bayesline.api.equity

Equity API

Equity API

BayeslineEquityApi()	Abstract base class for Bayesline equity API operations.
settings_tools
AsyncBayeslineEquityApi()	Abstract base class for Bayesline equity API operations.
hierarchy_to_df(hierarchy, hierarchies_labels)	Convert a hierarchy to a DataFrame.
hierarchy_from_df(df)	Convert a hierarchy DataFrame back to a (Hierarchy, labels) pair.
hierarchy_df_to_wide(hierarchy, ...)	Convert a hierarchy to a wide DataFrame.
DatasetError	Exception raised for dataset-related errors.

Equity Exposure

AsyncExposureImpl(settings, universe_loader, ...)
AsyncExposureLoaderImpl(settings_registry, ...)
AsyncExposureApi()	Abstract base class for exposure API operations.
AsyncExposureLoaderApi()	Registry-based API for loading exposure data.
ExposureApi()	Abstract base class for exposure API operations.
ExposureImpl(settings, universe_loader, ...)
ExposureLoaderApi()	Registry-based API for loading exposure data.
ExposureLoaderImpl(settings_registry, ...)
CategoricalExposureGroupSettings(**data)	The settings for a categorical exposure group.
ContinuousExposureGroupSettings(**data)	The settings for a continuous exposure group.
ExposureGroupSettings	Runtime representation of an annotated type.
ExposureSettings(**data)	Defines exposures as hierarchy of selected styles and substyles.
ExposureSettingsMenu(**data)	Contains the available settings that can be used to define exposures.
HierarchyGroups(**data)	The hierarchy decscription for a custom nested grouping of the hierarchy.
HierarchyLevel(**data)	The hierarchy decscription for a level in the hierarchy.
InlineUploadedExposureGroupSettings(**data)	Exposure group settings for exposures taken directly from an uploaded dataset.
InteractionExposureGroupSettings(**data)	The settings for an interaction exposure group.
RollingBetaSettings(**data)	OLS rolling beta (univariate per factor).
RollingHuberBetaSettings(**data)	Robust Huber rolling beta (univariate per factor, with intercept).
RollingRegressionSettings	Runtime representation of an annotated type.
TSBetaExposureGroupSettings(**data)	Exposure group settings for time-series beta exposures from uploaded time-series.

Equity Universe

AsyncUniverseApi()	Provide access to universe data and operations.
AsyncUniverseLoaderApi()	Provide access to universe loaders through the registry system.
AsyncUniverseImpl(settings, report_loader)
AsyncUniverseLoaderImpl(settings_registry, ...)
UniverseApi()	Provide access to universe data and operations.
UniverseImpl(settings, report_loader)
UniverseLoaderApi()	Provide access to universe loaders through the registry system.
UniverseLoaderImpl(settings_registry, ...)
CategoricalFilterSettings(**data)	Specify include and exclude filters for categorical codes.
Hierarchy
MCapFilterSettings(**data)	Specify the lower and upper bound for the market cap filter.
UniverseSettings(**data)	Define an asset universe as a set of regional, industry and market cap filters.
UniverseSettingsMenu(**data)	Contain the available settings that can be used for the universe settings.

Equity Model Construction

AsyncFactorModelConstructionApi()	Abstract base class for factor model construction APIs.
AsyncFactorModelConstructionLoaderApi()	API for loading factor model construction services.
FactorModelConstructionApi()	Abstract base class for factor model construction APIs.
FactorModelConstructionLoaderApi()	API for loading factor model construction services.
ModelConstructionSettings(**data)	Defines settings to build a factor risk model.
ModelConstructionSettingsMenu(**data)	Defines available modelconstruction settings to build a factor risk model.
WeightingScheme

