Like many members of this audience, we’ve been using functional programming in several places for several years. In our case, this happened in finance institutions, in their front office.
FO users, traders and structures, fellow quants can be a hard public: as we lived this adventure both as a trader/structurer and as a quant, we can relate to conflicting goals and mindsets.
Our presentation will focus on the following key points:
For each user category, we will illustrate some practical scenarios where functional programming brought us added value, while trying to share a realistic view of the bigger picture - support, non-FO IT, audit…
Specifically, we will go though a few applications/frameworks we developed, mainly, in Haskell and F# for both flow and structured products across several asset classes: