From a101d79a9942b3eef0b5da3d4e190e8596e25aa2 Mon Sep 17 00:00:00 2001 From: Elisa Kendall Date: Tue, 27 Sep 2022 18:01:01 -0700 Subject: [PATCH 1/2] DER-135 #comment - integrated the concepts that were originally in the very small equity forwards ontology into the futures and forwards ontology once they were cleaned up for release Signed-off-by: Elisa Kendall --- AboutFIBODev.rdf | 5 +- .../FuturesAndForwards.rdf | 85 ++++++++- .../EquityForwards.rdf | 168 ------------------ .../MetadataDERSecurityBasedDerivatives.rdf | 9 +- catalog-v001.xml | 1 - 5 files changed, 88 insertions(+), 180 deletions(-) delete mode 100644 DER/SecurityBasedDerivatives/EquityForwards.rdf diff --git a/AboutFIBODev.rdf b/AboutFIBODev.rdf index 9aea56a87..be4156fc7 100644 --- a/AboutFIBODev.rdf +++ b/AboutFIBODev.rdf @@ -24,7 +24,7 @@ About FIBO Development This ontology is provided for the convenience of FIBO users. It loads the very latest version of every FIBO ontology (released, provisional, and informative) based on the contents of GitHub, for use in particular while working on revisions. Note that metadata files and other 'load' files, such as the various domain-specific 'all' files, are intentionally excluded. - 2022-06-10T18:00:00 + 2022-09-30T18:00:00 https://www.w3.org/TR/owl2-quick-reference/ Copyright (c) 2014-2022 EDM Council, Inc. @@ -128,7 +128,6 @@ --> - @@ -360,7 +359,7 @@ - + diff --git a/DER/DerivativesContracts/FuturesAndForwards.rdf b/DER/DerivativesContracts/FuturesAndForwards.rdf index 3dd29d35d..810f208e0 100644 --- a/DER/DerivativesContracts/FuturesAndForwards.rdf +++ b/DER/DerivativesContracts/FuturesAndForwards.rdf @@ -4,6 +4,7 @@ + @@ -14,6 +15,7 @@ + @@ -37,6 +39,7 @@ 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-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-der-sbd-sbd="https://spec.edmcouncil.org/fibo/ontology/DER/SecurityBasedDerivatives/SecurityBasedDerivatives/" xmlns:fibo-fbc-fct-mkt="https://spec.edmcouncil.org/fibo/ontology/FBC/FunctionalEntities/Markets/" @@ -47,6 +50,7 @@ xmlns:fibo-fnd-acc-cur="https://spec.edmcouncil.org/fibo/ontology/FND/Accounting/CurrencyAmount/" xmlns:fibo-fnd-agr-ctr="https://spec.edmcouncil.org/fibo/ontology/FND/Agreements/Contracts/" xmlns:fibo-fnd-dt-fd="https://spec.edmcouncil.org/fibo/ontology/FND/DatesAndTimes/FinancialDates/" + xmlns:fibo-fnd-gao-obj="https://spec.edmcouncil.org/fibo/ontology/FND/GoalsAndObjectives/Objectives/" xmlns:fibo-fnd-qt-qtu="https://spec.edmcouncil.org/fibo/ontology/FND/Quantities/QuantitiesAndUnits/" xmlns:fibo-fnd-rel-rel="https://spec.edmcouncil.org/fibo/ontology/FND/Relations/Relations/" xmlns:fibo-fnd-utl-av="https://spec.edmcouncil.org/fibo/ontology/FND/Utilities/AnnotationVocabulary/" @@ -70,8 +74,8 @@ This ontology defines concepts for derivative contracts, including forwards and futures, representing a commitment to sell or purchase the underlier at a defined price at a given time in the future. http://opensource.org/licenses/MIT https://www.w3.org/TR/owl2-quick-reference/ - Copyright (c) 2015-2021 EDM Council, Inc. - Copyright (c) 2015-2021 Object Management Group, Inc. + Copyright (c) 2015-2022 EDM Council, Inc. + Copyright (c) 2015-2022 Object Management Group, Inc. @@ -81,6 +85,7 @@ FuturesAndForwards.rdf + @@ -91,6 +96,7 @@ + @@ -102,9 +108,10 @@ - + The https://spec.edmcouncil.org/fibo/ontology/DER/20210301/DerivativesContracts/FuturesAndForwards.rdf version of this ontology was modified to eliminate references to hasContractSize, clean up unnecessary restrictions on Future and Forward, and eliminate the redundant listing class. The https://spec.edmcouncil.org/fibo/ontology/DER/20210601/DerivativesContracts/FuturesAndForwards.rdf version of this ontology was modified to move designated contract market to the markets ontology in FBC and revise the definition of a CurrencyFuture to eliminate an unnecessary superclass and restriction due to the release of CurrencyContracts and to revise the definition of a dividend future to reference the listed share that it tracks rather than the dividend itself. + The https://spec.edmcouncil.org/fibo/ontology/DER/20210701/DerivativesContracts/FuturesAndForwards.rdf version of this ontology was modified to to incorporate the concepts that were originally in a separate, very small equity forwards ontology. @@ -156,6 +163,12 @@ ISO 10962, Securities and related financial instruments - Classification of financial instruments (CFI) code, Fourth Edition, October 2019 + + + dividend adjustment period + date period used to calculate the difference, if any between an anticipated dividend and the actual dividend distributed in that period + + @@ -170,6 +183,52 @@ ISO 10962, Securities and related financial instruments - Classification of financial instruments (CFI) code, Fourth Edition, October 2019 + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + equity forward + forward contract to buy or sell the underlying equity stock, equity index, basket of equity stock, equity futures contract, or equity option at a specified future date at the price specified at the outset of the contract + ISO 10962, Securities and related financial instruments - Classification of financial instruments (CFI) code, Fourth Edition, October 2019 + + @@ -201,6 +260,12 @@ forward contract + + + forward contract adjustment method + method by which adjustments will be made to the contract should one or more of a number of extraordinary events occur + + @@ -346,6 +411,20 @@ indicates the price of the delivered bond/note ($1 par value) to yield a fixed rate. The conversion factor is used to calculate a final delivery price. + + + has dividend adjustment period + + + indicates at least one date period used to calculate the deviation between an anticipated/expected dividend and the actual dividend issued during that period + + + + has method of adjustment + + + + has multiple diff --git a/DER/SecurityBasedDerivatives/EquityForwards.rdf b/DER/SecurityBasedDerivatives/EquityForwards.rdf deleted file mode 100644 index 633e96210..000000000 --- a/DER/SecurityBasedDerivatives/EquityForwards.rdf +++ /dev/null @@ -1,168 +0,0 @@ - - - - - - - - - - - - - - - - - - - - - -]> - - - - Equity Forwards Ontology - Forward contracts based on an underlying equity instrument. - http://opensource.org/licenses/MIT - - Copyright (c) 2015-2021 EDM Council, Inc. - fibo-der-sbd-eqf - - - - - - - - - - - - - - - - - - - - - calculation agent adjustment method - The calculation agent has the right to adjust the terms following a corporate event - - - - - dividend adjustment period - A period used to calculate the Deviation between Expected Dividend and Actual Dividend in that Period. - Referred to in formal terms for OTC Equity Forwards and Options. REVIEW: It does not look as though we have completely pinned down the meaning on this one, only that it's a piece of data that's used for something. We really need to see and model details of those deviation claculations, along with who does them and when. Also they may not directly be facts about the contract as such. REVIEW FpML: 'A single Dividend Adjustment Period.' - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - equity forward - forward contract to buy or sell the underlying equity stock, equity index, basket of equity stock, equity futures contract, or equity option at a specified future date at the price specified at the outset of the contract - ISO 10962, Securities and related financial instruments - Classification of financial instruments (CFI) code, Fourth Edition, October 2019 - - - - - forward contract adjustment method - Method by which adjustments will be made to the forward contract should one or more of a number of extraordinary events occur. - FpML: Defines how adjustments will be made to the contract should one or more of the extraordinary events occur. - - - - - options exchange adjustment method - The trade will be adjusted according to ... exchange on which the options (??) are listed - REVIEW: Seems to be traded-option-underlying specific. - - - - dividend adjustment - - - One or more Dividend Adjustment Periods, which are used to calculate the Deviation between Expected Dividend and Actual Dividend in that Period.' - - - - has method of adjustment - - - - - \ No newline at end of file diff --git a/DER/SecurityBasedDerivatives/MetadataDERSecurityBasedDerivatives.rdf b/DER/SecurityBasedDerivatives/MetadataDERSecurityBasedDerivatives.rdf index f451ceff7..ccbe002c9 100644 --- a/DER/SecurityBasedDerivatives/MetadataDERSecurityBasedDerivatives.rdf +++ b/DER/SecurityBasedDerivatives/MetadataDERSecurityBasedDerivatives.rdf @@ -24,27 +24,26 @@ Metadata about the EDMC-FIBO Derivatives (DER) Security-Based Derivatives Module The security-based derivatives module covers derivatives that have underlying securities, including those based on market indices or baskets securities. - 2021-09-29T18:00:00 + 2022-09-30T18:00:00 http://opensource.org/licenses/MIT https://www.w3.org/TR/owl2-quick-reference/ - Copyright (c) 2018-2021 EDM Council, Inc. + Copyright (c) 2018-2022 EDM Council, Inc. fibo-der-sbd-mod MetadataDERSecurityBasedDerivatives.rdf - + Security-Based Derivatives The security-based derivatives module covers derivatives that have underlying securities, including those based on market indices or baskets securities. - http://opensource.org/licenses/MIT EDMC Financial Industry Business Ontology (FIBO) Derivatives (DER) Security-Based Derivatives Module - Copyright (c) 2018-2021 EDM Council, Inc. + Copyright (c) 2018-2022 EDM Council, Inc. fibo-der-sbd https://spec.edmcouncil.org/fibo/ diff --git a/catalog-v001.xml b/catalog-v001.xml index b660e0c7d..c8cea024b 100644 --- a/catalog-v001.xml +++ b/catalog-v001.xml @@ -77,7 +77,6 @@ - From 00ba045997a5fcaa92e17ad2fc145a2213d53adf Mon Sep 17 00:00:00 2001 From: Elisa Kendall Date: Tue, 27 Sep 2022 18:28:35 -0700 Subject: [PATCH 2/2] DER-135 #comment - addressed missing property definition identified through hygiene testing Signed-off-by: Elisa Kendall --- DER/DerivativesContracts/FuturesAndForwards.rdf | 1 + 1 file changed, 1 insertion(+) diff --git a/DER/DerivativesContracts/FuturesAndForwards.rdf b/DER/DerivativesContracts/FuturesAndForwards.rdf index 810f208e0..94ebbb693 100644 --- a/DER/DerivativesContracts/FuturesAndForwards.rdf +++ b/DER/DerivativesContracts/FuturesAndForwards.rdf @@ -423,6 +423,7 @@ has method of adjustment + indicates the method used to address any changes to the contract based on events that occur over the contract lifecycle