Equity Optimizer

AsyncOptimizationResult()	Contains the optimized state of each portfolio in the problem.
AsyncOptimizerApi()	API for optimizing portfolios.
AsyncOptimizerLoaderApi()	Load report-backed optimizers and manage their source configuration.
OptimizationResult()	Contains the optimized state of each portfolio in the problem.
OptimizationResultFrame
OptimizationResultResponse(**data)	Reference to a stored optimization result.
OptimizationStatus
OptimizerApi()	API for optimizing portfolios.
OptimizerLoaderApi()	Load report-backed optimizers and manage their source configuration.
AnyAlphaSource
AnyConstraint	Runtime representation of an annotated type.
AnyObjective	Runtime representation of an annotated type.
ConstraintBase(**data)	Base class for optimizer constraints.
DoNotTradeConstraint(**data)	Freeze listed assets or whole sides of the book at their current holdings.
DoNotTradeScope
FactorBound(**data)	Min/max bounds for factor constraints.
FactorExposureConstraint(**data)	Portfolio-level factor exposure bounds.
GrossExposureConstraint(**data)	Cap on the portfolio's gross exposure, the sum of its absolute holdings.
GroupNetExposureConstraint(**data)	Freeze the net exposure of asset groups while allowing trading within them.
IdioTrackingErrorObjective(**data)	Minimize the idiosyncratic variance of the holdings.
IdioVolProportionalAlpha(**data)	Expected returns proportional to idiosyncratic volatility, in the held direction.
MaximizeAlphaObjective(**data)	Maximize expected return net of a risk penalty (mean-variance).
MaxPositionSizeConstraint(**data)	Blanket cap on the absolute weight of every position.
MinimizeDistanceObjective(**data)	Minimize the squared distance between the new and the current holdings.
MinimizeTradeVolumeObjective(**data)	Minimize the total traded notional, the sum of absolute trades.
NetExposureConstraint(**data)	Bounds on the portfolio's net exposure, the sum of its holdings.
ObjectiveBase(**data)	Base class for optimizer objectives.
OptimizerDefaults(**data)	Book-wide safeguards applied to every portfolio unless relaxed here.
OptimizerRequirement(value)	Inputs an objective or constraint may need beyond the portfolios.
OptimizerSettings(**data)	Optimizer settings to build an optimization problem.
OptimizerSettingsMenu(**data)	Contain the available settings that can be used to configure portfolio optimization.
PositionBound(**data)	Min/max bounds for a single position.
PositionBoundConstraint(**data)	Per-asset holding weight bounds.
PositionPinConstraint(**data)	Fix the holding weight of listed assets to a target.
Space
TurnoverConstraint(**data)	Cap on the total traded notional, buys plus sells.

Equity Portfolio

AsyncPortfolioApi()	Portfolio metadata, holdings, and coverage API.
AsyncPortfolioImpl(dataset, settings, ...)	Report-backed portfolio facade.
AsyncPortfolioLoaderImpl(*, ...)
AsyncPortfolioLoaderApi()	Load asynchronous report-backed portfolios and manage their sources.
PortfolioApi()	Portfolio metadata, holdings, and coverage API.
PortfolioImpl(dataset, settings, ...)	Report-backed portfolio facade.
PortfolioCatalog(**data)	A catalog of portfolio sources and their respective portfolio names.
PortfolioFofCollision(**data)	A fund-of-funds child reachable from two different sources at once.
PortfolioLoaderApi()	Load report-backed portfolios and manage their source configuration.
PortfolioLoaderImpl(*, settings_registry, ...)
PortfolioName(**data)	A portfolio identifier enriched with metadata used by the picker UI.
PortfolioSelectionResolution(**data)	The outcome of resolving a portfolio selection against the live catalog.
PortfolioOrganizerSettings(**data)	Definition of where to source portfolio data from.
PortfolioOrganizerSettingsMenu(**data)	Menu for portfolio organizer settings.
PortfolioSettings(**data)	Specifies different options of obtaining portfolios.
PortfolioSettingsMenu(**data)	Specifies the set of available options that can be used to create portfolio settings.

