Debt Analytics Ontology
type: Ontology
abstract: This ontology covers an extensive range of analytical measures for debt instruments and pools of debt instruments. These cover the well-known concepts of convexity, duration and life, as well as weighted average loan ages and maturities, prepayments speeds etc. for debt pools. Most of the widely referenced variants of these are included, for example modified duration. Some yield related concepts (e.g. for equivalent yield) are also included. Debt pricing and yields are intimately related, and this ontology sets out the basic concepts of debt price, including different ways in which debt and bod prices are described and calculated, as well as a range of different kinds of yield (simple yield, Wall Street Yield, Japanese Yield and so on). The pricing terms are supported by a range of trading and exchange related concepts that are used to differentiate different kinds of debt price, for example last, high and low exchange prices.
license: Copyright (c) 2013-2025 EDM Council, Inc. Copyright (c) 2013-2025 Object Management Group, Inc. Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the 'Software'), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions: The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software. THE SOFTWARE IS PROVIDED 'AS IS', WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. See https://opensource.org/licenses/MIT.
imports: Debt
imports: InstrumentPricing
imports: CurrencyAmount
imports: FinancialDates
imports: Analytics
imports: AnnotationVocabulary
imports: Indicators
imports: InterestRates
imports: Bonds
imports: DebtInstruments
imports: MortgageBackedSecurities
imports: PoolBackedSecurities
imports: Pools
imports: Classifiers
imports: Collections
imports: ContextualDesignators
imports: DatesAndTimes
imports: Documents
imports: Organizations
imports: QuantitiesAndUnits
version IRI: DebtAnalytics
has maturity level: Provisional
copyright: Copyright (c) 2013-2025 EDM Council, Inc.

bond equivalent yield
type: Class
subclass of: relatively defined debt instrument yield
subclass of: Restriction
  on property: isBasedOn
  some values from: equivalent yield calculation method
definition: Yield determined on an equivalent basis to the yield of another bond. This is used to be able to realistically compare prices between debt instruments across different markets.
explanatory note: For example when comparing Treasury with Corp it's called a Corp Bond Equivalent Yield; when comparing other kinds of yields this would be labelled differently. Treasury bills typically in discount rates - that's one of the ways you would compare TB or MM or RePo to BEQ - by changing the day count. Detailed implementation of this: This term refers to the type of bond that it is equivalent to, that is the type of bond whose yield is normally determined according to the yield calculation method that is used in determining this Bond Equivalent Yield figure. The type of bond in this instance is defined in relation to the market on which that bond trades, for example the US Corporate Bond Market.

credit spread
type: Class
subclass of: YieldSpread
subclass of: Restriction
  on property: hasArgument
  some values from: ReferenceInterestRate
definition: yield spread that reflects the additional net yield an investor can earn from a security with more credit risk relative to one with less credit risk
explanatory note: The credit spread of a particular security is often quoted in relation to the yield on a credit risk-free benchmark security or reference rate. Further Notes There are several measures of credit spread, including Z-spread and option-adjusted spread. Old definition (Algo) The spread between the credit rating of something and its maturity. THis is now defined as a different term pending further review with Algorithmics. Update from SMER. difference between risk free price (price of govt bond) and the price of this security. (matches Wikipedia definition above) i.e. price of this credit versus the price of a (near) risk free credit. The latter is a reference security with low risk such as a Treasury Bond. Is this between prices or between yields? can be expressed as either wrt price or yield, and this is detemined by context for different markets. Try and get a list. This is more generic - the meaning is not that it is speciufically wrt yield as such. Debt Price Spread is in context of price, whereas this is more generic.

current yield calculation method
type: Class
subclass of: yield calculation method
subclass of: Restriction
  on property: hasArgument
  some values from: CleanPrice
definition: The ratio of the interest payment amount to the clean price.
explanatory note: This is a kind of yield that applies to debt instruments only as it relates to the clean price. It differs from the simple yield in that simple yield relates to the actual price paid for the bond, which on will differ from the clean price by the amount of accrued interest.

