Scala at EDF Trading: Implementing a Domain-Specific Language for Derivative Pricing with Scala

  • Lee Momtahan EDF Trading
September 04, 2009 10:30 - 11:00 AM

Abstract

In this talk I shall explain how Scala has been used at EDF Trading. We have used Scala to implement Diesel: a domain-specific language used within our in-house system for pricing/risk-managing/hedging commodity derivatives. Diesel can represent commodity derivatives naturally and can then be executed to perform a Monte Carlo simulation. Compared to writing derivative-specific Monte Carlo simulations in a general-purpose computer language, the per-derivative development time has been reduced from weeks to hours.

We have been using Scala within a large code base of 300k lines of Java on a on a business-critical, production system, where performance requirements are key. Based on this experience, the second part of the talk will discuss the suitability of Scala for use within this context, comparing the risks of using a niche language against its productivity benefits.