Equity Risk Models

AsyncFactorModelApi()	Provide access to factor risk model data and operations.
AsyncFactorModelEngineApi()	Provide access to factor risk model engine operations.
AsyncFactorModelLoaderApi()	Provide access to factor risk model loading and registry operations.
AsyncFactorModelMetadataApi()	Sub interface to list risk models in the registry.
FactorModelApi()	Provide access to factor risk model data and operations.
FactorModelEngineApi()	Provide access to factor risk model engine operations.
FactorModelLoaderApi()	Provide access to factor risk model loading and registry operations.
FactorModelMetadataApi()	Sub interface to list risk models in the registry.
RiskModelCatalog(**data)	Combined listing of risk models and the risk datasets they build on.
FactorRiskModelMetadata(**data)	Metadata for a factor risk model.
FactorRiskModelSettings(**data)	Define all settings needed to build a factor risk model.
FactorRiskModelSettingsMenu(**data)	Define available settings to build a factor risk model.
GetModelMode
AsyncFactorModelEngineImpl(dataset, ...)
AsyncFactorModelImpl(dataset, settings, ...)
AsyncFactorModelLoaderImpl(*, ...)
FactorModelEngineImpl(dataset, ...)
FactorModelImpl(dataset, settings, ...)
FactorModelLoaderImpl(*, settings_registry, ...)

