FinanceLingo

An Interpreted DSL that enables FinancialAnalytics.

Objective

The primary motivation or design goal is to provide a simple and yet rich expressive language for the finance domain. For doing some basic analytics, it should not be required to write a detailed Java or C++ program. Simply put, it acts like a scratch pad or a command line calculator. This is still work in progress. Details on the work items have been highlighted in later sections.

As of today, the DSL operates in an interpreted mode and provides very basic bond analytic constructs. It is not a complete programming langauge as it does not allow to define functions, support for control flow or decision making constructs.

However, it does provide the following:

• basic variable assignments
• arithmetic operators
• In-Built functions that can be called

Sample DSL Interpreter session

 Financial DSL interpreter version 1.0:
 > //Specify Instrument Contract details
 currency = USD
 matDate = 20151223
accDate = 20101222
int tenor = 6
double rate = .089
int settlementDays = 3
int notional = 100
daycount = actual_actual_icma
busdayconv = Following
yieldconv = us_street
issuer = us_govt
instrId = createBondInstrument(currency,matDate, accDate, tenor ,rate,settlementDays,notional,daycount, busdayconv, yieldconv,issuer)

printCashFlows(instrId)

// A Trade  date in between coupons
trDate = 20110223
bondContract = createBondContract(instrId,trDate)
print(bondContract)

// Calculate AccruedInterest
double ai =	calcAI(bondContract)
print(ai)

// Calculate Yield from Clean Price 
double cleanPrice   = 2.5 
double yield 	    = calcYieldFromCleanPrice(bondContract,cleanPrice) 
print (yield)

// Calculate dirty price
double dirtyPrice  = cleanPrice + ai/notional
print(dirtyPrice)

// Calculate Clean Price from Yield 
double yield  = 0.04 
double price  = calcCleanPriceFromYield(bondContract,yield) 

print (price)

Usage

Download the Zip. Unzip it on a local drive. Change to the folder distribution/Linux. Execute the following script --> finInterpStart.sh to launch the interpreter.

Planned Work Items

• Provide a Maven based build system, that allows one to build the binaries from the Source code.
• Add suitable test code snippets.
• Code optimizations and more robust error handling.
• Windows based batch file.

Phase 2 Work Items

• Provide support for finanical domain specfic constructs/operators and a supporting type system.
• Provide Risk measure calculations for Bonds.
• Provide Analytics and Risk calculations for Derivative and other asset classes.