The New York Functional Programmers November Meetup (2007)

"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[2]. 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.