debt convexity analytic
type: Class
subclass of: DatedCollectionConstituent
subclass of: Restriction
  on property: is rate of change of
  some values from: duration analytic
subclass of: Restriction
  on property: refersTo
  some values from: debt instrument yield
subclass of: Restriction
  on property: hasArgument
  some values from: MarketSpread
definition: The second derivative of a security's price with respect to its yield, divided by the security's price. A security exhibits positive convexity when its price rises more for a downward move in its yield than its price declines for an equal upward move in its yield. Further notes: A measure of the change in price for a given change in Modified Duration. This always (necessarily) refers to Modified Duration. This is used as another risk measurement. Numerator is always (a) duration - either MacCaulays or Modified. Always rate of change of (one of the) Duration against some other parameter. The other paramater can be characterised as a Yield (it may be the Price, but that has a relationship to the Yield in any case). REVIEW: Inconsistency in the above - is it always necessarily Modified Duration that is referred to, or "any" Duration measure (Macaulays and.or Modified)? notes 9 Dec A measure of the sensitivity of the price with reference to interest rates. This is normally determined with reference to maturity, but since there are different maturity dates, this figure gives an estimate of the equitvalent if you had a homogenous portfolio, i.e. this is an estimate based on a pure equivalent, homogenous portfolio. Convexity of instrument versus portfolio. Sees instrument in terms of the set of cashflows. The term Convexity can be applied either to a bond or to a portfolio. More notes: When you get Convexit in MD, it will tell you what Duration it is refrfering to, along with Redemption Date (logically). Also if there is Option Adjusted Yield, there is a third set of analytics. What are they? i.e. OA Convexity, Duration Yield and the rest. Conclusions: Agreed to revisit this in OTC.

debt instrument yield
type: Class
subclass of: Yield
subclass of: Restriction
  on property: calculation following
  some values from: yield calculation method
subclass of: Restriction
  on property: has outlook period
  some values from: Class
    union of: life analytic
    union of: Restriction
      on property: hasOriginalTimeToMaturity
      some values from: ExplicitDuration
    union of: PrescriptiveEvent
    union of: RedemptionEvent
subclass of: Restriction
  on property: hasArgument
  some values from: SecurityPrice
definition: The return on the debt instrument at the stated price.
explanatory note: Yield has a relationship to the price.

debt price spread
type: Class
subclass of: MarketSpread
subclass of: Restriction
  on property: appliesTo
  some values from: SecurityPrice
definition: The difference between the [what?] of a security and the fair price value of a different security which is used as a point of reference. The spread is used to determine the price of the instrument. (draft definition)
editorial note: This was "Spread" in the Debt pricing reviews, however that word has at least 2 other uses (spread between equity bid and offer prices; spread for derivatives). Detailed notes from Debt Pricing Review session 5 Aug: Identify what the spread is in relation to e.g. LIBOR. ALSO If fixed of floating. So if it's a FRN, For a fixed rate bond, it's priced off the on-the-run, e.g. a 30 year bond is priced as a spread wrt a 30 year treasury bond. So e..g spread would be something like 10bp+the value of the 30 year on the run Treasury. On the Run: definition needed. Also class of Thing and where this should go.

debt securities market maker
type: Class
subclass of: ServiceProvider
subclass of: Restriction
  on property: determines market price for debt
  some values from: o t c bond market price
definition: An actor which has the role of Market Maker in a given market.

debt yield to average life
type: Class
subclass of: debt instrument yield
subclass of: Restriction
  on property: has outlook period
  some values from: WeightedAverageLife
definition: The yield achieved by substituting a bond's average life for the issue's final maturity date.
editorial note: Assume from this that there is also a Yield to Equivalent Life. Some sources have these as the same term, whereas we have separated them.

debt yield to equivalent life
type: Class
subclass of: debt instrument yield
subclass of: Restriction
  on property: has outlook period
  some values from: equivalent life analytic
definition: The yield achieved by substituting a bond's equivalent life for the issue's final maturity date.
editorial note: Some sources have Average Life and Equivalent Life as the same term, whereas we have separated them.

