Nguyen Huu-Hai (Standard Chartered) – Functional Programming in Financial Markets

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Mr. Nguyen Huu-Hai from Standard Chartered

Nguyen Huu-Hai, core strats team, Standard Chartered

Abstract

In this talk we showcase the application of functional programming in a very large industrial setting. At Standard Chartered Bank, Haskell forms the core of a software library supporting the entire Financial Markets (FM), a business line with 5.7 billion USD operating income in 2022. Typed functional programming is used across the entire tech stack, including foundational APIs and CLIs for deal valuation and risk analysis, server-side components for long-running batches or sub-second RESTful services, and end-user GUIs. Thousands of users interact with software built using functional programming, and over one hundred write their own functional code.

We present the history of how functional programming established itself in FM, including the rationale for having our own compiler and dialect of Haskell. We then focus on how we leverage it to orchestrate type-driven large-scale pricing workflows. The same API can be used to price one trade locally, or millions of trades across thousands of nodes in the cloud. We build upon decades of research and experience in the functional programming community, relying on concepts such as monads, lenses, datatype generics, and closure serialisation.

Disclaimer
The opinions expressed are the presenter’s own and do not reflect the view of the current or previous employers.

Speaker’s Profile

Huu-Hai did his undergraduate in Bach Khoa University, Ho Chi Minh City, Viet Nam. He obtained his PhD in Computer Science at National University of Singapore, working on program verification. He joined Standard Chartered in 2009 in the Core Strats team and has been with the same team since.

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