Implementing a Financial Derivative as Smart Contract

51 Pages Posted: 19 Mar 2019 Last revised: 28 May 2019

See all articles by Christian P. Fries

Christian P. Fries

Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics; DZ Bank AG

Peter Kohl-Landgraf

DZ Bank AG

Björn Paffen

DZ Bank AG

Stefanie Weddigen

DZ Bank AG

Luca Del Re

DZ Bank AG

Wilfried Schütte

DZ Bank AG

David Bacher

Bayerische Landesbank

Rebecca Declara

Bayerische Landesbank

Daniel Eichsteller

Cofinpro AG

Florian Weichand

Cofinpro AG

Michael Streubel

Cofinpro AG

Date Written: February 25, 2019

Abstract

In this note we describe the application of existing smart contract technologies with the aim to construct a new digital representation of a financial derivative contract. We compare several existing DLT based technologies. We provide a detailed description of two separate prototypes which are able to be executed on a centralized and on a DLT platform respectively. Beyond that we highlight some insights on legal aspects as well as on common integration challenges regarding existing process and system landscapes. A very detailed methodological overview of the concept of a smart derivative contract can be found in https://ssrn.com/abstract=3163074.

Keywords: Smart Derivative Contracts, Derivative, Settlement, Distributed Ledger, Blockchain, Code is Law

JEL Classification: G20, K2

Suggested Citation

Fries, Christian P. and Kohl-Landgraf, Peter and Paffen, Björn and Weddigen, Stefanie and Del Re, Luca and Schütte, Wilfried and Bacher, David and Declara, Rebecca and Eichsteller, Daniel and Weichand, Florian and Streubel, Michael, Implementing a Financial Derivative as Smart Contract (February 25, 2019). Available at SSRN: https://ssrn.com/abstract=3342785 or http://dx.doi.org/10.2139/ssrn.3342785

Christian P. Fries (Contact Author)

Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics ( email )

Theresienstrasse 39
Munich
Germany

DZ Bank AG ( email )

60265 Frankfurt am Main
Germany

Peter Kohl-Landgraf

DZ Bank AG ( email )

60265 Frankfurt am Main
Germany

Björn Paffen

DZ Bank AG ( email )

60265 Frankfurt am Main
Germany

Stefanie Weddigen

DZ Bank AG ( email )

60265 Frankfurt am Main
Germany

Luca Del Re

DZ Bank AG ( email )

60265 Frankfurt am Main
Germany

Wilfried Schütte

DZ Bank AG ( email )

60265 Frankfurt am Main
Germany

David Bacher

Bayerische Landesbank ( email )

Brienner Strasse 18
80333 Munich
United States

Rebecca Declara

Bayerische Landesbank ( email )

Brienner Strasse 18
80333 Munich
United States

Daniel Eichsteller

Cofinpro AG ( email )

Germany

Florian Weichand

Cofinpro AG ( email )

Germany

Michael Streubel

Cofinpro AG ( email )

Germany

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