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The default case in Haskell

Explore lessons learned from using Haskell in counterparty risk calculations at ABN AMRO bank, including project overview, Exion simulation tool, strengths, weaknesses, and performance insights.

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The default case in Haskell

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  1. The default case in Haskell Counterparty Risk Calculations at ABN AMRO bank Cyril Schmidt Anne-Elisabeth Tran Qui ABN AMRO

  2. Overview • Project Overview • Haskell’s Strong Points • Haskell’s Weak Points • Lessons Learned

  3. Project Overview: What is Counterparty Risk ? • A financial contract can be valued • If the counterparty defaults (goes bankrupt), the contract terminates • To quantify the counterparty risk, we have to know what the contract is worth under future market conditions

  4. Project Overview: Exion • Exion is a Monte Carlo simulation tool • Simulates future market scenarios • For each scenario, calculates the value of the contract • Calculates the counterparty risk

  5. Stock price 50 40 30 20 10 0 08-02-04 08-02-18 08-06-23 08-01-07 08-01-21 08-03-03 08-03-17 08-03-31 08-04-14 08-04-28 08-05-12 08-05-26 08-06-09 08-07-07 08-07-21 08-08-04 08-08-18 08-09-01 08-09-15 08-09-29 07-10-01 07-12-24 07-10-15 07-10-29 07-11-12 07-11-26 07-12-10 Option price 20 15 10 5 0 08-02-04 08-02-18 08-01-07 08-01-21 08-03-03 08-03-17 08-03-31 08-04-14 08-04-28 08-05-12 08-05-26 08-06-09 08-06-23 08-07-07 08-07-21 07-12-24 08-09-29 07-10-01 07-10-15 07-10-29 07-11-12 07-11-26 07-12-10 08-08-04 08-08-18 08-09-01 08-09-15 Project Overview: Monte Carlo

  6. Core Plugin 1 Plugin 2 Plugin 3 Plugin 4 Project Overview: Exion Structure

  7. Project Overview: Exion Plugins • Many different financial contracts • New contracts are often introduced • Plugins are developed by quantitative analysts • A language to write plugins • Haskell is a natural choice

  8. Haskell’s Strong Points • Similarity to mathematical notation • Expressive power • Robustness • Development speed

  9. Haskell’s Weak Points • Performance • Documentation and resources • Profiling and Debugging • Tools

  10. Lessons Learned • Haskell improves development productivity • Haskell requires less regression testing than C++ • Performance needs to be tracked • Bottlenecks can be rewritten in C++ • Rapid progress of development environment

  11. Questions ? • Anne-Elisabeth Tran Qui • anne-elisabeth.tran.qui@nl.abnamro.com • Cyril Schmidt • cyril.schmidt@nl.abnamro.com

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