debt yield to maturity
type: Class
subclass of: debt instrument yield
subclass of: Restriction
  on property: has outlook period
  some values from: Restriction
    on property: hasOriginalTimeToMaturity
    some values from: ExplicitDuration
definition: The internal rate of return an investor would achieve if he or she purchased that bond at its current dirty price, and held it to maturity, assuming all coupon and principal payments are received as scheduled.

debt yield to next call
type: Class
subclass of: debt instrument yield
subclass of: Restriction
  on property: has outlook period
  some values from: next call
definition: The yield of a bond to the next possible call date.

debt yield to worst
type: Class
subclass of: debt instrument yield
subclass of: Restriction
  on property: has outlook period
  some values from: worst call
definition: Yield to the worst case of when the instrument might be called.

discounted instrument yield
type: Class
subclass of: debt instrument yield
definition: Yield quoted for a discount instrument. This is the ratio of the discount to the face value, divided by the period to maturity as a fraction of a year.
usage note: Applies to Debt only.

duration analytic
type: Class
subclass of: DebtPoolStatisticalMeasure
subclass of: Restriction
  on property: refersTo
  some values from: debt instrument yield
definition: Weighted average time to receipt of all the payments.
editorial note: Duration in general is a measure of % price change for a given change in yield. See definition from BMB The duration on a traditional bond will be much shorter than the duration relative to the maturity. Duration is the first derivative of the curve between Price and Yield. There are multiple types of duration, all of which are variants of this. So Duration is the first derivative and the different type of duration measure are different ways of measuring this, for example a "quick and dirty" measure of duration or one which.

effective duration
type: Class
subclass of: duration analytic

effective yield
type: Class
subclass of: debt instrument yield
editorial note: The difference between this and Native yield is as per note: Native yield relates to price quotation context; Effective Yild is in relation to portfolio analytics. Recall: every analytic formula relates to the set of cash flows, so there are assumptions underlying each of these, For example the assumption that Y is constant, which it isn't (because there is a curve, which may be convex not linear (is that right?). So you can compare rate or return between what I see and what the market has out there. In the US market: a Y which is calculated using Monto Carlo method simulation. relationship facts to add: Relation to method / formula (e.g. Monte Carlo), and the method used to determine the actual figure for the MC method. eff Y for single instrument: E Y for bonds without calls and stuff. Variation in this: whether we look at a whole set of bonds YTM quoted by Bmb would be the YTM quoted according to whatever the market is - = the NAtive Yield. SO: Publicly quoted more: choose another adjective.

equivalent life analytic
type: Class
subclass of: life analytic
subclass of: Restriction
  on property: isBasedOn
  some values from: partial calls estimation model
subclass of: Restriction
  on property: refersTo
  some values from: BondWithPartialCall
disjoint with: WeightedAverageLife

equivalent yield calculation method
type: Class
subclass of: relative yield calculation method

exchange traded bond price
type: Class
subclass of: SecurityPrice
disjoint with: o t c bond market price

f f i e c down 300 prepay speed
type: Class
subclass of: PrepaymentSpeed
definition: Public Securities Association (PSA) speed used for the underlying collateral for cash-flow calculations in the "down 300" scenario.
editorial note: Detailed parameters to follow, but basically these three PSA terms are differentiated by the fact that they reference 3 different prepayment models, so each of these will refer to a sub-type of the term "Loan Pool Prepayment Model". For now the semantics are defined only in this written definition. Add model variants and terms in a future version.

f f i e c up 300 prepay speed
type: Class
subclass of: PrepaymentSpeed
definition: Public Securities Association (PSA) speed used for the underlying collateral for cash-flow calculations in the "up 300" scenario.
editorial note: Detailed parameters to follow, but basically these three PSA terms are differentiated by the fact that they reference 3 different prepayment models, so each of these will refer to a sub-type of the term "Loan Pool Prepayment Model". For now the semantics are defined only in this written definition. Add model variants and terms in a future version.

