Functional Programming in Financial Markets by Damián Soriano

Damián Soriano discusses how Standard Chartered Bank uses a custom Haskell dialect and compiler to power its financial markets tech stack.

In this talk we showcase the application of functional programming in a very large industrial setting. At Standard Chartered Bank, Haskell forms the core of a software library supporting the entire Financial Markets (FM), a business line with 5.7 billion USD operating income in 2022. Typed functional programming is used across the entire tech stack, including foundational APIs and CLIs for deal valuation and risk analysis, server-side components for long-running batches or sub-second RESTful services, and end-user GUIs. Thousands of users interact with software built using functional programming, and over one hundred write their own functional code. We present the history of how functional programming established itself in FM, including the rationale for having our own compiler and dialect of Haskell. We then focus on how we leverage it to orchestrate type-driven large-scale pricing workflows. The same API can be used to price one trade locally, or millions of trades across thousands of nodes in the cloud. We build upon decades of research and experience in the functional programming community, relying on concepts such as monads, lenses, datatype generics, and closure serialisation. Damián Soriano Damian pursued a Licentiate in Computer Science, completing a comprehensive 5-year program at Universidad Nacional de Rosario, Argentina. Subsequently, he achieved a Master of Science in Computer Engineering from Politecnico di Milano, Italy. In September 2017, he joined Standard Chartered Bank, where he currently serves as a Senior Quantitative Developer within the Strats team. Damian's professional background encompasses diverse experiences across various companies in Argentina, Italy, and the United Kingdom, prior to his tenure at Standard Chartered. linkedin.com/in/damiansoriano/ Video sponsor – Ada Beat adabeat.com Merch If you want to spread functional programming and support the channel, buy something from the shop: funcprogsweden.myspreadshop.net/ The chapters: 00:00 Welcome to Func Prog Sweden by Magnus Sedlacek 00:57 Thanks Ada Beat for sponsoring the video stream production 02:40 Welcome Damián Soriano 03:11 Agenda for Functional Programming in Financial Markets by Damián Soriano 03:59 Financial Markets 10:46 Functional programming in Finance 13:42 Cortex 18:12 Cortex - Mu and its key difference from Haskell 23:27 Cortex - Mu complier pipeline 25:16 Widget – GUI Library with two styles 30:29 Widget - Two UI Backends 31:00 QuickRisk 36:13 Shepard 41:50 Conclusion 44:54 Q & A