amount of interest that has been incurred, as of a specific date, on a loan or other financial obligation but has not yet been paid out</skos:definition>
<cmns-av:explanatoryNote xml:lang="en">Accrued interest refers to the interest that has accumulated on a bond or other financial obligation since the last interest payment up to, but not including, the settlement date. This interest is earned over time but not yet paid out to the bondholder, for example. If this is a dirty price, this is the amount of accrued interest that is included in the price. This is therefore passed on to the purchaser of the bond or debt instrument.</cmns-av:explanatoryNote>
</owl:Class>

<owl:Class rdf:about="&fibo-fbc-dae-dbt;Amortization">
<rdfs:subClassOf rdf:resource="&cmns-rlcmp;Role"/>
<rdfs:subClassOf>
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47 changes: 44 additions & 3 deletions FBC/FinancialInstruments/InstrumentPricing.rdf
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Expand Up @@ -8,6 +8,7 @@
<!ENTITY cmns-qtu "https://www.omg.org/spec/Commons/QuantitiesAndUnits/">
<!ENTITY dct "http://purl.org/dc/terms/">
<!ENTITY fibo-be-fct-pub "https://spec.edmcouncil.org/fibo/ontology/BE/FunctionalEntities/Publishers/">
<!ENTITY fibo-fbc-dae-dbt "https://spec.edmcouncil.org/fibo/ontology/FBC/DebtAndEquities/Debt/">
<!ENTITY fibo-fbc-fct-mkt "https://spec.edmcouncil.org/fibo/ontology/FBC/FunctionalEntities/Markets/">
<!ENTITY fibo-fbc-fi-fi "https://spec.edmcouncil.org/fibo/ontology/FBC/FinancialInstruments/FinancialInstruments/">
<!ENTITY fibo-fbc-fi-ip "https://spec.edmcouncil.org/fibo/ontology/FBC/FinancialInstruments/InstrumentPricing/">
Expand All @@ -33,6 +34,7 @@
xmlns:cmns-qtu="https://www.omg.org/spec/Commons/QuantitiesAndUnits/"
xmlns:dct="http://purl.org/dc/terms/"
xmlns:fibo-be-fct-pub="https://spec.edmcouncil.org/fibo/ontology/BE/FunctionalEntities/Publishers/"
xmlns:fibo-fbc-dae-dbt="https://spec.edmcouncil.org/fibo/ontology/FBC/DebtAndEquities/Debt/"
xmlns:fibo-fbc-fct-mkt="https://spec.edmcouncil.org/fibo/ontology/FBC/FunctionalEntities/Markets/"
xmlns:fibo-fbc-fi-fi="https://spec.edmcouncil.org/fibo/ontology/FBC/FinancialInstruments/FinancialInstruments/"
xmlns:fibo-fbc-fi-ip="https://spec.edmcouncil.org/fibo/ontology/FBC/FinancialInstruments/InstrumentPricing/"
Expand All @@ -54,6 +56,7 @@
<dct:abstract>This ontology provides a basic set of definitions related to pricing, yield, and spread that are extended in other instrument-specific ontologies.</dct:abstract>
<dct:license rdf:datatype="&xsd;anyURI">https://opensource.org/licenses/MIT</dct:license>
<owl:imports rdf:resource="https://spec.edmcouncil.org/fibo/ontology/BE/FunctionalEntities/Publishers/"/>
<owl:imports rdf:resource="https://spec.edmcouncil.org/fibo/ontology/FBC/DebtAndEquities/Debt/"/>
<owl:imports rdf:resource="https://spec.edmcouncil.org/fibo/ontology/FBC/FinancialInstruments/FinancialInstruments/"/>
<owl:imports rdf:resource="https://spec.edmcouncil.org/fibo/ontology/FBC/FunctionalEntities/Markets/"/>
<owl:imports rdf:resource="https://spec.edmcouncil.org/fibo/ontology/FBC/ProductsAndServices/FinancialProductsAndServices/"/>
