DSLs (Domain Specific Languages) in Finance

Question

Has anyone worked with DSLs (Domain Specific Languages) in the finance domain? I am planning to introduce some kind of DSL support in the application that I am working on an

Answer 1

Domain specific languages (DSLs) are most commonly used to represent financial instruments. The canonical paper is Simon Peyton Jones' Composing Contracts: an Adventure in Financial Engineering which represents contracts using a combinator library in Haskell. The most prominent use of the combinator approach is LexiFi's MLFi language, which is built on top of OCaml (their CEO, Jean-Marc Eber, is a co-author on the Composing Contracts paper). Barclay's at one point copied the approach and described some additional benefits, such as the ability to generate human-readable mathematical pricing formulas (Commercial Uses: Going Functional on Exotic Trades).

DSLs for financial contracts are typically built using an embedding in a functional language such as Haskell, Scala, or OCaml. The uptake of functional programming languages in the financial industry will continue to make this approach attractive.

In addition to representing financial instruments, DSLs are also used in finance for:

• Modeling financial entities with ontology languages (Financial Industry Business Ontology)
• Replacing computations typically described using spreadsheets (http://doi.acm.org/10.1145/1411204.1411236)
• Modeling pension plans (Case Study: Financial Services)
• Analyzing financial market data (The Hedgehog Language)

I maintain a complete list of financial DSLs papers, talks, and other resources at http://www.dslfin.org/resources.html.

If you'd like to meet professionals and researchers working with DSLs for financial systems, there's an upcoming workshop on October 1st at the MODELS 2013 conference in Miami, Florida: http://www.dslfin.org/