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  • Cited by 6
  • Cited by
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    This article has been cited by the following publications. This list is generated based on data provided by CrossRef.
    Egelund-Müller, Benjamin Elsman, Martin Henglein, Fritz and Ross, Omri 2017. Automated Execution of Financial Contracts on Blockchains. Business & Information Systems Engineering, Vol. 59, Issue. 6, p. 457.
    Nalinda, Chamin and Keppitiyagama, Chamath 2017. Domain specific language for specifying operations of a central counterparty. p. 1.
    Biryukov, Alex Khovratovich, Dmitry and Tikhomirov, Sergei 2017. Financial Cryptography and Data Security. Vol. 10323, Issue. , p. 453.
    Finkbeiner, Bernd Klein, Felix Piskac, Ruzica and Santolucito, Mark 2017. Vehicle Platooning Simulations with Functional Reactive Programming. p. 43.
    Bahr, Patrick Berthold, Jost and Elsman, Martin 2015. Certified symbolic management of financial multi-party contracts. ACM SIGPLAN Notices, Vol. 50, Issue. 9, p. 315.
    Bahr, Patrick Berthold, Jost and Elsman, Martin 2015. Certified symbolic management of financial multi-party contracts. p. 315.
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Commercial uses: Going functional on exotic trades

  • SIMON FRANKAU (a1), DIOMIDIS SPINELLIS (a2), NICK NASSUPHIS (a3) and CHRISTOPH BURGARD (a3)
Abstract

The Functional Payout Framework (fpf) is a Haskell application that uses an embedded domain-specific functional language to represent and process exotic financial derivatives. Whereas scripting languages for pricing exotic derivatives are common in banking, fpf uses multiple interpretations to not only price such trades, but also to analyse the scripts to provide lifecycle support and more. This paper discusses fpf in relation to the wider trading workflow and our experiences in using a functional language in such a system as both an implementation language and a domain-specific language.

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COPYRIGHT: © Cambridge University Press 2008
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Journal of Functional Programming
  • ISSN: 0956-7968
  • EISSN: 1469-7653
  • URL: /core/journals/journal-of-functional-programming
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  • Cited by 6
  • Cited by
    Crossref Citations
    Crossref logo
    This article has been cited by the following publications. This list is generated based on data provided by CrossRef.
    Egelund-Müller, Benjamin Elsman, Martin Henglein, Fritz and Ross, Omri 2017. Automated Execution of Financial Contracts on Blockchains. Business & Information Systems Engineering, Vol. 59, Issue. 6, p. 457.
    Nalinda, Chamin and Keppitiyagama, Chamath 2017. Domain specific language for specifying operations of a central counterparty. p. 1.
    Biryukov, Alex Khovratovich, Dmitry and Tikhomirov, Sergei 2017. Financial Cryptography and Data Security. Vol. 10323, Issue. , p. 453.
    Finkbeiner, Bernd Klein, Felix Piskac, Ruzica and Santolucito, Mark 2017. Vehicle Platooning Simulations with Functional Reactive Programming. p. 43.
    Bahr, Patrick Berthold, Jost and Elsman, Martin 2015. Certified symbolic management of financial multi-party contracts. ACM SIGPLAN Notices, Vol. 50, Issue. 9, p. 315.
    Bahr, Patrick Berthold, Jost and Elsman, Martin 2015. Certified symbolic management of financial multi-party contracts. p. 315.
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  • Get access
    Add to cart USD35.00
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Commercial uses: Going functional on exotic trades

  • SIMON FRANKAU (a1), DIOMIDIS SPINELLIS (a2), NICK NASSUPHIS (a3) and CHRISTOPH BURGARD (a3)
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