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DER-143 - There is a gap with respect to the currency contracts related to the notion of an exchange rate #2036

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Sep 6, 2024
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DER-143 - There is a gap with respect to the currency contracts related to the notion of an exchange rate #2036

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DER-143 #comment - moved the notion of buying and selling currencies …
ElisaKendall Aug 13, 2024
c0f8507
DER-143 #comment - eliminated duplicate restrictions on currency deri…
ElisaKendall Aug 27, 2024
a13783b
DER-143 #comment - added more detail on the quoted exchange rate sour…
ElisaKendall Sep 3, 2024
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67 changes: 30 additions & 37 deletions DER/DerivativesContracts/CurrencyContracts.rdf
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Expand Up @@ -5,12 +5,15 @@
<!ENTITY cmns-qtu "https://www.omg.org/spec/Commons/QuantitiesAndUnits/">
<!ENTITY cmns-rlcmp "https://www.omg.org/spec/Commons/RolesAndCompositions/">
<!ENTITY dct "http://purl.org/dc/terms/">
<!ENTITY fibo-be-fct-pub "https://spec.edmcouncil.org/fibo/ontology/BE/FunctionalEntities/Publishers/">
<!ENTITY fibo-der-drc-bsc "https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/DerivativesBasics/">
<!ENTITY fibo-der-drc-cur "https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/CurrencyContracts/">
<!ENTITY fibo-der-drc-ff "https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/FuturesAndForwards/">
<!ENTITY fibo-der-drc-opt "https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Options/">
<!ENTITY fibo-der-drc-swp "https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Swaps/">
<!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-pas-fpas "https://spec.edmcouncil.org/fibo/ontology/FBC/ProductsAndServices/FinancialProductsAndServices/">
<!ENTITY fibo-fnd-acc-cur "https://spec.edmcouncil.org/fibo/ontology/FND/Accounting/CurrencyAmount/">
<!ENTITY fibo-fnd-utl-av "https://spec.edmcouncil.org/fibo/ontology/FND/Utilities/AnnotationVocabulary/">
<!ENTITY fibo-ind-fx-fx "https://spec.edmcouncil.org/fibo/ontology/IND/ForeignExchange/ForeignExchange/">
Expand All @@ -26,12 +29,15 @@
xmlns:cmns-qtu="https://www.omg.org/spec/Commons/QuantitiesAndUnits/"
xmlns:cmns-rlcmp="https://www.omg.org/spec/Commons/RolesAndCompositions/"
xmlns:dct="http://purl.org/dc/terms/"
xmlns:fibo-be-fct-pub="https://spec.edmcouncil.org/fibo/ontology/BE/FunctionalEntities/Publishers/"
xmlns:fibo-der-drc-bsc="https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/DerivativesBasics/"
xmlns:fibo-der-drc-cur="https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/CurrencyContracts/"
xmlns:fibo-der-drc-ff="https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/FuturesAndForwards/"
xmlns:fibo-der-drc-opt="https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Options/"
xmlns:fibo-der-drc-swp="https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Swaps/"
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-pas-fpas="https://spec.edmcouncil.org/fibo/ontology/FBC/ProductsAndServices/FinancialProductsAndServices/"
xmlns:fibo-fnd-acc-cur="https://spec.edmcouncil.org/fibo/ontology/FND/Accounting/CurrencyAmount/"
xmlns:fibo-fnd-utl-av="https://spec.edmcouncil.org/fibo/ontology/FND/Utilities/AnnotationVocabulary/"
xmlns:fibo-ind-fx-fx="https://spec.edmcouncil.org/fibo/ontology/IND/ForeignExchange/ForeignExchange/"
Expand All @@ -45,24 +51,28 @@
<rdfs:label xml:lang="en">Currency Contracts Ontology</rdfs:label>
<dct:abstract>This ontology defines concepts common to currency spot contracts and foreign exchange derivatives (forwards, options and swaps).</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/DER/DerivativesContracts/DerivativesBasics/"/>
<owl:imports rdf:resource="https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/FuturesAndForwards/"/>
<owl:imports rdf:resource="https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Options/"/>
<owl:imports rdf:resource="https://spec.edmcouncil.org/fibo/ontology/DER/DerivativesContracts/Swaps/"/>
<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/"/>
<owl:imports rdf:resource="https://spec.edmcouncil.org/fibo/ontology/FND/Accounting/CurrencyAmount/"/>
<owl:imports rdf:resource="https://spec.edmcouncil.org/fibo/ontology/FND/Utilities/AnnotationVocabulary/"/>
