bayesline.api.equity.ContinuousExposureGroupSettings

model ContinuousExposureGroupSettings

The settings for a continuous exposure group.

Continuous exposures are exposures that are measured on a continuous scale, e.g. market, size, momentum, etc., and are typically available for most assets.

Fields

Field	Type	Required	Default
exclude	list[str]	No	factory
exposure_type	Literal[‘continuous’]	No	'continuous'
factor_group	str	No	''
hierarchy	HierarchyLevel | HierarchyGroups	Yes
include	Literal[‘All’] | list[str]	No	'All'
net_of	list[str]	No	factory
standardize_method	Literal[‘none’, ‘equal_weighted’]	No	'none'

Validators

Validator	Mode	Fields
check_valid_factor_group	after	factor_group
set_factor_group	before	model
validate_filters	after	model

field exclude: list[str] [Optional]

Valid hierarchy codes or labels for given hierarchy at any level. If labels are used which may be duplicated, then the code with the lowest level is used.

Validated by:

set_factor_group validate_filters

field exposure_type: Literal['continuous'] [Optional]

Validated by:

set_factor_group validate_filters

field factor_group: str [Optional]

By default, the name of the factor group will be the name of the hierarchy. But we can override this by specifying an alias here.

Validated by:

check_valid_factor_group set_factor_group validate_filters

field hierarchy: HierarchyLevel | HierarchyGroups [Required]

The hierarchy to use for the continuous exposures. This is either aHierarchyLevel or HierarchyGroups object. If a string is passed, the value is converted to a HierarchyLevel of that hierarchy with level=1.

Validated by:

set_factor_group validate_filters

field include: Literal['All'] | list[str] [Optional]

Valid hierarchy codes or labels for given hierarchy at any level. If labels are used which may be duplicated, then the code with the highest level is used. If ‘All’, all codes are included.

Validated by:

set_factor_group validate_filters

field net_of: list[str] [Optional]

Factor groups this group’s exposures are taken net of (weighted-orthogonalized against) under the exposure settings’ orthogonalization_weights, e.g. a style block net of [‘market’, ‘industry’]. See orthogonalization_weights for what moves in a consuming model and the covariance caveat.

Validated by:

set_factor_group validate_filters

field standardize_method: Literal['none', 'equal_weighted'] [Optional]

The method to use for standardizing the exposures. If ‘none’, no standardization is applied. If ‘equal_weighted’, then the exposures are standardized with the mean and standard deviation of the estimation universe.

Validated by:

set_factor_group validate_filters

validator check_valid_factor_group(mode=after)

Validates:

factor_group

validator set_factor_group(mode=before)

Validates:

entire model

validator validate_filters(mode=after)

Validates:

entire model