Certified Compilation of Financial Contracts

TL;DR

This paper introduces a certified system for managing and pricing financial contracts using verified compilation, templating, and integration with stochastic models, verified in Coq and implemented in Haskell and Futhark.

Contribution

It extends a financial contract management system with templating and verified compilation into payoff expressions, enabling reusable contracts and integration with stochastic simulation.

Findings

Verified in Coq, ensuring correctness.

Implemented in Haskell and Futhark for practical use.

Enhanced contract reusability and simulation integration.

Abstract

We present an extension to a certified financial contract management system that allows for templated declarative financial contracts and for integration with financial stochastic models through verified compilation into so-called payoff-expressions. Such expressions readily allow for determining the value of a contract in a given evaluation context, such as contexts created for stochastic simulations. The templating mechanism is useful both at the contract specification level, for writing generic reusable contracts, and for reuse of code that, without the templating mechanism, needs to be recompiled for different evaluation contexts. We report on the effect of using the certified system in the context of a GPGPU-based Monte Carlo simulation engine for pricing various over-the-counter (OTC) financial contracts. The full contract-management system, including the payoff-language compilation, is verified in the Coq proof assistant and certified Haskell code is extracted from our Coq development along with Futhark code for use in a data-parallel pricing engine.