<owl:imports rdf:resource="https://spec.edmcouncil.org/fibo/ontology/IND/ForeignExchange/ForeignExchange/"/>
<owl:imports rdf:resource="https://www.omg.org/spec/Commons/AnnotationVocabulary/"/>
<owl:imports rdf:resource="https://www.omg.org/spec/Commons/Collections/"/>
<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/DER/20240601/DerivativesContracts/CurrencyContracts/"/>
<owl:versionIRI rdf:resource="https://spec.edmcouncil.org/fibo/ontology/DER/20240801/DerivativesContracts/CurrencyContracts/"/>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/20210701/DerivativesContracts/CurrencyContracts/ version of this ontology was modified to reflect the addition of the concept of a rates swap and the corresponding rate-based leg to the Swaps ontology, as well as the concept of a spot forward currency swap, to facilitate mapping to the CFI standard.</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/DER/20220301/DerivativesContracts/CurrencyContracts.rdf version of this ontology was modified to use the Commons Ontology Library (Commons) Annotation Vocabulary rather than the OMG&apos;s Specification Metadata vocabulary, to use the Commons Ontology Library (Commons) rather than the OMG&apos;s Languages, Countries and Codes (LCC) and to eliminate redundancies in FIBO as appropriate, and to move the definition of an underlier and the related property, has underlier, to financial instruments so that these concepts are also available for use in relation to pool-backed securities.</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/DER/20230301/DerivativesContracts/CurrencyContracts.rdf version of this ontology was modified 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/DER/20231201/DerivativesContracts/CurrencyContracts.rdf version of this ontology was modified to simplify the currency derivative class hierarchy (DER-126).</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/DER/20240101/DerivativesContracts/CurrencyContracts.rdf version of this ontology was modified to eliminate a reference to a deprecated property.</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/DER/20240101/DerivativesContracts/CurrencyContracts.rdf version of this ontology was modified to move properties related to buying and selling currency to a higher level in the ontology, to be available on all currency instruments (DER-143).</skos:changeNote>
<fibo-fnd-utl-av:hasMaturityLevel rdf:resource="&fibo-fnd-utl-av;Release"/>
<cmns-av:copyright>Copyright (c) 2015-2024 EDM Council, Inc.</cmns-av:copyright>
<cmns-av:copyright>Copyright (c) 2015-2024 Object Management Group, Inc.</cmns-av:copyright>
Expand All @@ -73,26 +83,18 @@
<rdfs:subClassOf rdf:resource="&fibo-fbc-fi-fi;DerivativeInstrument"/>
<rdfs:subClassOf>
<owl:Restriction>
<owl:onProperty rdf:resource="&fibo-der-drc-cur;hasBuyingCurrency"/>
<owl:onClass rdf:resource="&fibo-fnd-acc-cur;Currency"/>
<owl:minQualifiedCardinality rdf:datatype="&xsd;nonNegativeInteger">0</owl:minQualifiedCardinality>
</owl:Restriction>
</rdfs:subClassOf>
<rdfs:subClassOf>
<owl:Restriction>
<owl:onProperty rdf:resource="&fibo-der-drc-cur;hasSellingCurrency"/>
<owl:onClass rdf:resource="&fibo-fnd-acc-cur;Currency"/>
<owl:minQualifiedCardinality rdf:datatype="&xsd;nonNegativeInteger">0</owl:minQualifiedCardinality>
</owl:Restriction>
</rdfs:subClassOf>
<rdfs:subClassOf>
<owl:Restriction>
<owl:onProperty rdf:resource="&fibo-fbc-fi-fi;hasUnderlier"/>
<owl:onProperty rdf:resource="&fibo-ind-fx-fx;hasExchangeRateQuotationSource"/>
<owl:someValuesFrom>
<owl:Restriction>
<owl:onProperty rdf:resource="&cmns-rlcmp;isPlayedBy"/>
<owl:someValuesFrom rdf:resource="&fibo-ind-fx-fx;QuotedExchangeRate"/>
</owl:Restriction>
<owl:Class>
<owl:unionOf rdf:parseType="Collection">
<rdf:Description rdf:about="&fibo-be-fct-pub;Publisher">
</rdf:Description>
<rdf:Description rdf:about="&fibo-fbc-pas-fpas;FinancialServiceProvider">
</rdf:Description>
<rdf:Description rdf:about="&fibo-fbc-fct-mkt;Exchange">
</rdf:Description>
</owl:unionOf>
</owl:Class>
</owl:someValuesFrom>
</owl:Restriction>
</rdfs:subClassOf>
Expand Down Expand Up @@ -169,7 +171,7 @@
<rdfs:subClassOf>
<owl:Restriction>
<owl:onProperty rdf:resource="&fibo-der-drc-cur;hasSpotExchangeRate"/>
<owl:someValuesFrom rdf:resource="&fibo-fnd-acc-cur;ExchangeRate"/>
<owl:someValuesFrom rdf:resource="&fibo-ind-fx-fx;QuotedExchangeRate"/>
</owl:Restriction>
</rdfs:subClassOf>
<rdfs:label xml:lang="en">currency spot contract</rdfs:label>
Expand Down Expand Up @@ -219,12 +221,8 @@
</owl:Class>

