Linear Types for Cashflow Reengineering

  • Torben Æ Mogensen
Part of the Lecture Notes in Computer Science book series (LNCS, volume 2890)

Abstract

A while back a major Danish bank approached the programming language group at DIKU for help on designing a language for modelling cash flow reengineering: The process of issuing customised bonds based on income from existing bonds. The idea was to have a simple language that allows non-programmers to describe such reengineering and run statistical simulations of the structures.

We describe the problem and present the design of a cashflow-reengineering language based on the dataflow paradigm and linear types. This language has formed the basis of further development by the bank in question and a variant of it is now in use there.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. 1.
    Adobe postscript 3 home page, http://www.adobe.com/products/postscript/
  2. 2.
    Anand, S., Chin, W.-N., Khoo, S.-C.: Charting patterns on price history. In: International Conference on Functional Programming, pp. 134–145 (2001)Google Scholar
  3. 3.
    Barendsen, E., Smetsers, S.: Uniqueness typing for functional languages with graph rewriting semantics. In: Mathematical Structures in Computer Science, vol. 6, pp. 579–612 (1997)Google Scholar
  4. 4.
    Bjesse, P., Claessen, K., Sheeran, M., Singh, S.: Lava: Hardware design in Haskell. In: ICFP 1998 (1998)Google Scholar
  5. 5.
    Boyle, P., Broadie, M., Glasserman, P.: Monte Carlo methods for security pricing. Journal of Economic Dynamics and Control 21(1267) (1997)Google Scholar
  6. 6.
    Date, C.J., Darwen, H.: A Guide to The SQL Standard, 3rd edn. Addison-Wesley, Reading (1993)Google Scholar
  7. 7.
    Girard, J.-Y.: Linear logic. Theoretical Computer Science (50), 1–102 (1987)Google Scholar
  8. 8.
    Jones, S.P., Eber, J.-M., Seward, J.: Composing contracts: an adventure in financial engineering. In: ICFP 2000. ACM Press, New York (2000)Google Scholar
  9. 9.
    Treleaven, P.C., Hopkins, R.P.: Data-driven and demand-driven computer architecture. ACM Computing Surveys 14(1) (1982)Google Scholar
  10. 10.
    Turner, D.N., Wadler, P., Mossin, C.: Once upon a type. In: FPCA 1995, pp. 1–11. ACM Press, New York (1995)CrossRefGoogle Scholar
  11. 11.
    van Deursen, A.: Domain-specific languages versus object-oriented frameworks: A financial engineering case study. In: Smalltalk and Java in Industry and Academia, STJA 1997, pp. 35–39 (1997)Google Scholar
  12. 12.
    van Deursen, A., Klint, P., Visser, J.: Domain-specific languages: An annotated bibliography. SIGPLAN Notices 35(6), 26–36 (2000)CrossRefGoogle Scholar
  13. 13.
    Wadler, P.: Linear types can change the world! In: Programming concepts and methods, North-Holland, Amsterdam (1990)Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Torben Æ Mogensen
    • 1
  1. 1.DIKUUniversity of CopenhagenCopenhagen ODenmark

Personalised recommendations