1) Use Case reminder
2) Where we are on our road map.
3) Open Action Items
4) JIRA Issues Review - https://jira.edmcouncil.org/projects/DER/issues/DER-10?filter=allopenissues
5) Todays content discussion.
6) For next week.
Agreed to eliminate the class for interest rate cap on DER-120 so that we could merge that resolution and move on to exotic options.
Reviewed the ETOptions ontology, which does not add a lot of value aside from definition of greeks, which need work. The definition of implied price volatility also needs some work. We also discussed merging all of the analytics, e.g., greeks, into a single ontology at a higher level as they apply more broadly to multiple kinds of instruments.
With respect to the contents, we replaced a number of elements with those in the latest Options ontology. We reviewed the notion of option theoretical value, and found the following:
The theoretical value of an option is an estimate of what an option should be worth using all known inputs. In other words, option pricing models provide us a fair value of an option. Knowing the estimate of the fair value of an option, finance professionals.
Theoretical price might be calculated using a variety of models, and so linking to the model is important.
Agreed that Elisa will make a pass through and push it to WIP for others to look at.