SSPA Structured Products on Daml Finance

An implementation of Swiss structured products — as classified by the SSPA Swiss Derivative Map© 2026 — as DAML templates built on daml-finance, Digital Asset's open-source library for modeling financial instruments, lifecycle events, and settlement on DAML.

Status

SSPA category	Products	Status
11 — Capital protection	1100, 1130, 1135, 1140	Implemented (from scratch)
12 — Yield enhancement	1200, 1210, 1220, 1230, 1255, 1260	Implemented (1230/1255/1260 reuse daml-finance's own instruments)
13 — Participation	1300, 1310, 1320, 1330, 1340	Implemented (from scratch)
14 — Additional credit risk	1400, 1410, 1420, 1430	Implemented (from scratch)
20 — Leverage	2100, 2110, 2200, 2210, 2300	Implemented (2100/2200 reuse daml-finance's own instruments)

All 24 products across all 5 SSPA categories are implemented, and every one of them has a full Daml Script test suite (daml/Sspa/Test/, one file per category, 24 scenario functions covering ~40 sub-cases total — most products get both a "plain" and a barrier-breach/credit-event case) exercising the complete lifecycle → claim → settlement pipeline end-to-end, with real settled holding balances asserted against hand-computed expected amounts.

Product mapping

11 — Capital protection (daml/Sspa/CapitalProtection/)

Built from scratch on top of daml-finance's contingent-claims combinators (Daml.Finance.Claims.V3.Util.Builders, itself built on ContingentClaims.Core.V3.Claim), since daml-finance doesn't ship ready-made capital-protection instruments.

SSPA code	Product	Module	Payoff
1100	Capital Protection Note with Participation	Participation.daml	Protected principal + long call above strike
1130	Capital Protection Note with Barrier	Barrier.daml	Protected principal + up-and-out call, knock-out pays a fixed rebate
1135	Capital Protection Note with Twin Win	TwinWin.daml	Protected principal + call + down-and-in-out put (i.e. active until the barrier is breached), so both up and down moves earn participation as long as the barrier holds
1140	Capital Protection Note with Coupon	Coupon.daml	Protected principal + a coupon per period, floored at zero, driven by that period's underlying performance

Util.daml in the same directory holds the two claim-building helpers these products needed beyond what daml-finance already provides: a "pay a fixed rebate the first time a barrier is breached" claim, and a "floored performance coupon" claim.

12 — Yield enhancement (daml/Sspa/YieldEnhancement/)

SSPA code	Product	Module	Payoff
1200	Discount Certificate	DiscountCertificate.daml	Capped bond − short put (built from scratch)
1210	Barrier Discount Certificate	BarrierDiscountCertificate.daml	Capped bond − short down-and-in put (built from scratch)
1220	Reverse Convertible	ReverseConvertible.daml	Fixed-coupon bond − short put (built from scratch)
1230	Barrier Reverse Convertible	BarrierReverseConvertible.daml	Fixed-coupon bond − short down-and-in put — re-exports daml-finance's own Instrument.StructuredProduct.V0.BarrierReverseConvertible
1255	Conditional Coupon Reverse Convertible	ConditionalCouponReverseConvertible.daml	Autocallable with coupon-at-risk, no separate final-redemption barrier — re-exports daml-finance's own Instrument.StructuredProduct.V0.AutoCallable (parameterize with finalBarrier = putStrike)
1260	Conditional Coupon Barrier Reverse Convertible	ConditionalCouponBarrierReverseConvertible.daml	Same as 1255, plus a protective final-redemption barrier — re-exports the same AutoCallable (parameterize with finalBarrier < putStrike)

Where daml-finance already ships a battle-tested instrument for the exact economic structure a product needs (1230, 1255, 1260 are all bond/coupon-plus-barrier-option structures that Instrument.StructuredProduct.V0 already covers), the corresponding module here is a thin re-export rather than a reimplementation — see each file's header comment for the reasoning and the exact parameterization used to specialize the shared AutoCallable template into the two distinct SSPA codes 1255/1260.

13 — Participation (daml/Sspa/Participation/)

Built from scratch, on top of one shared building block: a plain, uncapped, unfloored 1:1 tracker claim (Util.daml's createTrackerClaim), which every product in this category layers barrier and/or option legs on top of.

SSPA code	Product	Module	Payoff
1300	Tracker Certificate	TrackerCertificate.daml	Plain 1:1 tracker
1310	Outperformance Certificate	OutperformanceCertificate.daml	Tracker + extra long call above strike (disproportionate upside)
1320	Bonus Certificate	BonusCertificate.daml	Tracker + long down-and-out put (bonus floor at nominal while the barrier holds)
1330	Bonus Outperformance Certificate	BonusOutperformanceCertificate.daml	Tracker + outperformance call + bonus down-and-out put (1310 + 1320 combined)
1340	Twin Win Certificate	TwinWinCertificate.daml	Tracker + 2×-scaled long down-and-out put (falling underlying converts to profit while the barrier holds)

20 — Leverage (daml/Sspa/Leverage/)

