Towards Certified Management of Financial Contracts∗

Banks and financial institutions nowadays often use domain-specific languages (DSLs) for describing complex financial contracts, in particular, for specifying how asset transfers for a specific contract depend on underlying observables, such as interest rates, currency rates, and stock prices. The seminal work by Peyton-Jones and Eber on financial contracts [4] shows how an algebraic approach to contract specification can be used for valuation of contracts (when combined with a model of the underlying observables) and for managing how contracts evolve under so-called fixings and decision-taking, with the contracts eventually evaporating into the empty contract, for which no party have further obligations. The ideas have emerged into Eber’s company LexiFi, which has become a leading software provider for a range of financial institutions, with all contract management operations centralised around a domainspecific contract language hosted in MLFi [3], a derivative of the functional programming language OCaml. In this paper, we present a small simple contract language, which rigorously relegates any artefacts of modelling and computation from its core. The language shares the same vision as the previously mentioned work with the addition that it (a) allows for specifying multiparty contracts (such as entire portfolios), (b)