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cmbrown1598/TerribleDomain.fsx

Created October 26, 2017 21:57
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TerribleDomain.fsx
type Name = string
type Percentage = decimal
type Return = decimal
type TargetReturn = decimal
type Model = Name
type Allocation = ( Model * Percentage ) list
type MarketValue = decimal
type AccountReturn = Return
type Account = {
TAllocations : Allocation * MarketValue;
TMinusOneAllocations: Allocation * MarketValue;
Return: AccountReturn
}
type ModelReturn = decimal * Model
type RealizedTrackingError = AccountReturn -> TargetReturn
type SleeveReturn = ModelReturn -> RealizedTrackingError
type SleevedMarketValue = Allocation -> MarketValue
// no tracking error return
type SleeveLevelPerformance = Account -> ModelReturn list -> TargetReturn
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