Journal of Functional Programming

Articles

Commercial uses: Going functional on exotic trades

SIMON FRANKAUa1, DIOMIDIS SPINELLISa2, NICK NASSUPHISa3 and CHRISTOPH BURGARDa3

a1 Barclays Capital, 5 The North Colonnade, London E14 4BB, UK (e-mail: Simon.Frankau@barclayscapital.com)

a2 Athens University of Economics and Business, Patision 76, GR 104 34, Athens, Greece (e-mail: dds@aueb.gr)

a3 Barclays Capital, 5 The North Colonnade, London E14 4BB, UK (e-mail: Nick.Nassuphis@barclayscapital.com, Christoph.Burgard@barclayscapital.com)

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.