1 files changed, 51 insertions, 0 deletions
diff --git a/src/FundLab.Domain/Performance.fs b/src/FundLab.Domain/Performance.fs
new file mode 100644
index 0000000..b1c51db
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+++ b/src/FundLab.Domain/Performance.fs
@@ -0,0 +1,51 @@
+namespace FundLab.Domain
+
+open System
+
+type PerformanceObservation =
+    {
+        At: DateTimeOffset
+        NetAssets: decimal
+        ExternalCashFlow: decimal
+    }
+
+type PerformanceError =
+    | InvalidObservation of string
+
+module Performance =
+    let timeWeightedReturn observations =
+        let validate observation previousAt =
+            if observation.NetAssets < 0m then
+                Error(InvalidObservation "net assets cannot be negative")
+            elif previousAt |> Option.exists (fun at -> observation.At <= at) then
+                Error(InvalidObservation "observations must be strictly ordered")
+            else
+                Ok()
+
+        match observations with
+        | [] -> Ok 0m
+        | first :: rest ->
+            validate first None
+            |> Result.bind (fun () ->
+                if first.NetAssets <= 0m then
+                    Error(InvalidObservation "first net assets must be positive")
+                else
+                    rest
+                    |> List.fold
+                        (fun result observation ->
+                            result
+                            |> Result.bind (fun (previous, linkedReturn) ->
+                                validate observation (Some previous.At)
+                                |> Result.bind (fun () ->
+                                    let endingAssetsBeforeFlow = observation.NetAssets - observation.ExternalCashFlow
+
+                                    if endingAssetsBeforeFlow < 0m then
+                                        Error(InvalidObservation "external cash flow exceeds ending net assets")
+                                    elif previous.NetAssets <= 0m then
+                                        Error(InvalidObservation "period start net assets must be positive")
+                                    else
+                                        let periodReturn = endingAssetsBeforeFlow / previous.NetAssets
+                                        Ok(observation, linkedReturn * periodReturn)))
+                        )
+                        (Ok(first, 1m))
+                    |> Result.map (fun (_, linkedReturn) -> linkedReturn - 1m))