Early Warning Indicators in F#

This is a case study of a live F# application for real-time early warning indicators of Liquidity Risk.

EWI used an F# Excel expression parser and computational expressions to generate a Cell network in memory that triggered indicator calculations from market events, that percolated up to RAG status changes.

The EWI model demonstrates features of F# that enabled rapid development:

• FSYacc/FSLex parser/interpreter/generator for Excel expression handling

• Computational Expression usage for type-inferred calculations

• F# integration with proprietary analytics & Excel function library

Stephen Channell is an independent software developer specialising in multithreaded system and Functional Programming integration with C++ libraries.

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