Expand All @@ -69,7 +72,7 @@
<owl:imports rdf:resource="https://www.omg.org/spec/Commons/DatesAndTimes/"/>
<owl:imports rdf:resource="https://www.omg.org/spec/Commons/Documents/"/>
<owl:imports rdf:resource="https://www.omg.org/spec/Commons/QuantitiesAndUnits/"/>
<owl:versionIRI rdf:resource="https://spec.edmcouncil.org/fibo/ontology/FBC/20231201/FinancialInstruments/InstrumentPricing/"/>
<owl:versionIRI rdf:resource="https://spec.edmcouncil.org/fibo/ontology/FBC/20240701/FinancialInstruments/InstrumentPricing/"/>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20200601/FinancialInstruments/InstrumentPricing.rdf version of this ontology was modified to reflect the move of dated collection from arrangements to financial dates.</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20200701/FinancialInstruments/InstrumentPricing.rdf version of this ontology was modified to add trading day and trading session, to address ambiguity in some definitions, to add adjusted price and to create a more general hasLotSize property that can be used in various contexts.</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20201201/FinancialInstruments/InstrumentPricing.rdf version of this ontology was modified to replace a redundant concept, calculation formula with formula, add a general price determination class needed for options, add a restriction on SecurityPrice to point to the security, and add hasRoundLotSize.</skos:changeNote>
Expand All @@ -79,9 +82,10 @@
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20221201/FinancialInstruments/InstrumentPricing.rdf version of the ontology was modified to use the Commons Ontology Library (Commons) Annotation Vocabulary rather than the OMG&apos;s Specification Metadata vocabulary.</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20230101/FinancialInstruments/InstrumentPricing.rdf version of this ontology was modified to use the Commons Ontology Library (Commons) rather than the OMG&apos;s Languages, Countries and Codes (LCC), eliminating redundancies in FIBO as appropriate.</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20230301/FinancialInstruments/InstrumentPricing.rdf version of this ontology was modified to move the nominal for auction market from CDS to the pricing ontology (its IRI was that of this instrument pricing ontology but it was mistakenly in the CDS ontology) and simplify the definition (DER-140), and to replace content that is now available in the OMG Commons Ontology Library (Commons) v1.1 (FND-380).</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20231201/FinancialInstruments/InstrumentPricing.rdf version of this ontology was enhanced to incorporate additional definitions for pricing terminology (SEC-185).</skos:changeNote>
<fibo-fnd-utl-av:hasMaturityLevel rdf:resource="&fibo-fnd-utl-av;Release"/>
<cmns-av:copyright>Copyright (c) 2020-2023 EDM Council, Inc.</cmns-av:copyright>
<cmns-av:copyright>Copyright (c) 2020-2023 Object Management Group, Inc.</cmns-av:copyright>
<cmns-av:copyright>Copyright (c) 2020-2024 EDM Council, Inc.</cmns-av:copyright>
<cmns-av:copyright>Copyright (c) 2020-2024 Object Management Group, Inc.</cmns-av:copyright>
</owl:Ontology>

