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Call Notes 24 January 2017

Chat Log

Lars Toomre (to Everyone): 1:12 PM: Here is an interesting article about DTCC Credit Derivative DLT Pilot

Lars Toomre (to Everyone): 1:37 PM: This is link to interest rate swaps in BPMN I think

IR Swaps Process

Decision: Look to use FIBO foundational concepts for activity and process to define process ontology; can explore later how to extend the concepts to those in BPMN. Meanwhile use this model to integrate process description for IR Swaps with FIBO contractual terms.

Noted: the current UML Activity diagram doesn’t deal well with the cycle nature of the events described.

Question: where was the more detailed process diagram for IR Swaps?


Mike Bennett (to Everyone): 1:40 PM: 20 Oct email from Pete Rivett

Looked at this – this seems to deal with the repeated events in the cycle in a more satisfying way. Use this as the basis for the process ontology.

Mike Bennett (to Everyone): 1:48 PM: US Treasuries:

Mike Bennett (to Everyone): 1:48 PM: These are auction process

Mike Bennett (to Everyone): 1:49 PM: Usually Primary, sometimes Openings (reissuing under the same CUSIP)

Mike Bennett (to Everyone): 1:50 PM: Can we find a process description for Auction?

Mike Bennett (to Everyone): 1:50 PM: All to take a look.

David Saul (to Everyone): 1:52 PM:

- update on the State Street activity

Actions and Summary

1 MB: Update the “Webliography” file on the wiki with link to useful sources; Add the various links to articles that have come through on these calls including the above (see also interesting Deutsche Bourse article recently).

2 All: find a source for process description for the Auction process – firstly in its most general form, and then with specifics for US Treasury issuance.

3 MB: Use CCM to model the IR Swaps process, based on the information in the 20 October email from Pete to the group.

notes20170124.1485887105.txt.gz · Last modified: 2017/01/31 18:25 by mikehypercube
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