Lambda the Ultimate

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.

Section 3 is a nice discussion of why Haskell was chosen. Section 4 illustrates one of the major benefits of using DSLs, namely that different backends can be applied to programs written in the DSL, allowing various types of runtime behavior and analysis without the need to re-code each program for each purpose (thus n+m, rather than n*m programs).

Another topic that may be worth discussing is the authors' dislike of point free style.

What we really need, of course, are DSLs for financial regulation (and possibly for specifying various definitions of honesty), but that's a separate issue...