This ontology provides the concepts common to all market rates, indices and indicators; that is concepts descriptive of the numeric parameters themselves. These are modeled independently of the values they may take over time.
Indicators Ontology
a predicate indicating the quotation date for a given market rate or indicator
has quotation date
a predicate indicating the quotation date and time for a given market rate or indicator
has quotation date and time
a predicate indicating the market rate to which the volatility measure applies and of which it is a measure
is volatility of
a measure of the overall price level of a given rate, calculated as the sum of all values of the rates for a particular reference rate, foreign exchange rate, lending rate, or other market rate divided by the total number of rates collected over the course of a twenty-four (24) hour period for a specific date
daily average market rate
a measure of the price level (value) of a given market rate of the end of the business day for a specific date
end-of-day market rate
a formal organization acting as a publisher or provider of information related to the financial markets or of interest to financial market participants such as information on economies
financial information publisher
a measure that is also published financial information providing a rate used to measure market trends for a set of instruments (S&P500, NASDAQ composite, 30 day CD) or that describes the economic climate for an industry (Dow Jones Industrial Average (DJIA), H&Q Growth Technologies) and/or political region (LIBOR, Prime)
market rate
a statistical measure providing the difference (or spread) between two market rates
market spread
published information made available by a financial information publisher
published financial information
a collection that has a clearly defined structure or organization
structured collection
a structured collection of rates, such as interest rates, or bond yields with different terms to maturity, such that a yield curve may be constructed for the structure
term structure
a statistical measure of the rate of change in pricing for a given security or market index
volatility
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Copyright (c) 2014-2016 Object Management Group, Inc.
http://www.omg.org/techprocess/ab/SpecificationMetadata/MITLicense
Indicators.rdf
fibo-ind-ind-ind
This ontology provides the concepts common to all market rates, indices and indicators; that is concepts descriptive of the numeric parameters themselves. These are modeled independently of the values they may take over time.
The http://www.omg.org/spec/EDMC-FIBO/IND/20150501/Indicators/Indicators.rdf version of this ontology was modified per the issue resolutions identified in the FIBO IND 1.0 FTF 3 report, namely, to take advantage of content added via the FIBO FND 1.1 with respect to higher-level concepts of Rate, ExchangeRate, and InterestRate and revise the definition of TermStructure to better support concepts such as yield curves.
The http://www.omg.org/spec/EDMC-FIBO/IND/20140601/Indicators/Indicators.rdf version of this ontology was modified per the issue resolutions identified in the FIBO IND 1.0 FTF 1 report.
http://www.omg.org/spec/EDMC-FIBO/FND/
http://www.omg.org/spec/EDMC-FIBO/BE/
http://www.omg.org/spec/ODM/
http://www.w3.org/standards/techs/owl#w3c_all
a predicate indicating the quotation date for a given market rate or indicator
Typically this property reflects a daily average or end of day quote.
a predicate indicating the quotation date and time for a given market rate or indicator
a predicate indicating the market rate to which the volatility measure applies and of which it is a measure
a measure of the overall price level of a given rate, calculated as the sum of all values of the rates for a particular reference rate, foreign exchange rate, lending rate, or other market rate divided by the total number of rates collected over the course of a twenty-four (24) hour period for a specific date
http://www.investopedia.com/terms/m/marketaverage.asp
a measure of the price level (value) of a given market rate of the end of the business day for a specific date
a formal organization acting as a publisher or provider of information related to the financial markets or of interest to financial market participants such as information on economies
Financial market rates include, but are not limited to reference rates, foreign exchange rates, lending rates, bankers' acceptance rates, and so forth.
known collectively (in the CFI Standard) as referential instruments
Market rates include but may not be limited to the following:
(1) Index: Statistical composite that measures changes in the economy or in financial markets, often expressed in percentage changes from a base year or from the previous month
(2) Money Rate: Benchmark or guideline for interest rates determined by central banks or economical climate as a whole
(3) Bankers' Acceptance Rate: Benchmark reflecting market fluctuations of Bankers' Acceptance issued instruments
(4) Commercial Paper Rate: Benchmark reflecting market fluctuations of Commercial Paper issued instruments
(5) Certificate of Deposit Rate: Benchmark reflecting market fluctuations of Certificate of Deposit issued instruments
(6) Interbank Rate
(7) Prime
(8) Time Deposit Rate: Benchmark reflecting market fluctuations of Deposit/Redeposit issued instruments
a measure that is also published financial information providing a rate used to measure market trends for a set of instruments (S&P500, NASDAQ composite, 30 day CD) or that describes the economic climate for an industry (Dow Jones Industrial Average (DJIA), H&Q Growth Technologies) and/or political region (LIBOR, Prime)
a statistical measure providing the difference (or spread) between two market rates
published information made available by a financial information publisher
a collection that has a clearly defined structure or organization
Term Structure has been modeled with reference to MarketRate generally, which incorporates more kinds of rate than would normally be included in a term structure. Term structures consist of two or more of something with some time to maturity, typically debt instruments or interest rates. Currency exchange rates may in principle be grouped in a term structure as forward rates. For this specification, debt instruments are not in scope, so these are not included in the current scope of this TermStructure concept.
a structured collection of rates, such as interest rates, or bond yields with different terms to maturity, such that a yield curve may be constructed for the structure
Term structure refers to a set of discrete points; elements are ordered by time. Restrictions on the rate (see above) and a point in time, paired together, and then ordered in a structured collection is how this should ultimately be modeled. Then the concept of yield curve would be a child of term structure, for calculation of net present value, for example.
The term structure reflects expectations of market participants about future changes in interest rates and their assessment of monetary policy conditions.
http://www.investopedia.com/terms/t/termstructure.asp
OptionsEducation.org
Volatility can be determined using the standard deviation or variance among prices for the security or market index over some period of time. For a specific security, volatility may measure the amount and frequency in rapid price fluctuation. It is computed as the annualized standard deviation of the percentage change in a security's daily price.
a statistical measure of the rate of change in pricing for a given security or market index