i c m a yield formula
type: Class
subclass of: yield calculation formula
definition: The calculation method specified by ICMA (formerly ISMA) for determination of yield for fixed-rate bonds.
explanatory note: This basic formula is used across many markets, including the US and most of Europe. While individual markets may have different flavors (French round their bonds to 5 decimals, UK Gilts have ex-div), the formula is still the same. This would be the formula used by "Wall Street Yield", "US Treasury Yield", "Corporate Bond Yield" etc. Notes Origin:Fidessa

implied forward rate
type: Class
subclass of: InterestRate

internally determined price spread
type: Class
subclass of: debt price spread
definition: The spread determined internally within the organisation from information available at their own trading desks. Further Notes Internal prices within a bank would be determined by surveying their own traders. So e.g. corporate desk trades these 30 bonds, get the daily spreads on those at the end of the day and calculate the price. The traders determine the pricing during the based on market movements. (this is all for OTC traded bonds, not exchange traded bonds).

japanese compound yield calculation method
type: Class
subclass of: yield calculation method
definition: No definition in selection list.

japanese simple yield calculation method
type: Class
subclass of: yield calculation method
definition: No definition.Term put here from memory. 02 Dec changed from Japanese Yield to Japanese Simple Yield. note hat Japanese Compound yield also here (from FIBIM or anothe rlist, added 25 nov with the rest).

key rate duration
type: Class
subclass of: duration analytic

life analytic
type: Class
subclass of: DebtPoolStatisticalMeasure
definition: Some measure of the life of a security, other than the actual time to maturity itself. This is a derived figure, based on certain parameters as appropriate to that type of instrument, to give a figure that is equivalent to and similar to the basic maturity of the instrument, for the purposes of analysing that security.

loan pool prepayment model
type: Class
subclass of: Formula
subclass of: Restriction
  on property: comprises
  some values from: loan prepayment formula
definition: Model of the prepayments of loans in a pool of individual loans, such as a mortgage pool or loan pool.
explanatory note: This model captures the parameters that may influence the prepayment of loans or mortgages and relates these mathematically.

loan prepayment formula
type: Class
subclass of: Formula
definition: The formula which embodies the model for loan pool prepayment speed.
editorial note: From SMER sessions: This is a model. Includes other factors such as homogeniety. To model this more completely we need to identify the parameters that go in to this formula. Among these is the above homogeneity measure - need to know how that is measured and in what terms it is expressed, e.g. as a percentage, with reference to some mean or standard deviation and so on. Also some of the parameters used in this model would presumably make reference to standard mathematical model constructs such as normal distribution, variaous deviation measures, Chi squared and so on. These are not presently in the semantics model, but can be modeled semantically if required. This would not however be a mathematical model - we only need to identify these and show meaningful relationships (not mathematical relationships) between them.

MacCaulays Duration Analytic
type: Class
subclass of: duration analytic
subclass of: Restriction
  on property: refersTo
  some values from: InternalRateOfReturn

maturity equivalent p s a
type: Class
subclass of: PrepaymentSpeed
definition: Prepayment speed that results in the same average life as that computed for the Collateralized Mortgage Obligation (CMO), Asset Backed Securities (ABS) or Mortgage Backed Securities (MBS) using the Maturity Prepay Model.
editorial note: Detailed parameters to follow, but basically these three PSA terms are differentiated by the fact that they reference 3 different prepayment models, so each of these will refer to a sub-type of the term "Loan Pool Prepayment Model". For now the semantics are defined only in this written definition. Add model variants and terms in a future version.

modified duration analytic
type: Class
subclass of: duration analytic
subclass of: Restriction
  on property: refersTo
  some values from: MacCaulays Duration Analytic
disjoint with: MacCaulays Duration Analytic
definition: The percentage price change of a security for a given change in yield. The higher the modified duration of a security, the higher its risk. Ad/ModDuration = [duration / {1 + (IRR/M)}]; where IRR is the internal rate of return and M is the number of compounding periods per year.
explanatory note: The higher the MD the greater the change in price for a given change in yield.