<owl:ObjectProperty rdf:about="&fibo-der-drc-cur;hasBuyingCurrency">
<rdfs:subPropertyOf rdf:resource="&fibo-fnd-acc-cur;hasDealtCurrency"/>
<rdfs:label xml:lang="en">has buying currency</rdfs:label>
<rdfs:domain rdf:resource="&fibo-der-drc-cur;CurrencyDerivative"/>
<rdfs:range rdf:resource="&fibo-fnd-acc-cur;Currency"/>
<skos:definition xml:lang="en">indicates the currency purchased with respect to a foreign exchange derivative</skos:definition>
<cmns-av:explanatoryNote xml:lang="en">Note that the buying and selling currencies could be the same under certain circumstances.</cmns-av:explanatoryNote>
<owl:deprecated rdf:datatype="&xsd;boolean">true</owl:deprecated>
<owl:equivalentProperty rdf:resource="&fibo-fbc-fi-fi;hasBuyingCurrency"/>
</owl:ObjectProperty>

<owl:ObjectProperty rdf:about="&fibo-der-drc-cur;hasForwardExchangeRate">
Expand All @@ -236,20 +234,15 @@
</owl:ObjectProperty>

<owl:ObjectProperty rdf:about="&fibo-der-drc-cur;hasSellingCurrency">
<rdfs:subPropertyOf rdf:resource="&fibo-fnd-acc-cur;hasBaseCurrency"/>
<rdfs:label xml:lang="en">has selling currency</rdfs:label>
<rdfs:domain rdf:resource="&fibo-der-drc-cur;CurrencyDerivative"/>
<rdfs:range rdf:resource="&fibo-fnd-acc-cur;Currency"/>
<skos:definition xml:lang="en">indicates the currency sold with respect to a foreign exchange derivative</skos:definition>
<cmns-av:explanatoryNote xml:lang="en">Note that the buying and selling currencies could be the same under certain circumstances.</cmns-av:explanatoryNote>
<owl:deprecated rdf:datatype="&xsd;boolean">true</owl:deprecated>
<owl:equivalentProperty rdf:resource="&fibo-fbc-fi-fi;hasSellingCurrency"/>
</owl:ObjectProperty>

<owl:ObjectProperty rdf:about="&fibo-der-drc-cur;hasSpotExchangeRate">
<rdfs:subPropertyOf rdf:resource="&cmns-qtu;hasQuantityValue"/>
<rdfs:subPropertyOf rdf:resource="&fibo-ind-fx-fx;hasQuotedExchangeRate"/>
<rdfs:label xml:lang="en">has spot exchange rate</rdfs:label>
<rdfs:domain rdf:resource="&fibo-der-drc-cur;CurrencySpotContract"/>
<rdfs:range rdf:resource="&fibo-fnd-acc-cur;ExchangeRate"/>
<skos:definition xml:lang="en">rate of exchange between two currencies as specified in a spot contract</skos:definition>
<rdfs:range rdf:resource="&fibo-ind-fx-fx;QuotedExchangeRate"/>
<skos:definition xml:lang="en">rate of exchange between two currencies as specified as of some date and time as quoted by a specific source, typically for a spot contract</skos:definition>
</owl:ObjectProperty>

<owl:Class rdf:about="&fibo-der-drc-ff;CurrencyFuture">
Expand Down
33 changes: 32 additions & 1 deletion FBC/FinancialInstruments/FinancialInstruments.rdf
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Expand Up @@ -79,7 +79,7 @@
<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/20240501/FinancialInstruments/FinancialInstruments/"/>
<owl:versionIRI rdf:resource="https://spec.edmcouncil.org/fibo/ontology/FBC/20240801/FinancialInstruments/FinancialInstruments/"/>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20150801/FinancialInstruments/FinancialInstruments/ version of this ontology was modified to reflect issue resolutions detailed in the FIBO FBC 1.0 FTF report.</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20160801/FinancialInstruments/FinancialInstruments/ version of this ontology was modified for the FIBO 2.0 RFC, including minor bug fixes.</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20180801/FinancialInstruments/FinancialInstruments/ version of this ontology was modified as a part of organizational hierarchy simplification, to add maturity-related properties, and to add exempt security.</skos:changeNote>
Expand All @@ -100,6 +100,7 @@
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20230501/FinancialInstruments/FinancialInstruments.rdf version of the ontology was modified to eliminate deprecations that are more than 6 months old.</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20231101/FinancialInstruments/FinancialInstruments.rdf version of this ontology was modified to tease out the distinction between the nominal and notional amount, which were confused (DER-127)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/FinancialInstruments.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/FinancialInstruments/FinancialInstruments.rdf version of this ontology was modified to augment the definition of currency instrument with the notions of buying and selling currencies as well as the source(s) for anticipated rates (DER-143).</skos:changeNote>
<skos:changeNote>The https://spec.edmcouncil.org/fibo/ontology/FBC/20240101/FinancialInstruments/FinancialInstruments.rdf version of this ontology was modified to refine the definition of issuer (FBC-284).</skos:changeNote>
<fibo-fnd-utl-av:hasMaturityLevel rdf:resource="&fibo-fnd-utl-av;Release"/>
<cmns-av:copyright>Copyright (c) 2015-2024 EDM Council, Inc.</cmns-av:copyright>
Expand Down Expand Up @@ -154,6 +155,20 @@

