1. Early Warning Indicators A case study with F# “Give them the third best to go on with; the second best comes too late, the best never comes” Sir Robert Watson-Watt (on the RADAR early warning system for World War 2)

2. Agenda Background, Requirements and Drivers Calculation Options and Cell Framework Application Architecture and life-cycle Deployment, Handover and Lessons Learned

3. Background Treasury Liquidity Management – Banks use a variety of sources to ensure that liquidity is always available from money markets & repo; through credit bonds and equity issuance - "Never borrow from a Central Bank, if there are any alternatives" Early Warning Indicators, one system mandated by Regulators – When Lehman went bankrupt, interbank lending seized-up as Banks lost confidence in each other ability to pay, Collateral calls escalated & tier-1 capital tumbled as share prices collapsed Never Again – ExCo's and regulators demanded plans, tools & systems to warn of risks and manage mitigation – Early Warning Indicators – Active liquidity, active limit management, Active Collateral Control, Active RWA, stress tests

4. Early Warning Indicators Requirement Very high level metrics with tolerable thresholds – Liquidity buffers, Cash Ladders, Collateral Quality, Risk appetite – Peer Bank stock valuations & CDS Spreads – Core commodities (oil, gold, etc) spot & futures – Forex rates & volatility – Country CDS Spreads real-time calculation of RAG Status and breach reporting Business policy/plans for detailed review on Breach

5. Early Warning Indicators System Drivers Additional calculations as business needs change without restart Option to define calculation using Excel formulas Scorecard reports {Excel;PDF} generated from RAG indicators (not spreadsheet template) No routine maintenance Flexible for future integration

6. Agenda Background, Requirements and Drivers Calculation Options and Cell Framework Application Architecture and life-cycle Deployment, Handover and Lessons Learned

7. EWI Calculation Options Build from Spreadsheet component (Spreadsheet Gear) with price-feed – single threaded, complex integration Build from Tick-store (KDB, Q) – No automatic trigger Build from Cell Framework & FSYacc/FSLex Excel expression parser – F# new to Treasury – Haskell Quant payoff engine – F# Equity Prime

8. Cell Framework Model object encapsulates calculations Closures with event triggers Computational Expression Builder Parser for Excel expressions Selected for speed of development

9. Cell Model Model presented to C# as a class with properties Source indicators seeded with default values type EWISample (model : IModel) as this = inherit Cephei.Kernel.Model (model) // cell definitions let _hsbc_px_last = cell.Value (Fun.load "hsbc_px_last" 609.1) let _hsbc_history = cell.Value (Fun.load "hsbc_history" (Fun.defaultTS 260 Double.NaN)) let _hsbc_CDS_3month = cell.Value (Fun.load "hsbc_px_last" 33.1) let _hsbc_CDS_9month = cell.Value (Fun.load "hsbc_px_last" 43.1) let _hsbc_px_close = cell { return Fun.first _hsbc_history.Value } let _hsbc_three_nine_diff = cell { return _hsbc_CDS_3month.Value - _hsbc_CDS_9month.Value } let _hsbc_30avg = cell { return Fun.avg30day _hsbc_history.Value } let _hsbc_30high = cell { return Fun.max30day _hsbc_history.Value } let _hsbc_30low = cell { return Fun.max30day _hsbc_history.Value } let _hsbc_px_last_rag = cell {let! red = _hsbc_px_last.Value < _hsbc_30low.Value let! amber = _hsbc_px_last.Value < _hsbc_30avg.Value return if red then "R" elif amber then "A" else "G"} let _hsbc_CDS_3month_rag = cell {let! red = (_hsbc_CDS_3month.Value - _hsbc_three_nine_diff.Value) / _hsbc_CDS_3month.Value > 0.95 let! amber = (_hsbc_CDS_3month.Value - _hsbc_three_nine_diff.Value) / _hsbc_CDS_3month.Value > 0.90 return if red then "R" elif amber then "A" else "G"} do this.Link () // access properties member this.hsbc_px_last = _hsbc_px_last

10. Cell closures Cell encapsulates calculation and records dependencies through profiling Change events trigger re-calculation type EWISample (model : IModel) as this = inherit Cephei.Kernel.Model (model) // cell definitions let _hsbc_px_last = cell.Value (Fun.load "hsbc_px_last" 609.1) let _hsbc_history = cell.Value (Fun.load "hsbc_history" (Fun.defaultTS 260 Double.NaN)) let _hsbc_CDS_3month = cell.Value (Fun.load "hsbc_px_last" 33.1) let _hsbc_CDS_9month = cell.Value (Fun.load "hsbc_px_last" 43.1) let _hsbc_px_close = cell { return Fun.first _hsbc_history.Value } let _hsbc_three_nine_diff = cell { return _hsbc_CDS_3month.Value - _hsbc_CDS_9month.Value } let _hsbc_30avg = cell { return Fun.avg30day _hsbc_history.Value } let _hsbc_30high = cell { return Fun.max30day _hsbc_history.Value } let _hsbc_30low = cell { return Fun.max30day _hsbc_history.Value } let _hsbc_px_last_rag = cell {let! red = _hsbc_px_last.Value < _hsbc_30low.Value let! amber = _hsbc_px_last.Value < _hsbc_30avg.Value return if red then "R" elif amber then "A" else "G"} let _hsbc_CDS_3month_rag = cell {let! red = (_hsbc_CDS_3month.Value - _hsbc_three_nine_diff.Value) / _hsbc_CDS_3month.Value > 0.95 let! amber = (_hsbc_CDS_3month.Value - _hsbc_three_nine_diff.Value) / _hsbc_CDS_3month.Value > 0.90 return if red then "R" elif amber then "A" else "G"} do this.Link () // access properties member this.hsbc_px_last = _hsbc_px_last

