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InstrumentTemporalTerms
This ontology defines common concepts for instrument temporal terms, such as prices, yields, spreads, volatility and the like. These are the concepts as they apply to all classes of instrument.
The detailed terms in equity and debt pricing and analytics among others, are defined with reference to these basic concepts.
closing price determination method
The way in which a price is determined, usually by an exchange or trading venue, for example when publishing a closing price.
credit spread
In finance, a credit spread is the yield spread, or difference in yield between different securities, due to different credit quality. The credit spread reflects the additional net yield an investor can earn from a security with more credit risk relative to one with less credit risk. 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.
derivative spread
exchange traded security price
financial instrument analytical parameter
Some measure of a financial instrument, that may be referred to in analysing or understanding that instrument for investment or risk management purposes.
financial market information
Information about the financial markets, that is published by some publisher or data vendor.
instrument internal rate of return
The discount rate that results in a Net Present Value of zero for a series of future cash flows for the holder of the financial instrument.
notes @SMER on 18 November ISS is the interest rate used to calculate the NPV from a given Face Value. Yield & Face => NPV NPV & Yield => IRR is the rate used to calculate that NPV. This makes specific reinvestment assumptions.
internal rate of return
The discount rate that results in a Net Present Value of zero for a series of future cash flows.
This is not a figure given out as market data but is at the center of many definitions of financial debt instrument analytics. This is the inverse of Net Present Value (NPV). NPV is expressed in monetary units while IRR is expressed in percentage.
kassa
Official declared price.
listino
only associated with a closing price
market data
Data about financial instruments, that is published and may be used to support decision making or processing of financial instruments. Definition source: own definition.
maturity
The period remaining until an instrument reaches the end of its life.
This applies to all instruments that have a specific time to run. This replaces the model whereby a debt instrument has maturity defined in terms of a known and measured period of time. That concept will still exist as maturity "at issue", one of many "at issue" specializations of terms that vary over time. Conesnsus:Review
mean price determination
Exchange closing price may take an average (mean) price.
price spread
The difference between two prices.
published price
The price of some financial instrument on some market, published by some agent, in some suitable format.
The property of "Value" as identified in FIBIM is now a feature of whichever type of specification is used.
reference factor
Some factor which is referred to in calculations and which is itself calculated in order to perform those calculations.
An example of this would be the factor for an Inflation Bond, which may be used to determine interest payments, principal repayments or both, using formulae which refer to that factor.
riferimento
Meaning not known
security price
spread
The difference between two parameters that may vary over time, such as prices or rates.
The parameters do not need to identify the same kind of parameter; for example there may be a spread between a price and a rate. However, the types of spread which are defined are expected to be meaningful and useful. Clearly they also need to takes values that are of the same simple type, for example two percentages or two monetary amounts. In practice spreads are generally denominated in percentage units. Note also that, in addition to being identified as a numerical value at some point in time, a spread may be represented as a curve, this being the plot of the two values, one on each axis of a 2 dimensional graph.
stock volatillity
A measure of stock price fluctuation. Mathematically the volatility is the annualized standard deviation of a stock's daily price changes.
traded security published price
The price of a tradable security.
ufficiale
Meaning not known - Official price
yield
The yield of a financial instrument based on its current price is the return to the investor expressed as an annual percentage.
Yields come in various types with various qiualifying terms. A Yield must be based on a price, and must be in reference to some event or duration of time. It has a calculation method, and may have other qualifying terms such as for compounded yield. Most data models have these in a single selectable list, covering the different semantics above. Yield calculation methods remain as a selection list.
2
yield spread
the spread between the yields of two items
derived from
derived from outlay
has analytics details
has closing price determination method
The method by which the closing price is defined.
This method itself changes quite frequently i.e. the exchange may change the way it computes closing prices.
has price
has rate of return
has spread
identified as
The business entity which is the supplier of the market data.
irr has value
The value of the IRR at a given point in time, expressed as a percentage.
is between
maturity has value
The value of the Maturity at some point in time, expressed in terms of the length of time to maturity (a duration) at the time specified for that maturity.
provides analysis about
quoted on
reference factor has value
yield has value
The value of the yield expressed as a percentage.