native yield
type: Class
subclass of: relatively defined debt instrument yield
subclass of: Restriction
  on property: isBasedOn
  some values from: native yield calculation method
definition: The yield of the security as determined using the Yield Calculation Method that is the default for the market that the security is traded in.
explanatory note: conventional yield for that security type and geo location, ie. would be in relation too

native yield calculation method
type: Class
subclass of: relative yield calculation method
subclass of: Restriction
  on property: is default method for
  some values from: TradableDebtInstrument
definition: The convention used in the marketplace for that security.

next call
type: Class
subclass of: CallEvent
subclass of: Restriction
  on property: hasDate
  some values from: next call date
definition: The next call of the issue, as at the current time.

next call date
type: Class
subclass of: Date
definition: The next date on which the issue can be called, from the present date.

next put
type: Class
subclass of: PutEvent
definition: The next available put date for the issue, as at the current time.

o t c bond market price
type: Class
subclass of: SecurityPrice
subclass of: Restriction
  on property: hasPricingSource
  some values from: debt securities market maker
definition: The price determined for the marketplace for a bond which is traded over the counter.
editorial note: Review comment: Must include Attribution. This is in the model in the form of tha Market Maker (an actor in the activity of secondary market trading for OTC-traded debt).

option adjusted yield
type: Class
subclass of: debt instrument yield
definition: NB specified as a spread. synonym: OAS Based on different Int Rate paths. There are different OAS models just like there are different Yield methods. Also would make reference to the Yield Curve - but these are parameters that go into that model. Limit this model at the point where it distinguishes the difference between things - we are not in a position to mathematically model the things themselves, just capture the basic facts.

partial calls estimation model
type: Class
subclass of: Formula
definition: A model of how the early partial calls are estimated.

pool factor
type: Class
subclass of: Percentage
definition: How much of the original pool is still outstanding. This is a number below one. Expressed as percentage.
explanatory note: Would multiply the factor by the starting value of the pool. This determines how much it is paying down. Would take the form of a 10 digit decimal factor showing how much of the pool is outstanding. You get Factor information every month or so which includes the WAM figure (and the WALA and WAC). The rate can be derived from this. that would be the rate at which the pool is paying down. These all come from the issuer.

pool paydown rate
type: Class
subclass of: Ratio
subclass of: Restriction
  on property: hasRateValue
  on data range: decimal
  qualified cardinality: 1
subclass of: Restriction
  on property: isBasedOn
  some values from: pool factor
definition: The rate at which the pool is paying down. This is based on observed factor. CPR, SMM, etc. etc. Measured differently for different kinds of security. CBO might have a prepayment rate for example if the underlying bond is callable. with a non agency mortgge dela, defualts will effect this. so for instance there is principal is no lnger inthe pool because the mortgagee defaults. With agency these are not taken out in the case of default but for non agency these mortgages are removed from the pool if and when a mortgagee defualts.

price value of basis point
type: Class
subclass of: DebtPoolStatisticalMeasure
subclass of: Restriction
  on property: refersTo
  some values from: debt instrument yield
definition: Sensitivity of the price for one basis point change in yield, defined as the difference in price given 1 bp change in yield.
abbreviation: PVBP
explanatory note: Price value of Basis Point Definition: The difference in price given 1 bp change in yield. This is like Duration but normalized to 1 basis point. Synonym DV01

relative yield calculation method
type: Class
subclass of: yield calculation method

relatively defined debt instrument yield
type: Class
subclass of: debt instrument yield

russian yield calculation method
type: Class
subclass of: yield calculation method
subclass of: Restriction
  on property: hasFormula
  some values from: russian yield formula
definition: The method used in determining Yield in the Russian markets. This is based on an effective yield with fundamentally different math. To give an example of the use of a different "yield type", we have Russia, which trades based on an effective yield. The price-yield math is fundamentally different. Notes Origin:Fidessa Uses a trade space and effective yield formula. MAy have same day types but different math.

