Presentation: "Haskell and DSLs for derivatives pricing"
Time: Wednesday 11:00 - 12:00
Location: Abbey Room
Creating a new pricing model for a financial derivative model consists of plumbing together generic low level analytics and creating a user friendly interface for the model.
The low level analytics is typically written in C++ and the user interface is often Excel.
We have developed a domain specific embedded language in Haskell for creating procing models.
The programmer of the pricing model make a high level description of how the put the analytics together and what the user interface should look like, and from this the pricing model is generated.
The features of Haskell we have used will be explained during the talk, so little or no knowledge of Haskell is needed.