Payoff Modeling

This section contains an introduction to the Daml Finance Generic Instrument, which provides a flexible framework to structure custom payoffs and lifecycle them on the ledger.

The Generic Instrument encapsulates the Contingent Claims library, which models the economic terms of an instrument based on its future cashflows and other contractual events.

The tutorials introduce the Contingent Claims modeling framework in a practical way and give you the tools to

• structure financial instruments such as bonds, swaps, options, and other derivatives
• lifecycle the instruments on-ledger to calculate pending payments

The following tutorials are available:

• The Basic Builders tutorial introduces the basic Contingent Claims builders.
• The Observations tutorial shows how to model market observables, such as interest rates or equity spot prices.

Download the Code for the Tutorials

As a prerequisite, make sure that the Daml SDK is installed on your machine.

Open a terminal and run:

daml new finance-payoff-modeling --template=finance-payoff-modeling

This creates a new folder with contents from our template. Navigate to the finance-payoff-modeling folder and then run the following to download the required Daml Finance packages:

./get-dependencies.sh

or, if you are using Windows

./get-dependencies.bat

Finally, you can start Daml Studio to inspect the code and run the project’s scripts:

daml studio