This ontology provides the basic types of interest rate which are recognized in the financial markets, and the relationships between these where applicable. THese include bank base rates, inter-bank offer rates, overnight rates of interest and the US Federal Funds rate which is widely used as a rate of reference. It also includes the concept of a market rate spread between two interest rates.
Interest Rates Ontology
relates a reference rate to the date it was quoted on
has quotation date
relates a reference rate to the currency it is based on
has reference currency
a predicate indicating the time of day when the rate is reset e.g., 11:00
has rate reset time of day
a predicate indicating the length of time for which the interbank rate is quoted expressed as a number of days
has tenor in days
a predicate indicating the length of time for which the interbank rate is quoted, e.g., 3 months, 6 months expressed as a number of months
has tenor in months
a reference rate that is the base rate set by a central bank for a given currency
base rate
a reference rate that is the interest rate at which a depository institution lends funds maintained at the Federal Reserve to another depository institution overnight.
federal funds rate
an interbank rate that is the interest rate at which participating banks are willing to borrow deposits from other banks
interbank bid rate
an interbank rate that represents the mid-point between bid and offer rates
interbank mid rate
an interbank rate that is the interest rate at which participating banks lend money
interbank offered rate
a reference rate that is the rate of interest charged on short-term loans between banks
interbank rate
a reference rate that is an interest rate at which a depository institution lends funds to another depository institution (short-term), or the interest rate the central bank charges a financial institution to borrow money overnight
overnight rate
a market rate that is a rate of interest paid by or agreed among some bank or set of banks
reference rate
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Copyright (c) 2014-2015 Object Management Group, Inc.
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InterestRates.rdf
fibo-ind-ir-ir
This ontology provides the basic types of interest rate which are recognized in the financial markets, and the relationships between these where applicable. THese include bank base rates, inter-bank offer rates, overnight rates of interest and the US Federal Funds rate which is widely used as a rate of reference. It also includes the concept of a market rate spread between two interest rates.
The http://www.omg.org/spec/EDMC-FIBO/IND/20140601/InterestRates/InterestRates.rdf version of this ontology was modified per the issue resolutions identified in the FIBO IND 1.0 FTF report.
http://www.omg.org/spec/EDMC-FIBO/FND/
http://www.omg.org/spec/EDMC-FIBO/IND/Indicators/Indicators/
http://www.omg.org/spec/ODM/
http://www.w3.org/standards/techs/owl#w3c_all
relates a reference rate to the date it was quoted on
relates a reference rate to the currency it is based on
This was not modeled as a subproperty of hasCurrency due to the domain for hasCurrency of MonetaryAmount.
a predicate indicating the time of day when the rate is reset e.g., 11:00
This is given as a whole number representing the number of days, because the concept of a duration is not yet modeled semantically, otherwise this term would refer to duration as its range instead. The name of this property reflects this compromise and would be changed to "Tenor" once a suitable range exists for this property.
a predicate indicating the length of time for which the interbank rate is quoted expressed as a number of days
a predicate indicating the length of time for which the interbank rate is quoted, e.g., 3 months, 6 months expressed as a number of months
This is set at intervals.
a reference rate that is the base rate set by a central bank for a given currency
US federal funds rate
fed funds rate
By trading government securities, the New York Fed affects the federal funds rate, which is the interest rate at which depository institutions lend balances to each other overnight. The Federal Open Market Committee establishes the target rate for trading in the federal funds market.
The federal funds rate is generally only applicable to the most creditworthy institutions when they borrow and lend overnight funds to each other. The federal funds rate is one of the most influential interest rates in the U.S. economy, since it affects monetary and financial conditions, which in turn have a bearing on key aspects of the broad economy including employment, growth and inflation. The Federal Open Market Committee (FOMC), which is the Federal Reserve's primary monetary policymaking body, telegraphs its desired target for the federal funds rate through open market operations.
a reference rate that is the interest rate at which a depository institution lends funds maintained at the Federal Reserve to another depository institution overnight.
Unlike an interbank offered rate, which is the rate at which banks lend money, an interbank bid rate is the rate at which banks ask to borrow.
an interbank rate that is the interest rate at which participating banks are willing to borrow deposits from other banks
an interbank rate that represents the mid-point between bid and offer rates
an interbank rate that is the interest rate at which participating banks lend money
Banks borrow and lend money in the interbank market in order to manage liquidity and meet the requirements placed on them. The interest rate charged depends on the availability of money in the market, on prevailing rates and on the specific terms of the contract, such as term length.
a reference rate that is the rate of interest charged on short-term loans between banks
The overnight rate is the lowest available interest rate, and as such, it is only available to the most creditworthy institutions. It is the underlying rate for Overnight Interest Rate Swaps (IOS).
a reference rate that is an interest rate at which a depository institution lends funds to another depository institution (short-term), or the interest rate the central bank charges a financial institution to borrow money overnight
The reference rate is a moving index such as LIBOR, the prime rate or the rate on benchmark U.S. Treasuries.
a market rate that is a rate of interest paid by or agreed among some bank or set of banks