Functional Financial Contracts in Haskell and OCaml
This talk will discuss the approach to modeling financial contracts
originally presented in the paper "Composing contracts: an adventure in
financial engineering" by Peyton Jones, Eber and Seward. According
to the paper's abstract:
"Financial and insurance contracts do not sound like promising
territory for functional programming and formal semantics, but in fact
we have discovered that insights from programming languages bear
directly on the complex subject of describing and valuing a large class
of contracts."We introduce a combinator library that allows us to describe such
contracts precisely, and a compositional denotational semantics that
says what such contracts are worth. We sketch an implementation of our
combinator library in Haskell. Interestingly, lazy evaluation plays a
crucial role."
The approach described in the paper provides a precise way to specify
financial contracts, value them, and process their evolution through
time. To achieve this, it uses a domain-specific embedded language,
exploiting concepts and techniques from programming language theory.
The talk will provide an overview of this approach and its advantages,
along with a simple implementation of the core concepts in the paper,
presented in Haskell and OCaml. The programming language theory
features exploited by the paper will be analyzed.
No prior knowledge of financial contracts or programming language theory
is required, but some knowledge of a functional programming language
such as Haskell or ML will help.