<owl:Class rdf:about="&fibo-fbc-fi-ip;AdjustedClosingPrice">
Expand Down Expand Up @@ -148,6 +152,13 @@
<cmns-av:explanatoryNote xml:lang="en">The term &apos;bid price&apos; is used by traders / market makers with respect to a given security, and that are prepared to buy or sell round lots at publicly quoted prices, and by specialists in certain instruments that perform similar functions on an exchange.</cmns-av:explanatoryNote>
</owl:Class>

<owl:Class rdf:about="&fibo-fbc-fi-ip;CleanPrice">
<rdfs:subClassOf rdf:resource="&fibo-fbc-fi-ip;SecurityPrice"/>
<rdfs:label xml:lang="en">clean price</rdfs:label>
<owl:disjointWith rdf:resource="&fibo-fbc-fi-ip;DirtyPrice"/>
<skos:definition xml:lang="en">debt instrument price that does not include accrued interest</skos:definition>
</owl:Class>

<owl:Class rdf:about="&fibo-fbc-fi-ip;ClosingPrice">
<rdfs:subClassOf rdf:resource="&fibo-fbc-fi-ip;MarketPrice"/>
<rdfs:label xml:lang="en">closing price</rdfs:label>
Expand Down Expand Up @@ -186,6 +197,29 @@
<skos:definition xml:lang="en">group of exchanges and trading venues referenced for pricing purposes</skos:definition>
</owl:Class>

<owl:Class rdf:about="&fibo-fbc-fi-ip;DerivedPrice">
<rdfs:subClassOf rdf:resource="&fibo-fbc-fi-ip;SecurityPrice"/>
<rdfs:subClassOf rdf:resource="&fibo-fnd-acc-cur;CalculatedPrice"/>
<rdfs:label xml:lang="en">derived price</rdfs:label>
<skos:definition xml:lang="en">price that stems from another source or calculation rather than being quoted or based on actual trading data</skos:definition>
<skos:example xml:lang="en">For example, a product&apos;s price can be derived from another pricing source, such as an asset or product, using various contributing factors. Derived prices can also be calculated within a firm using published price spreads or other market data. An interpolated price is determined by interpolation between available price figures, using some algorithm or curve, such as between bid and offer (among others). It also includes yield curves and implied forward curves. That is, interpolation may either be linear (straight line interpolation between two values) or may be expressed as a non linear curve such as a yield curve or an implied forward curve.</skos:example>
<cmns-av:explanatoryNote xml:lang="en">There are evaluated prices in which an independent source evaluates a price they have derived, and there are prices which are derived within a firm, from supplied, published end of day price spreads or other market data.</cmns-av:explanatoryNote>
<cmns-av:synonym xml:lang="en">interpolated price</cmns-av:synonym>
<cmns-av:synonym xml:lang="en">matrix price</cmns-av:synonym>
</owl:Class>

<owl:Class rdf:about="&fibo-fbc-fi-ip;DirtyPrice">
<rdfs:subClassOf rdf:resource="&fibo-fbc-fi-ip;SecurityPrice"/>
<rdfs:subClassOf>
<owl:Restriction>
<owl:onProperty rdf:resource="&cmns-col;comprises"/>
<owl:someValuesFrom rdf:resource="&fibo-fbc-dae-dbt;AccruedInterest"/>
</owl:Restriction>
</rdfs:subClassOf>
<rdfs:label xml:lang="en">dirty price</rdfs:label>
<skos:definition xml:lang="en">debt instrument price that includes accrued interest</skos:definition>
</owl:Class>

<owl:Class rdf:about="&fibo-fbc-fi-ip;HighPrice">
<rdfs:subClassOf rdf:resource="&fibo-fbc-fi-ip;SecurityPrice"/>
<rdfs:subClassOf>
Expand Down Expand Up @@ -568,6 +602,13 @@
<cmns-av:explanatoryNote xml:lang="en">The lot size, referenced in offerings, listings, orders, and trades, typically refers to the number of shares or units in a single contract.</cmns-av:explanatoryNote>
</owl:DatatypeProperty>

<owl:DatatypeProperty rdf:about="&fibo-fbc-fi-ip;hasNumberOfDaysAccrued">
<rdfs:subPropertyOf rdf:resource="&cmns-qtu;hasNumericValue"/>
<rdfs:label xml:lang="en">has number of days accrued</rdfs:label>
<rdfs:range rdf:resource="&xsd;integer"/>
<skos:definition xml:lang="en">indicates the number of days for which interest has accrued and has not yet been received</skos:definition>
</owl:DatatypeProperty>

<owl:ObjectProperty rdf:about="&fibo-fbc-fi-ip;hasPriceDeterminationMethod">
<rdfs:subPropertyOf rdf:resource="&fibo-fnd-gao-obj;hasStrategy"/>
<rdfs:label xml:lang="en">has price determination method</rdfs:label>
Expand Down
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