Composable financial contracts in Haskell, priced by models written in Futhark. Contracts are built from the combinators of Peyton Jones et al. [1] and valued by a pricing model, in the spirit of [2] and [3].
nix develop # GHC, cabal, futhark, futhask
cabal build # Setup.hs regenerates the Futhark bindings as needed
cabal test # validates the models against Miletus' reference data
cabal run models -- bs # or: crr | jr | jrrn | tian | mc | lsmc | lattice[1]: Peyton Jones, S., et al.: Composing contracts: An adventure in financial engineering, (functional pearl). In: Proceedings of the Fifth ACM SIGPLAN ICFP. ACM (2000)
[2]: Ahnfelt-Rønne, J., Flænø Werk, M: Pricing composable contracts on the GP-GPU, Department of Computer Science, University of Copenhagen, August 17, 2011
[3]: Miletus, https://github.com/JuliaComputing/Miletus.jl