bayesline.api.equity.FactorRiskModelSettings

model FactorRiskModelSettings

Define all settings needed to build a factor risk model.

Fields

Field	Type	Required	Default	Constraints
exposures	list[str | int | ExposureSettings]	No	[ExposureSettings(exposures=[], orthogonalization_weights='SqrtCap')]	min_length=1
halflife_idio_vra	Annotated[int, Gt(gt=0)] | None	No	None
modelconstruction	list[str | int | ModelConstructionSettings]	No	[ModelConstructionSettings(currency='USD', weights='SqrtCap', estimation_universe=None, return_clip_bounds=(-0.1, 0.1), thin_category_shrinkage={}, thin_category_shrinkage_overrides={}, zero_sum_constraints={}, known_factor_map={}, fx_convert_returns=True)]	min_length=1
universe	list[str | int | UniverseSettings]	Yes		min_length=1, max_length=1

Validators

Validator	Mode	Fields
check_list_lengths	after	model
validate_modelconstruction	after	modelconstruction

field exposures: list[str | int | ExposureSettings] [Optional]

The exposures to build the factor risk model on.

Constraints:

• min_length = 1

Validated by:

check_list_lengths

field halflife_idio_vra: Annotated[int, Gt(gt=0)] | None [Optional]

The half-life for the idio adjustment. If None, no adjustment is applied.

Validated by:

check_list_lengths

field modelconstruction: list[str | int | ModelConstructionSettings] [Optional]

The model construction settings to use for the factor risk model.

Constraints:

• min_length = 1

Validated by:

check_list_lengths validate_modelconstruction

field universe: list[str | int | UniverseSettings] [Required]

The universe to build the factor risk model on.

Constraints:

• min_length = 1

• max_length = 1

Validated by:

check_list_lengths

validator check_list_lengths(mode=after)

Validates:

entire model

validator validate_modelconstruction(mode=after)

Validates:

modelconstruction