FIBOIND_ — Additional concepts refining the concept of a market rate are needed to distinguish daily averages and end-of-day quotes

The Indicators ontology includes the general notion of a market rate, which can have either a date or date-time stamp associated with it. At least two refinements of this concept are important from a market valuation perspective and are tracked by banks to support data governance, including daily average rate quotes and end of day rates. These two concepts need to be added to the ontology to make it more useful to the community.

In addition, the definition of TermStructure is poorly defined with respect to how it fits in with the overall notion of a market rate, and would not be sufficient to support modeling of yield curves as it stands. A refinement on the definition of term structure to model it as a structured collection of rates would provide a starting point that can be further refined as FIBO ontologies for bonds or instruments based on market rates are integrated and tested.

Finally, the definition of a quoted exchange rate in the Foreign Exchange ontology, which depends on the definition of market rate in the Indicators ontology, is too narrow, and should be generalized to eliminate the restriction in the text of the definition that it should settled at a defined point in time in the future. Exchange rates can be forward looking or retrospective, so this is overly constraining.

Additional concepts refining the concept of a market rate are needed to distinguish daily averages and end-of-day quotes

The Indicators ontology includes the general notion of a market rate, which can have either a date or date-time stamp associated with it. At least two refinements of this concept are important from a market valuation perspective and are tracked by banks to support data governance, including daily average rate quotes and end of day rates. These two concepts need to be added to the ontology to make it more useful to the community.
In addition, the definition of TermStructure is poorly defined with respect to how it fits in with the overall notion of a market rate, and would not be sufficient to support modeling of yield curves as it stands. A refinement on the definition of term structure to model it as a structured collection of rates would provide a starting point that can be further refined as FIBO ontologies for bonds or instruments based on market rates are integrated and tested.

Finally, the definition of a quoted exchange rate in the Foreign Exchange ontology, which depends on the definition of market rate in the Indicators ontology, is too narrow, and should be generalized to eliminate the restriction in the text of the definition that it should settled at a defined point in time in the future. Exchange rates can be forward looking or retrospective, so this is overly constraining.