russian yield formula
type: Class
subclass of: yield calculation formula
definition: This is based on a different Effective Yield than on another market.

simple yield calculation method
type: Class
subclass of: yield calculation method
subclass of: Restriction
  on property: hasArgument
  some values from: DirtyPrice
definition: The annual rate of return expressed as a percentage. This is the return divided by the outlay and multiplied by 100 to express the figure as a percentage.
explanatory note: This is yield in its simplest sense, expressed as a percentage of return to outlay. As such, this is the same way that yield is determined for any investments, not just financial instruments or debt investments.

spanish yield calculation method
type: Class
subclass of: yield calculation method
definition: The method used in determining annual yield in Spanish corporate bonds.

u s corporate bond yield calculation method
type: Class
subclass of: yield calculation method
subclass of: Restriction
  on property: hasFormula
  some values from: i c m a yield formula
definition: This has 30/360 and semi-annual compounding.

u s treasury yield calculation method
type: Class
subclass of: yield calculation method
subclass of: Restriction
  on property: hasFormula
  some values from: i c m a yield formula

wall street yield calculation method
type: Class
subclass of: yield calculation method
subclass of: Restriction
  on property: hasFormula
  some values from: i c m a yield formula
definition: No definition.Term put here from memory.

weighted average time to receipt of cashflows
type: Class
subclass of: Formula
definition: The weighted average time to the receipt of cashflows for an instrument.
editorial note: A formal definition is needed for this. The name is almost self defining, but only to those who already know what this means. In particular we should define how the weighted average is weighted, and what this means, along with a formula for calculating this at the most generic level (cashflow, time, without assumptions about particular types of instrument).

worst call
type: Class
subclass of: CallEvent
definition: call event representing the worst case with respect to when the instrument might be called
editorial note: Note that the actual date associated with an occurrence of a worst call event might be calculated or explicit.
editorial note: We should refine what we mean by worst here - soonest, or most distant?

yield calculation formula
type: Class
subclass of: Formula
subclass of: Restriction
  on property: appliesTo
  some values from: debt instrument yield
definition: The formula used in determining the Yield.
explanatory note: The subject of this Formula is the Yield. The formula has an expression which can be defined either in tectual terms or by further local extension of the term "Formula Expression" to define the parameters used.

yield calculation method
type: Class
subclass of: Formula
subclass of: Restriction
  on property: hasCompoundingFrequency
  all values from: RecurrenceInterval
subclass of: Restriction
  on property: hasArgument
  all values from: Variable
subclass of: Restriction
  on property: hasFormula
  some values from: yield calculation formula
definition: The method by which the yield is calculated. This includes a formula for calculation and a specific day count convention and compounding. You would apply this calculation method on top of the underlying terms and conditions, do for example the holiday calenders and so on, are used in these formulae. For final cash flow: Japanese yield will round down accrued interest. Add: The actual underlying math. Wall Street uses the same ICMA formula.
editorial note: Initial reviewer notes 18 Nov: this uses the combination of the day count and the compounding gives you the name of the yield calculation method. Names are associated with algorithms. What yield you use to determining the present value. These are typically defined in a prospectus (for exchange traded) or Info Memorandum if it's traded in an OTC market. where it also defines the method itself. Action: look at some prospecti or get this from a vendor. Additional features 25 nov: Question - maybe Holiday calendar? Also date roll rules and roll back rules. These all apply. YC feeds in to Yield itself.

yield to next put
type: Class
subclass of: debt instrument yield
subclass of: Restriction
  on property: has outlook period
  some values from: next put

calculation following
type: ObjectProperty
domain: debt instrument yield
range: yield calculation method

decimal places
type: DatatypeProperty
domain: pool factor
range: integer
definition: The number of decimal places used in the publication of the factor value.

default rate value
type: ObjectProperty
domain: DefaultRate
range: Percentage

determines market price for debt
type: ObjectProperty
domain: debt securities market maker
range: o t c bond market price

equivalent life value
type: ObjectProperty
domain: equivalent life analytic
range: Duration
definition: The Equivalent Life in years at the stated date.