<owl:Class rdf:about="&fibo-fbc-fi-fi;CurrencyInstrument">
<rdfs:subClassOf rdf:resource="&fibo-fbc-fi-fi;FinancialInstrument"/>
<rdfs:subClassOf>
<owl:Restriction>
<owl:onProperty rdf:resource="&fibo-fbc-fi-fi;hasBuyingCurrency"/>
<owl:onClass rdf:resource="&fibo-fnd-acc-cur;Currency"/>
<owl:minQualifiedCardinality rdf:datatype="&xsd;nonNegativeInteger">0</owl:minQualifiedCardinality>
</owl:Restriction>
</rdfs:subClassOf>
<rdfs:subClassOf>
<owl:Restriction>
<owl:onProperty rdf:resource="&fibo-fbc-fi-fi;hasSellingCurrency"/>
<owl:onClass rdf:resource="&fibo-fnd-acc-cur;Currency"/>
<owl:minQualifiedCardinality rdf:datatype="&xsd;nonNegativeInteger">0</owl:minQualifiedCardinality>
</owl:Restriction>
</rdfs:subClassOf>
<rdfs:label>currency instrument</rdfs:label>
<skos:definition>financial instrument used for the purposes of currency trading</skos:definition>
<skos:example>Example currencies include UK pounds, US dollars, Euro. An example currency instrument is spot currency instrument.</skos:example>
Expand Down Expand Up @@ -448,6 +463,14 @@
<cmns-av:explanatoryNote>Underlier means any rate (including interest and foreign exchange rates), currency, commodity, security, instrument of indebtedness, index, quantitative measure, occurrence or non-occurrence of an event, or other financial or economic interest, or property of any kind, or any interest therein or based on the value thereof, in or by reference to which any payment or delivery under a transaction is to be made or determined.</cmns-av:explanatoryNote>
</owl:Class>

<owl:ObjectProperty rdf:about="&fibo-fbc-fi-fi;hasBuyingCurrency">
<rdfs:subPropertyOf rdf:resource="&fibo-fnd-acc-cur;hasDealtCurrency"/>
<rdfs:label xml:lang="en">has buying currency</rdfs:label>
<rdfs:range rdf:resource="&fibo-fnd-acc-cur;Currency"/>
<skos:definition xml:lang="en">indicates the currency purchased with respect to a currency or related instrument</skos:definition>
<cmns-av:explanatoryNote xml:lang="en">Note that the buying and selling currencies could be the same under certain circumstances.</cmns-av:explanatoryNote>
</owl:ObjectProperty>

<owl:ObjectProperty rdf:about="&fibo-fbc-fi-fi;hasCommodityValueAsOfExecutionDate">
<rdfs:subPropertyOf rdf:resource="&fibo-fnd-acc-cur;hasMonetaryAmount"/>
<rdfs:label>has commodity value as of execution date</rdfs:label>
Expand Down Expand Up @@ -483,6 +506,14 @@
<skos:definition>indicates the specific terms related to redemption as specified in the instrument or a related contract document</skos:definition>
</owl:ObjectProperty>

<owl:ObjectProperty rdf:about="&fibo-fbc-fi-fi;hasSellingCurrency">
<rdfs:subPropertyOf rdf:resource="&fibo-fnd-acc-cur;hasBaseCurrency"/>
<rdfs:label xml:lang="en">has selling currency</rdfs:label>
<rdfs:range rdf:resource="&fibo-fnd-acc-cur;Currency"/>
<skos:definition xml:lang="en">indicates the currency sold with respect to a currency or related instrument</skos:definition>
<cmns-av:explanatoryNote xml:lang="en">Note that the buying and selling currencies could be the same under certain circumstances.</cmns-av:explanatoryNote>
</owl:ObjectProperty>

<owl:ObjectProperty rdf:about="&fibo-fbc-fi-fi;hasShareholder">
<rdfs:subPropertyOf rdf:resource="&cmns-pts;isAffectedBy"/>
<rdfs:label>has shareholder</rdfs:label>
Expand Down
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