11. Conditional Cell closures Conditional expressions are profiled using monadic let! verb type EWISample (model : IModel) as this = inherit Cephei.Kernel.Model (model) // cell definitions let _hsbc_px_last = cell.Value (Fun.load "hsbc_px_last" 609.1) let _hsbc_history = cell.Value (Fun.load "hsbc_history" (Fun.defaultTS 260 Double.NaN)) let _hsbc_CDS_3month = cell.Value (Fun.load "hsbc_px_last" 33.1) let _hsbc_CDS_9month = cell.Value (Fun.load "hsbc_px_last" 43.1) let _hsbc_px_close = cell { return Fun.first _hsbc_history.Value } let _hsbc_three_nine_diff = cell { return _hsbc_CDS_3month.Value - _hsbc_CDS_9month.Value } let _hsbc_30avg = cell { return Fun.avg30day _hsbc_history.Value } let _hsbc_30high = cell { return Fun.max30day _hsbc_history.Value } let _hsbc_30low = cell { return Fun.max30day _hsbc_history.Value } let _hsbc_px_last_rag = cell {let! red = _hsbc_px_last.Value < _hsbc_30low.Value let! amber = _hsbc_px_last.Value < _hsbc_30avg.Value return if red then "R" elif amber then "A" else "G"} let _hsbc_CDS_3month_rag = cell {let! red = (_hsbc_CDS_3month.Value - _hsbc_three_nine_diff.Value) / _hsbc_CDS_3month.Value > 0.95 let! amber = (_hsbc_CDS_3month.Value - _hsbc_three_nine_diff.Value) / _hsbc_CDS_3month.Value > 0.90 return if red then "R" elif amber then "A" else "G"} do this.Link () // access properties member this.hsbc_px_last = _hsbc_px_last

12. Cephei Framework Cell computational expression builder appears as an extension to F# language – Conditional paths follow async workflow pattern Cell Framework, part of a larger framework – http://ql.codeplex.com C++/CLI quant wrapper http://ql.codeplex.com – Cephei.XL Excel addin

13. Parser for Excel expressions FSLex/FSYacc parser for Excel expression syntax (from samples) AST rendered to F# equivalent source and compiled for calculation with fast ticking data AST interpreted for intra-day changes One-day proof of Concept command line calculator

14. Selected for speed of development Cell framework and event based recalculation demonstrated in F# interactive Expression parser PoC in a day Multi-threaded recalculation as prices tick Values cached in Cell, only dependent cells recalculated

15. Agenda Background, Requirements and Drivers Calculation Options and Cell Framework Application Architecture and life-cycle Deployment, Handover and Lessons Learned

16. EWI Application Architecture Loosely coupled services (C#).NET 4 Windows Service deployment (C#) WCF Communication (C#) EDM Data Persistence (C#, Linq) Dynamic model generation at start-up (F#) WWF workflow and IIS ASP.NET report rendering RFA integration with Thompson Reuters Market Data WPF UI for maintenance

17. Development life-cycle Database & Service design in UML using Sparx EA & generated as C# & SQL/Server C# EDM Entity Model generated from DB Testing using MSTest cases Continuous integration using TeamCity Initial load from F# scripts using Query Extensions

18. Agenda Background, Requirements and Drivers Calculation Options and Cell Framework Application Architecture and life-cycle Deployment, Handover and Lessons Learned

19. Development / Deployment Issues IObservable <> & IObserver<> clash in Fsharp.Core 2 & mscorelib 4 F# powerpack not packaged for.NET 4 VS2010 (deployed with app) Codeplex F# powerpack & VS2010 version numbers not the same FSYacc / FSLex need VS extension for MSbuild Had to install VS on build server for consistent version – Standard was to avoid IDE install because of version classes in VS2003

20. Handover review Support company trained/contracted for C# & SQL only -> additional scope Why app not implemented in single language. Impact of porting F# to C# – F# perceived as a syntax flavour (like VB.net) – Introduction of Type information to database model and code generator high because of Expression parser – Porting FSYacc/FSLex to ANTLR (/other) – Cost of Conversion higher than original Development

21. Lessons learned Need to explain why F# is not “just another.NET language” Closures, type inference, Lambda functions, computational expressions, parsers F# “let” is not the same as VBA “LET” !! Need to explain productivity – F# used for minority of application, but contributed most value Need to package F# runtime & PowerPack