Skip to content

Instantly share code, notes, and snippets.

Embed
What would you like to do?
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
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment