FIBO CONTENT TEAM Indices Indicators IND RTF Agenda
FIBO CONTENT TEAM Indices & Indicators (IND) RTF
Agenda 2 Where we are – Indices & Indicators (IND) Specification FTF Report submitted to the OMG (August 15 th 2016) http: //www. omg. org/techprocess/meetings/schedule/F IBO_Indices_and_Indicators_1. 1_RTF. html v Need to prioritize open issues and extensions, and determine a target for the next submission v There are no outstanding issues for the RTF to address on the OMG JIRA, and no project yet set up for the RTF v Current activities reflected in open EDMC JIRA issues (17 issues, 3 of which have been addressed recently) v New issues, as uncovered by the IND FCT / RTF should be posted there v Open Action Item review Planning
IND 1. 1 RTF / FCT Members 3 Participants include the following organizations: • • • 88 Solutions Adaptive Bloomberg Bureau of Economic Analysis Bureau of Labor Statistics EDM Council Federal Reserve Board No. Magic State Street Statistics Canada Thematix Partners University College Cork
Outstanding IND Actions / Issues 4 Actions will be tracked on the wiki – see https: //wiki. edmcouncil. org/display/IND/Meeting+notes 17 open JIRA issues v A number of new issues raised, primarily changes to text definitions, per review by BLS (3 issues) v Need a definition of Process that we like to be added to FND – may need to do that via the SEC RFC – a statistical program should be a child of process v A few minor tweaks to the existing logic (4 issues) v An enhancement to include an ontology defining statistical methods that for determination of the values of various indicators v An enhancement to include statistical quantities (mean, average, total, index (quantitative), ratio, percent (to fix what is in BT), and percent change v Incorporation of a Common Interest Rates ontology (initial version is in Git. Hub) v Revision of the definition of tenor using the fdt ontology from FND (draft in Git. Hub)
Updates to date 5 Trivial correction for IND-27 (about file for North America), but created a new branch in Git. Hub for this, and new about file for IND 1. 1 NA (draft in Git. Hub) Added the Common. Interest. Rates ontology to the about file for testing and review with this FCT (added the Canadian Dollar Offered Rate this week) Revised definition for has. Tenor – needed for SEC and DER efforts Addition of explicit durations as part of the work on tenor to facilitate use of individuals to define certain common interest rates Should these common interest rates be normative? Should we bring them in via a separate about file, since they require individuals (e. g. , CDOR requires the Bank. Of. Canada, which requires North American geopolitical entities?
IND-8 – Common Interest Rates 6 Preliminary version is now in pink in Github Primary expansions for LIBOR and EURIBOR v v By currency (for LIBOR only) By borrowing period (eliminated subclasses, revised definition of has. Tenor) Need to revise publisher for EURIBOR (which changed last year to the European Money Markets Institute (EMMI) – done in latest draft Need definitions for the variations on LIBOR Secondary expansion for STIBOR? Added CDOR Need a list of the additional interest rates to incorporate in a secondary mode – we have all those specified by the ISDA MAC documentation now, although we may need BBR and BSR – Bankers Buy Rate and Bankers Sell Rate, which are generic but used in country-specific contexts Need to revise the approach to time periods for LIBOR, others to use explicit date periods – per the definitions in FND (done with revision to has. Tenor and the addition of durations) Revised use of has. Currency with has. Reference. Currency, including elimination of the subproperty relationship between the two, to eliminate reasoning error (this week)
Common Interest Rates (original) 7
Revised definition of LIBOR 8
New has. Tenor property definition 9
Revised definition of has rate reset time of day (corrected from last week to eliminate the redundant data property) 10 source for this?
Revised Canadian Dollar Offered Rate (CDOR) 11
Other new issues -12 Volatility is defined as representing a rate of change in some value, but is represented as a "number" and should reference the appropriate complex datatype instead The definition of Quoted. Exchange. Rate includes a property called has. Quotation. Settlement. Basis. In. Days, which should be has. Quotation. Settlement. Basis with a range of relative duration, rather than a "number“ Also, deprecate has. Settlement. Date in FX and replace it with the new has. Settlement. Date from FBC
Definition of Volatility 13
Definition of Quoted. Exchange. Rate 14
Revised Definition of has. Quotation. Settlement. Basis. In. Days 15
Revised Definition of Currency Forward Rate 16
Homework 17 Review current specification document, available at https: //wiki. edmcouncil. org/pages/viewpage. action? page. Id=636003 5 Take a look at the open JIRA issues, at https: //jira. edmcouncil. org/projects/IND/issues/IND 7? filter=allopenissues Determine what new issues to raise – for example, refinement of GDP, addition of banking indices once we get FRB involved, etc. We should address the smaller clean-up issues quickly, and create complete resolutions for those, then get them done in OMG style so that we don’t need to deal with them later on Determine ideal publication date for a revision (currently March 2017) and what we want to have in it
Schedule 18 Next Several Meetings: v v v Dec 9 th – OMG week (no telecon) Dec 16 th – OMG post-meeting break (and Elisa will be traveling, no telecon) Dec 23 rd – no telecon due to Christmas / Hanukkah Dec 30 th – no telecon due to Christmas / Hanukkah / New Year Jan 6 th – working session
- Slides: 18