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Commercial uses: Going functional on exotic trades

Part of: JFP Research Articles

Published online by Cambridge University Press:  01 January 2009

SIMON FRANKAU ,
DIOMIDIS SPINELLIS ,
NICK NASSUPHIS  and
CHRISTOPH BURGARD
SIMON FRANKAU
Affiliation:
Barclays Capital, 5 The North Colonnade, London E14 4BB, UK (e-mail: Simon.Frankau@barclayscapital.com)
DIOMIDIS SPINELLIS
Affiliation:
Athens University of Economics and Business, Patision 76, GR 104 34, Athens, Greece (e-mail: dds@aueb.gr)
NICK NASSUPHIS
Affiliation:
Barclays Capital, 5 The North Colonnade, London E14 4BB, UK (e-mail: Nick.Nassuphis@barclayscapital.com, Christoph.Burgard@barclayscapital.com)
CHRISTOPH BURGARD
Affiliation:
Barclays Capital, 5 The North Colonnade, London E14 4BB, UK (e-mail: Nick.Nassuphis@barclayscapital.com, Christoph.Burgard@barclayscapital.com)
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Abstract

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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.

Information

Type
Articles
Information
Journal of Functional Programming , Volume 19 , Issue 1 , January 2009 , pp. 27 - 45
Copyright
Copyright © Cambridge University Press 2008

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