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...

Edward A. Lee, Computing Needs Time, Communications of the ACM, Volume 52, Issue 5 (May 2009).

The foundations of computing, rooted in Turing, Church, and von Neumann, are about the transformation of data, not about physical dynamics. This paper argues that we need to rethink the core abstractions if we really want to integrate computing with physical processes. In particular, I focus on a key aspect of physical processes that is almost entirely absent in computing, the passage of time. This is not just about “real-time systems,” which accept the foundations and retrofit them with temporal properties. Although that technology has much to contribute, I will argue that it cannot solve the problem alone because it is built on flawed foundations.

The section of most direct relevance to LtU is probably section 5.2 on programming languages, which opens by saying:

Programming languages provide an abstraction layer above the ISA. If the ISA is to expose selected temporal properties, and programmers wish to exploit this, then one approach would be to reflect these in the languages.

Also potentially of interest to the LtU readership is section 5.4 on formal methods, which closes by asserting that

...type systems are formal methods that have had enormous impact. What is needed is time systems with the power of type systems.

Note: The "Tagged Signal" meta-model of computation mentioned in section 3 of the paper was previously discussed on LtU here.