F# IN FINANCE TOUR
Phillip Trelford
Trayport Ltd
F# in Finance 2013

F#UNCTIONAL LONDONERS
Founded Feb 2010
600+ Members
50+ Meetups
3 Conferences
Topics
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Finance
Machine Learning
Reactive Programming
Functional Programming

F# GROUPS WORLDWIDE

SECTORS
Prop
shops
Hedge
funds
Investment Banks
Utilities
Insurance

TIME TO MARKET
We are using F# because it considerably increases speed of
software development which is crucial for a small company with
limited development resources.
Boston-based Financial Services Firm

EFFICIENCY
F# … to reduce the amount of code required and its simplicity when
developing massive parallel computations. The performance is
phenomenal. We can now re-calculate the entire bank portfolio from scratch
in less than a second
Handelsbanken

CORRECTNESS
The efficient use of functional programming throughout the R&D cycle
helped make the cycle faster and more efficient. Less time was spent on
translating requirements, miscommunications etc. and more on producing a
fast and accurate solution quickly.
CME Group

COMPLEXITY
We have set up a complete risk management system that combines several
data sources…
When the calculation requires a proper algorithm (i.e. anything that is more
complex than a simple for loop), our choice has been F#.
London-Based Asset Management Company

TRAYPORT JOULE

SPECIFICATIONS WITH
TICKSPEC

CURRENCY CONVERSIONS
[<Measure>] type EUR
[<Measure>] type GBP
let rateEurGbp = 0.783M<GBP/EUR>
// Converts amount in EUR to GBP
let euroToPounds (eur:decimal<EUR>) = eur * rateEurGbp

OPTION PRICING
let euroCallValue exercisePrice actualPrice =
max (actualPrice - exercisePrice) 0.0
let euroPutValue exercisePrice actualPrice =
max (exercisePrice - actualPrice) 0.0
let butterflySpread lowPrice highPrice actualPrice =
(euroCallValue lowPrice actualPrice) +
(euroCallValue highPrice actualPrice) 2.0 * (euroCallValue ((lowPrice + highPrice) / 2.0) actualPrice)

R – TYPE PROVIDER

ORDERS – RECORD TYPES
F#
type LimitOrder = {
LimitPrice : decimal
Quantity : int
Side : Side
}
C#

TIME IN FORCE – UNION
TYPE
type TimeInForce =
| GoodTillCancel
| GoodForDay
| GoodTillDate of DateTime

UNITS IN CELLS
type UnitType =
| Empty
| Unit of string * int
| CompositeUnit of UnitType list

TRAINING
Phillip Trelford
Trayport Ltd
F# in Finance 2013

SKILLS MATTER
Training
Fast Track to F#
2 days (quarterly)
Tutorials
F# Tutorials (London & NYC)
2 days (annually)

F# KOANS
[<Koan>]
let SquareEvenNumbersWithPipelineOperator() =
(* In F#, you can use the pipeline operator to get the benefit of
the parens style with the readability of the statement style. *)
let result =
[0..5]
|> List.filter isEven
|> List.map square
AssertEquality result __

TRYFSHARP.ORG - FINANCE

F# JOB DEMAND - UK
Source: IT Jobs Watch Nov 2013

Phillip Trelford
Trayport Ltd
F# in Finance 2013