Domain Specific Language for Specify Operations of a Central Counterparty
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The document discusses the development of a domain-specific language (DSL) for the finance sector, focusing on defining and managing contracts for central counterparties (CCPs). It outlines the history and complexity of financial markets, the need for a unified approach to contract specifications, and the application of the Haskell Contract Combinator Library. The research aims to explore the possibility of using a formalized DSL to streamline the operations of CCPs and improve derivative management.
![DSL for Finance Sector[Cntd]
Motivation](https://image.slidesharecdn.com/11000058interimpresentationv2-150905095634-lva1-app6891/85/Domain-Specific-Language-for-Specify-Operations-of-a-Central-Counterparty-8-320.jpg)
Domain Specific Language for Specify Operations of a Central Counterparty
- 1. L.G.H.C. Nalinda 2011CS005 11000058 Domain Specific Language to Specify Operations of a Central Counterparty Supervisor: Dr. Chamath Keppetiyagama
- 2. Road Map ▷Financial Markets ▷Motivation ▷Haskell Contract Combinator Library (HCCL) ▷Composing Contracts ▷Central Counterparty (CCP) ▷Research Hypothesis ▷Research Literature ▷Architecture ▷Evaluation ▷Progress
- 4. Financial Markets ▷Vital Governing Sector in Global Economy – Economic Wealth is Presented ▷Early days Cheque clearing .Deposit/Withdraw Today More Complicated Operations ▷Stakeholders & Financial Institutes Different stakeholder interests Different Operations Linked to each other
- 5. Stakeholder Interests vs Economic Stability ▷History Enron 2007 2008 Crisis Greek Crisis ▷Minimize Risk– Effective Derivative Management ▷Computer Science Big Data Data Mining Real Time Analytics Neural Networks ++ Financial Markets
- 6. Motivation
- 7. DSL for Finance Sector ▷ Define Finance Contracts / Finance Derivatives Each Derivative Different Definitions (No Unified Approach) Tedious Task – Uncertainty, Complexity ++ Processing is More Complex ▷DSL for Finance Sector Unified Mechanism for Defining Contracts DSL to Embed Properties of Contracts ▷Benefits Simple Valuation … Complex Back-End Operation Management Motivation
- 8. DSL for Finance Sector[Cntd] Motivation
- 10. Peyton Jones, Marc-Eber, Julian (2000) ▷Fixed, Precisely Specified Set of Combinators (Unified Mechanism) ▷Describe a Contract ▷Process a Contract ▷Find Value of a Contract ▷Compositional Nature – (Can Glue Combinators Together) Contract Primitives + Observable Primitives IntroductionHCCL
- 11. Primitives for Defining Contracts | HCCL IntroductionHCCL
- 12. Primitives for Defining Observables IntroductionHCCL
- 14. Composing ZCB “Receive £200 on Future Date t1” C1 = one GBP C2 = truncate t1 (one GBP) = truncate t1 (C1) C3 = scale 200 (truncate t1(one GBP)) = scale 200 (C2) C4 = get (scale 200 (truncate t1(one GBP))) get (C3) IntroductionComposing Contracts ZCB :: Date -> Double -> Currency -> Contract
- 15. Contract Definitions IntroductionComposing Contracts ▷ZCB :: Date Double Currency Contract ▷EU_OPTION :: Date Contract Contract ▷AMERICAN_OPTION :: (Date,Date) Contract Contract
- 19. Operations of CCP ▷Rule Book MX | LCH | CBOT ▷Margin Calculation Purpose : No Counterparty Default Occur At the End of Each Business Day . ▷Possibilities Dr. Trader Account Cr. Trader Account Restate to Initial Margin Methodology
- 20. Rule 9102 – Long Option Position Margin Requirement . Methodology the period to expiry is greater or equal to 9 months, 50% of the option’s time value, else 100% of the option’s time value Future Cash Flow .
- 22. If we can use Peyton Jones’s language to compose FC/FD, we can use the same language to compose CCP Rules
- 23. Specify Operations of a CCP Using a Domain Specific Language approach
- 25. Attempts to Define a Language ▷Lee – Language for Electronics Contracts … Common Logic Model ▷Deursen – Define a Formalized DSL - Highlight the Implications of such DSL - Tool Bus Architecture (proposed solutions) - RISLA Finance Product Can Describe by it’s Cash Flow IntroductionResearch Literature ▷LexiFi, ▷HiperFit (http://hiperfit.dk/)
- 26. Peyton Jones, Marc-Eber, Julian (2000) ▷Fixed, Precisely Specified Set of Combinators ▷Describe a Contract ▷Process a Contract ▷Find Value of a Contract ▷Compositional Nature Contract Primitives + Observable Primitives IntroductionResearch Literature
- 27. Complex Derivatives ▷Mediratta – Credit Default Swap & Power Reverse Dual Currency Swap ▷Valuation – evalC :: Model Contract - evalO :: Model Contract More Complex Derivatives Can Compose Using Fixed Set of Combinators & Observables While Preserving Uniqueness of the Contract IntroductionResearch Literature
- 28. Software Language Approach ▷Peyton – Justify that FP Approach Can Use to Define and Value Derivatives - Lacking Highlighting SE Language Concepts - No Unified Approach ▷Gaillourdet – HCCL in a SW Language Point of View - Provided a Formal Definition for the Language (Syntax) Syntax of Observables Syntax of Contract - Denotational Semantics Observables Contracts IntroductionResearch Literature
- 29. Environment ▷Facts About Observables and Choices – Symbolic Management of Derivatives - External to the FC/FD - Direct impact on the FC/FD IntroductionResearch Literature
- 30. Summery IntroductionResearch Literature DSL for Finance Sector Has been a Major Requirement Since Early Days Payton, Eber, Julian HCCL Mediratta Complex Derivatives Gaillourdet Software Language Approach Bahr, Jost, Elsman Symbolic Management of Finance Contracts & Symbolic Management of Multiparty Contracts CCP Operations Have Not Yet Addressed using DSL Approach
- 31. Architecture
- 34. Rule | Design Architecture IntroductionArchitecture
- 35. Rule | Hypothesis IntroductionArchitecture ▷Rule_9102 :: DEPENDENT_FACTORS Contract ▷Factors Identified - Maturity - Current Date - Position - Options Time Value ++
- 36. Seed Contract | Outcome of Hypothesis IntroductionArchitecture
- 37. Seed Contract | Outcome of Hypothesis IntroductionArchitecture
- 39. Derivative Management ▷Seed -> Grow over “n” Periods ▷Comparison of Contracts ▷Comparison of Periods ▷Symbolic Contract Management - Speicialization - Reduction ▷Derive unseen Derivatives Architecture
- 40. Evaluation
- 41. The Extent to Which the Proposed Hypothesis can be Used to Define Operations of CCP
- 42. Progress
- 43. Completed ▷Research Literature ▷Architecture ▷Constructing Core Level Contracts (https://github.com/CoolCK/Finance_Contracts_Haskell) ▷Partial Contract Implementation ▷Construction of Rule Using HCCL ▷Finalizing Seed Contract ▷Generate All Possible Results Progress Work In Progress
- 44. THANK YOU
- 45. Q&A