SSPA code	Product	Module	Payoff
2100	Warrant	Warrant.daml	Plain vanilla call/put — re-exports daml-finance's own Instrument.Option.V0.EuropeanCash
2110	Spread Warrant	SpreadWarrant.daml	Long option + short option at a further strike (call spread / put spread, built from scratch)
2200	Warrant with Knock-Out	WarrantWithKnockOut.daml	Barrier call/put, worthless on breach — re-exports daml-finance's own Instrument.Option.V0.BarrierEuropeanCash
2210	Mini-Future	MiniFuture.daml	Knock-out option struck at a financing level, small residual paid on a stop-loss breach (built from scratch; simplified — no daily financing-level reset)
2300	Constant Leverage Certificate	ConstantLeverageCertificate.daml	Constant leverage factor compounded period-over-period across a rebalancing schedule (built from scratch)

14 — Additional credit risk (daml/Sspa/CreditRisk/)

Every product here takes a category 11/12/13 product's claims and wraps each one with Util.daml's untilCreditEvent -- active only until a credit event of a third-party reference entity occurs, reusing Daml.Finance.Claims.V3.Util.Builders.createCreditEventPaymentClaims (and, for products with a periodic coupon, createConditionalCreditFixRatePaymentClaims) to add the one-off (1 - recoveryRate) * notional recovery payment paid out if/when it does.

SSPA code	Product	Module	Structure
1400	Credit Linked Notes	CreditLinkedNote.daml	A synthetic corporate bond: fixed coupon + principal, both credit-event-conditional; no equity underlying
1410	Conditional Capital Protection Note with additional credit risk	ConditionalCapitalProtectionNote.daml	1100 (protected principal + call), credit-event-conditional
1420	Yield Enhancement Certificate with additional credit risk	YieldEnhancementCertificate.daml	1220 (fixed-coupon bond + short put), credit-event-conditional
1430	Participation Certificate with additional credit risk	ParticipationCertificate.daml	1300 (plain tracker), credit-event-conditional

Architecture

Every from-scratch instrument follows the same shape (mirroring how daml-finance's own Instrument.StructuredProduct.V0 package is built):

• A template Instrument implementing:
  • Daml.Finance.Interface.Claims.V4.Claim.I — getClaims returns the product's payoff as a list of tagged contingent claims trees (Zero/One/Give/And/Or/Scale/When/Until/Cond/...), built by composing Daml.Finance.Claims.V3.Util.Builders functions (vanilla/barrier options, fixed-rate coupons, FX-adjusted principal) with a small amount of product-specific glue in each category's Util.daml.
  • Daml.Finance.Interface.Instrument.Base.V4.Instrument.I — the generic instrument identity (InstrumentKey) that holdings reference.
  • Daml.Finance.Interface.Claims.V4.Dynamic.Instrument.I — lets the lifecycling engine version the instrument forward in time as events are processed.
  • Daml.Finance.Interface.Util.V3.Disclosure.I — observer management.
• A template Factory with an Originate choice that creates the Instrument and registers its by-key Reference (required by the lifecycling/claiming machinery, which addresses instruments by InstrumentKey rather than ContractId).

This is a full lifecycle + settlement integration, not just a payoff calculator: instruments are actually lifecycled over time via Daml.Finance.Claims.V3.Lifecycle.Rule.Evolve (driven by time-clock events and NumericObservable price fixings), the resulting Effects are claimed against real holdings via Daml.Finance.Lifecycle.V4.Rule.Claim.ClaimEffect, and the resulting settlement Batch is actually settled (Daml.Finance.Settlement.V4.Batch.Settle), moving cash between real Account/Holding contracts on-ledger. See daml/Sspa/Test/ for worked end-to-end examples.

Building

This project uses Nix flakes to provide the DAML SDK and daml-finance dependency dars without requiring a separate manual daml install. If your nix install doesn't already have flakes enabled globally, pass --extra-experimental-features "nix-command flakes" on every command below (or add experimental-features = nix-command flakes to your nix.conf once, and drop the flag).

Compile the project into a .dar (a pure, sandboxed build — no manual setup needed):

$ nix build

The compiled sspa-structured-products-0.1.0.dar is written to result/.

For interactive development (running daml studio, daml script, daml test, editing files and rebuilding repeatedly), enter a dev shell instead — this also gets you daml/damlc on PATH, a .lib/daml-finance/ directory populated with the exact data-dependencies dars daml.yaml expects, and a best-effort compiled dar symlinked into dist/ (rebuilt every time you re-enter the shell; entering the shell always succeeds even if the project doesn't currently compile, so you can fix a build error from inside it):

$ nix develop
$ daml build
$ daml test        # runs the Daml Script test suite under daml/Sspa/Test/

Both paths pin the exact same DAML SDK (2.10.0) and daml-finance bundle (sdk/2.10.0) release by content hash, fetched from their official GitHub releases (digital-asset/daml and digital-asset/daml-finance) — no separate daml installation, and no Artifactory/enterprise credentials, required.

Disclaimer

This is a sample/reference implementation for illustrating how the SSPA Swiss Derivative Map© taxonomy can be modeled on daml-finance. It is not affiliated with, endorsed by, or reviewed by the Swiss Structured Products Association (SSPA), SIX, or Avaloq, and it does not constitute investment advice, a decision basis for any investment, or a complete/audited implementation of any real-world structured product. Product economics here are simplified for clarity and should not be relied upon for pricing, risk, or legal purposes.