has analytic
type: ObjectProperty
domain: DebtPool
range: DebtPoolStatisticalMeasure

has default rate
type: ObjectProperty
domain: DebtPool
range: DefaultRate

has factor
type: ObjectProperty
domain: DebtPool
range: pool factor

has measure
type: ObjectProperty
domain: DebtPool
range: PrepaymentSpeed

has outlook period
type: ObjectProperty
domain: debt instrument yield
range: Class
  union of: life analytic
  union of: Restriction
    on property: hasOriginalTimeToMaturity
    some values from: ExplicitDuration
  union of: PrescriptiveEvent
  union of: RedemptionEvent

has wac
type: ObjectProperty
domain: MortgageBackedSecurity
range: WeightedAverageCoupon

has yield
type: ObjectProperty
domain: TradableDebtInstrument
range: debt instrument yield

is aggregate of
type: ObjectProperty
domain: DebtPoolStatisticalMeasure
range: DebtPoolStatisticalMeasure

is compounded
type: DatatypeProperty
domain: debt instrument yield
range: boolean
definition: Definition needed Moved from Yield - assume this can only be about debt instrument or loan / debt yields i..e where the income relates to interest payments. .

is default method for
type: ObjectProperty
domain: native yield calculation method
range: TradableDebtInstrument

is rate of change of
type: ObjectProperty
domain: debt convexity analytic
range: duration analytic

modified duration value
type: ObjectProperty
domain: modified duration analytic
range: Duration
definition: The Modified Duration in Years.

price is traded
type: DatatypeProperty
domain: exchange traded bond price
range: boolean
definition: The highest valuation over the period specified. Notes from Equity review, may apply to Debt also: this can be regarded as a derived price. See also note in LowPrice Difference: different rules used. May be based on trade OR quote price Analytic or Price?? this is a derived type but with a much simpler rule.

price quoted ex dividend
type: DatatypeProperty
domain: debt instrument yield
range: boolean
definition: Whether or not the yield is based on a price which is quoted ex-dividend. When a bond is said to trade ex-dividend it means that there is a period of time prior to each coupon payment during which a bond purchaser does not receive custody of the next coupon. That payment is made to the previous bond holder and accrued interest is therefore negative during the ex-dividend period.

quoted ex dividend
type: DatatypeProperty
domain: SecurityPrice
range: boolean
definition: Whether or not the price is quoted ex-dividend. When a bond is said to trade ex-dividend it means that there is a period of time prior to each coupon payment during which a bond purchaser does not receive custody of the next coupon. That payment is made to the previous bond holder and accrued interest is therefore negative during the ex-dividend period.

rounding convention
type: DatatypeProperty
domain: yield calculation method
range: string
definition: The rounding convention used in the calculation method.

PrepaymentSpeed
type: Class
subclass of: Restriction
  on property: isBasedOn
  some values from: loan pool prepayment model
editorial note: This is a model. Includes other factors such as homogeniety. Earlier notes: Same as Payment. Curtailment. Paydown is normally scheduled payments of the mortgage. Prepayment is when someone pays off the mortgage early I may send in 1500 when my monthly amount is 1000 a month. So the 500 is a prepayment. Scheduled principal payment. More notes 25 nov: Also factor in changes to the pool constituents where this is allowed for that kind of MBS. So we make estimates of how face value will will change. face value won't change but the underlying value of the Pf changes, so eg. the current mortgage factor. Model update note June 2010: Detailed types of "Prepayment Speed" analytic received from thomson Reuters, now modeled as sub types of this term. So term origin is PSA by extension, since this is the common super class of 3 specific prepayment speed analytic types defined by PSA. PSA stands for Public Securities Association. Type: PSA gives this as numeric, however definitions imply percentage, so defined as dated percentage for now. Many data models use numbers which are interpreted later as percentages so this may be the case here.

average life at issue
type: Class
subclass of: WeightedAverageLife
definition: The Average Life analytic at the time the security was issued.