Abstract
We present an extension to a certified financial contract management system that allows for templated declarative financial contracts and for integration with financial stochastic models through verified compilation into so-called payoff-expressions. Such expressions readily allow for determining the value of a contract in a given evaluation context, such as contexts created for stochastic simulations. The templating mechanism is useful both at the contract specification level, for writing generic reusable contracts, and for reuse of code that, without the templating mechanism, needs to be recompiled for different evaluation contexts. We report on the effect of using the certified system in the context of a GPGPU-based Monte Carlo simulation engine for pricing various over-the-counter (OTC) financial contracts. The full contract-management system, including the payoff-language compilation, is verified in the Coq proof assistant and certified Haskell code is extracted from our Coq development along with Futhark code for use in a data-parallel pricing engine.
| Original language | Undefined/Unknown |
|---|---|
| Title of host publication | Proceedings of the 20th International Symposium on Principles and Practice of Declarative Programming |
| Place of Publication | New York, NY, USA |
| Publisher | Association for Computing Machinery |
| Publication date | 3 Sept 2018 |
| Pages | 5:1-5:13 |
| ISBN (Print) | 978-1-4503-6441-6 |
| DOIs | |
| Publication status | Published - 3 Sept 2018 |
| Event | 20th International Symposium on Principles and Practice of Declarative Programming : PPDP 2018 - Frankfurt am Main, Germany Duration: 3 Sept 2018 → 5 Sept 2018 |
Conference
| Conference | 20th International Symposium on Principles and Practice of Declarative Programming |
|---|---|
| Country/Territory | Germany |
| City | Frankfurt am Main |
| Period | 03/09/2018 → 05/09/2018 |