bayesline.api.equity.PortfolioReturnsTieoutReportSettings

model PortfolioReturnsTieoutReportSettings

Settings for a portfolio returns tie-out report.

Compares the engine’s computed daily portfolio returns against an uploaded reference return series, per hierarchy leaf. Aggregation across the hierarchy is unweighted (mean across leaves) — this is a tie-out sanity reading, not a P&L number. Metrics that only make sense NAV-weighted (uploaded_return, cumulative_diff) are emitted as NaN at internal hierarchy nodes.

Fields

Field	Type	Required	Default
calendar	CalendarSettings	No	factory
hit_rate_buckets_bps	list[Annotated[float, Gt(gt=0)]]	No	factory
leaf_reference_mapping	dict[str, TieoutReferenceRef]	Yes
portfolio_hierarchy_settings	PortfolioHierarchySettings	Yes
report_type	Literal[‘portfolio_returns_tieout’]	No	'portfolio_returns_tieout'
returns_currency	str	No	'USD'

field calendar: CalendarSettings [Optional]

field hit_rate_buckets_bps: list[Annotated[float, Gt(gt=0)]] [Optional]

Hit-rate threshold buckets, in basis points. For each bucket, the report computes the fraction of dates where |computed - uploaded| is within the threshold.

field leaf_reference_mapping: dict[str, TieoutReferenceRef] [Required]

Mapping from portfolio_id (a hierarchy leaf) to its uploaded reference series. Leaves without an entry contribute NaN to uploaded-side metrics and are excluded from coverage.

field portfolio_hierarchy_settings: PortfolioHierarchySettings [Required]

field report_type: Literal['portfolio_returns_tieout'] [Optional]

Report type discriminator

field returns_currency: str [Optional]