The Financial Industry Business Data Model (FIB-DM) has 370 Derivative entities organized in 21 packages.
We derived FIB-DM from the Financial Industry Business Ontology (FIBO) using our patented US12038939 Configurable Ontology to Data model Transformation (CODT).
The Diagram shows four second-level packages (green): Derivative Contracts models content common to all Derivatives. Rate, Security-based, and Credit Derivative packages define specialized information.
The table below provides a package description derived from FIBO ontology annotation properties. The list of Derivative entities and their definitions are in the model release report on the FIB-DM website, with entity codes starting with “fibo-der*.”
| Package name | Code | Description |
|---|---|---|
| FIBO Derivatives | fibo-der | The FIBO Derivatives derivatives package derives from the domain ontology covering basic derivatives contracts (commodities contracts, commodity delivery, forwards, options, spots, swaps), asset derivatives (asset baskets, bond options, bond return swaps, equity forwards, equity options, equity swaps), commodity derivatives (commodities contracts, commodity delivery, forwards, options, spots, swaps), credit default swaps, exchange-traded derivatives (options and futures), Fx derivatives (forwards, options, spots, swaps), rate derivatives (forward rate agreements, inflation swaps, interest rate options, interest rate swaps, OTC index options), rights instruments and other miscellaneous forms of derivative contracts. |
| DER-Credit Derivatives | fibo-der-cr | A package folder for DER-Credit Derivatives |
| Credit Default Swaps | fibo-der-cr-cds | The package for data model objects derived from the Credit Default Swaps ontology module. Credit default swaps are financial instruments that allow the transfer of credit risk among market participants, potentially facilitating greater efficiency in the pricing and distribution/offset of credit risk. They are bilateral contracts in which one party (the protection seller) agrees to provide payment(s) to the other party (the protection buyer) should a credit event occur against the underlying. The underlier for a CDS may be a specified debt (the reference obligation), a specific debt issuer (reference entity), in which case the credit events involving the entity is what triggers the payment, a basket of reference entities and/or reference obligations, or a credit index (reference index). This ontology defines the concept of a basic credit default swap as well as more specific kinds of CDS and specifies related details. |
| DER-Derivatives Contracts | fibo-der-drc | A package folder for DER-Derivatives Contracts |
| Derivatives Basics | fibo-der-drc-bsc | The package for data model objects derived from the Derivatives Basics ontology module. This ontology defines basic terminology common to derivative and over-the-counter (OTC) contracts. |
| Commodities Contracts | fibo-der-drc-comm | The package for data model objects derived from the Commodities Contracts ontology module. This ontology specifies core concepts for commodities-based derivatives and spot contracts, including the definitions of the most common categories of underlying negotiable commodities, corresponding to those outlined in the ISO 10962 CFI standard. Note that the ontology does not include any specific units of measure for these commodities. The intent is that FIBO users would select one of the many available units ontologies to use in specifying the details of individual contracts. |
| Currency Contracts | fibo-der-drc-cur | The package for data model objects derived from the Currency Contracts ontology module. This ontology defines concepts common to currency spot contracts and foreign exchange derivatives (forwards, options and swaps). |
| Exotic Options | fibo-der-drc-exo | The package for data model objects derived from the Exotic Options ontology module. This ontology covers exotic options, a category of options contracts that differ from traditional options in their payment structures, expiration dates, and strike prices. The underlying asset or security can vary with exotic options allowing for more investment alternatives. Exotic options are hybrid securities that are often customizable to the needs of the investor, and most are traded over the counter (OTC). |
| Futures And Forwards | fibo-der-drc-ff | The package for data model objects derived from the Futures And Forwards ontology module. This ontology defines concepts for derivative contracts, including forwards and futures, representing a commitment to sell or purchase the underlier at a defined price at a given time in the future. |
| Options | fibo-der-drc-opt | The package for data model objects derived from the Options ontology module. Concepts common to all option contracts. An option gives one party (the holder) the right to purchase or sell the underlying instrument at a given time or times in the future (as determined by the exercise convention), if they choose to do so. |
| Rights And Warrants | fibo-der-drc-raw | The package for data model objects derived from the Rights And Warrants ontology module. The Rights and Warrants ontology covers a range of financial instruments providing the holder with the privilege to subscribe to or receive specific assets on terms specified. These include rights (privileges) extended to existing security holders to make new securities available to them at reduced prices or for free, and warrants whereby the holder can purchase or sell back a given quantity of the instrument, commodity or currency during a specified period at a pre-defined price. |
| Structured Instruments | fibo-der-drc-str | The package for data model objects derived from the Structured Instruments ontology module. This ontology defines concepts common to pre-packaged structured finance investment strategies based on a host of underlying instruments, pools, or other assets. |
| Swaps | fibo-der-drc-swp | The package for data model objects derived from the Swaps ontology module. This ontology defines concepts specific to swap contracts, including relevant trading organizations, data repositories, and intermediaries. |
| Swaps Individuals | fibo-der-drc-swpind | The package for data model objects derived from the Swaps Individuals ontology module. This ontology defines indiividuals that represent swaps repositories and intermediaries, including and related schemes, registries, and authorities. |
| DER-Rate Derivatives | fibo-der-rtd | A package folder for DER-Rate Derivatives |
| IR Swap Example Individuals | fibo-der-rtd-irsind | The package for data model objects derived from the IR Swap Example Individuals ontology module. This ontology provides examples of how to represent individuals for interest rate swaps and swap legs based on the Mizuho mocked-up sample data provided in the FIBO wiki. |
| IR Swaps | fibo-der-rtd-irswp | The package for data model objects derived from the IR Swaps ontology module. This ontology defines concepts specific to interest rate swap contracts, including but not limited to fixed and floating rate combinations, single and cross-currency contracts, etc. |
| Rate Derivatives | fibo-der-rtd-rtd | The package for data model objects derived from the Rate Derivatives ontology module. This ontology defines concepts that are common to derivatives based on variation in some defined variable, such as an economic rate, an interest rate or an index value. |
| DER-Security Based Derivatives | fibo-der-sbd | A package folder for DER-Security Based Derivatives |
| Equity Swaps | fibo-der-sbd-eqs | The package for data model objects derived from the Equity Swaps ontology module. This ontology defines concepts specific to swap contracts in which one leg gives some form of return on an equity asset, including dividend returns, total asset returns equity dispersion and correlation measurement terms. Many of these return calculations are based on a variety of calculation methods and may vary widely. |
| Security Based Derivatives | fibo-der-sbd-sbd | The package for data model objects derived from the Security Based Derivatives ontology module. This ontology defines common concepts for derivatives based on securities as their underliers, including those based on indices or baskets of these assets. |