The Semantics of Dates in Financial Contracts
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  Mark Linehan   Mark H Linehan
Thematix Partners, LLC
  Elisa Kendall   Elisa Kendall
Thematix Partners LLC
  Mike Bennett   Mike Bennett
Enterprise Data Management Council


Thursday, August 21, 2014
11:15 AM - 11:45 AM

Level:  Technical - Intermediate

The complexity of payment and other financial schedules creates significant challenges for financial contract ontologies. The interaction of schedules with financial calendars, including many special cases, demands significant attention to details.

Financial contracts (e.g., mortgages, bonds, leases, swaptions – options to enter into a swap, collateralized mortgage obligations) can involve complicated payment schedules and in some cases delivery of required items (funds, commodities, securities, other documentation). These schedules are specified as ad-hoc dates or regularly repeating intervals, which may evolve over the course of the agreement. Payment dates that fall on national or bank holidays involve special handling. Unique terms apply to initial and final payments. The period between payments is essential to the calculation of payment amounts.

This talk addresses these challenges by defining an OWL “financial dates” ontology for Financial Industry Business Ontology (FIBO) and for financial applications generally. The talk compares this new ontology to the OMG’s Date-Time Vocabulary standard.

Mark Linehan's knowledge of the Date-Time Vocabulary (DTV) standard comes from his experience as the chair of the Object Management Group (OMG) group that produced the standard. He has been heavily involved in the SBVR (Semantics of Business Vocabulary and Rules) standard, and in discussions about exploiting DTV in Financial Industry Business Objects (FIBO). He has recently implemented an automated conversion of DTV from SBVR to OWL, in conjunction with Elisa Kendall. Mark was a Senior Technical Staff Member at IBM Research to March, 2014. While at IBM Research, he designed and developed rules, middleware, operating system, and secure communications software. He led software teams implementing in multiple programming languages, tools, and execution environments. His current interests center around semantics and related technologies.

Ms. Kendall has over 30 years professional experience in the design, development and deployment of enterprise-scale information management systems, emphasizing information architecture, ontology, and knowledge-based systems design. Her focus includes business and information architecture, knowledge representation strategies, and ontology development for clients in financial services, government, manufacturing, media, and travel domains. She has developed a number of best practices for marrying business architecture, conceptual modeling, and traditional software engineering with semantics to address complex information management issues. Elisa represents ontology and information architecture concerns on the Object Management Group (OMG)'s Architecture Board, is co-editor of the Ontology Definition Metamodel (ODM), and a contributor to a number of other OMG standards, including the Financial Industry Business Ontology (FIBO) effort.

Mike Bennett is the semantics expert and ontologist for the EDM Council. He is the architect and editor of the Financial Industry Business Ontology (FIBO) and represents the Council within the Object Management Group and on ISO technical standards committees. He has over 15 years of financial industry experience with investment management software, data management systems design, messaging standards, product testing and project management. Mike is well-regarded as both a resource and frequent speaker within the semantics community.

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