Equity Reports

AsyncTypedReportAccessorApi(accessor)	A base interface for typed report accessor APIs.
TypedReportAccessorApi(accessor)	A base interface for typed report accessor APIs.
DimensionDescriptor(**data)	How a report dimension is ordered and which levels form its hierarchy.
DimensionKind
FamilyRole
MetricDescriptor(**data)	What a metric column means and how it may be aggregated and combined.
MetricFamily(**data)	Membership of a metric in a portfolio / benchmark / active family.
Sign
TimeAggregation
Unit(value)	Semantic unit of a metric.
UnitQualifiers(**data)	Refinements of a unit that must also match for two metrics to share an axis.
ACCESSOR_IMPLS	dict() -> new empty dictionary dict(mapping) -> new dictionary initialized from a mapping object's (key, value) pairs dict(iterable) -> new dictionary initialized as if via: d = {} for k, v in iterable: d[k] = v dict(**kwargs) -> new dictionary initialized with the name=value pairs in the keyword argument list. For example: dict(one=1, two=2).
ASYNC_ACCESSOR_IMPLS	dict() -> new empty dictionary dict(mapping) -> new dictionary initialized from a mapping object's (key, value) pairs dict(iterable) -> new dictionary initialized as if via: d = {} for k, v in iterable: d[k] = v dict(**kwargs) -> new dictionary initialized with the name=value pairs in the keyword argument list. For example: dict(one=1, two=2).
AsyncReportApi()	A base interface for report APIs.
ReportApi()	A base interface for report APIs.
AnyReportSettings	Runtime representation of an annotated type.
AsyncReportLoaderApi()	The main interface for loading different types of reports.
ReportLoaderApi()	The main interface for loading different types of reports.
AsyncFactorCovarianceReportAccessor(accessor)	Specific accessor for a exposure report.
AsyncFactorCovarianceReportAccessorImpl(accessor)
AsyncFactorCovarianceReportApi()	API for a exposure report.
FactorCovarianceReportAccessorImpl(accessor)
FactorCovarianceReportApi()	API for a exposure report.
FactorCovarianceReportSettings(**data)	Settings for a factor covariance report.
AsyncExposureReportAccessor(accessor)	Specific accessor for a exposure report.
AsyncExposureReportAccessorImpl(accessor)
AsyncExposureReportApi()	API for a exposure report.
ExposureReportAccessorImpl(accessor)
ExposureReportApi()	API for a exposure report.
ExposureReportSettings(**data)	Settings for a exposure report.
AsyncFactorStatsReportAccessor(accessor)	Specific accessor for a exposure report.
AsyncFactorStatsReportAccessorImpl(accessor)
AsyncFactorStatsReportApi()	API for a exposure report.
FactorStatsReportAccessorImpl(accessor)
FactorStatsReportApi()	API for a exposure report.
FactorStatsReportSettings(**data)	Settings for a factor stats report.
AsyncIdioReportAccessor(accessor)	Accessor for an idiosyncratic return and volatility report.
AsyncIdioReportAccessorImpl(accessor)
AsyncIdioReportApi()	API for an idiosyncratic return and volatility report.
IdioReportAccessorImpl(accessor)
IdioReportApi()	API for an idiosyncratic return and volatility report.
IdioReportSettings(**data)	Settings for an idiosyncratic return and volatility report.
AsyncMcapExposureReportAccessor(accessor)	Specific accessor for a market-cap-weighted exposure report.
AsyncMcapExposureReportAccessorImpl(accessor)
AsyncMcapExposureReportApi()	API for a market-cap-weighted exposure report.
McapExposureReportAccessorImpl(accessor)
McapExposureReportApi()	API for a market-cap-weighted exposure report.
McapExposureReportSettings(**data)	Settings for a market-cap-weighted exposure report.
AsyncPortfolioCoverageReportAccessor(accessor)	Asynchronous typed wrapper around the generic coverage report.
CoverageStat
AsyncPortfolioCoverageReportAccessorImpl(...)
AsyncPortfolioCoverageReportApi()	API for raw portfolio identifier coverage.
PortfolioCoverageReportAccessor(accessor)	Typed wrapper around the generic portfolio coverage report.
PortfolioCoverageReportAccessorImpl(accessor)
PortfolioCoverageReportApi()	API for raw portfolio identifier coverage.
PortfolioCoverageReportSettings(**data)	Settings for dataset-backed portfolio coverage metrics.
AsyncPortfolioHoldingsReportAccessor(accessor)	Specific accessor for a portfolio holdings report.
AsyncPortfolioHoldingsReportAccessorImpl(...)
AsyncPortfolioHoldingsReportApi()	API for a universe count report.
PortfolioHoldingsReportAccessorImpl(accessor)
PortfolioHoldingsReportApi()	API for a universe count report.
PortfolioHoldingsReportSettings(**data)	Settings for a portfolio holdings report.
AsyncPortfolioReturnsReportAccessor(accessor)	Specific accessor for a portfolio returns report.
AsyncPortfolioReturnsReportAccessorImpl(accessor)
AsyncPortfolioReturnsReportApi()	API for a portfolio returns report.
PortfolioReturnsReportAccessorImpl(accessor)
PortfolioReturnsReportApi()	API for a portfolio returns report.
PortfolioReturnsReportSettings(**data)	Settings for a portfolio returns report.
AsyncPortfolioReturnsTieoutReportAccessor(...)	Specific accessor for a portfolio returns tie-out report.
AsyncPortfolioReturnsTieoutReportAccessorImpl(...)
AsyncPortfolioReturnsTieoutReportApi()	API for a portfolio returns tie-out report.
PortfolioReturnsTieoutReportAccessorImpl(...)
PortfolioReturnsTieoutReportApi()	API for a portfolio returns tie-out report.
PortfolioReturnsTieoutReportSettings(**data)	Settings for a portfolio returns tie-out report.
TieoutReferenceRef(**data)	Reference to an uploaded reference time-series for one hierarchy leaf.
AsyncReturnAttributionReportAccessor(accessor)	Specific accessor for a return attribution report.
AsyncReturnAttributionReportAccessorImpl(...)
AsyncReturnAttributionReportApi()	API for a return attribution report.
ReturnAttributionReportAccessorImpl(accessor)
ReturnAttributionReportApi()	API for a return attribution report.
ReturnAttributionReportSettings(**data)	Settings for a return attribution drilldown report.
AnyScenarioSettings	Runtime representation of an annotated type.
Basket(**data)	A user-defined basket of assets that behaves as a thematic factor.
BasketFactorScenario(**data)	Scenario definition for user-defined thematic basket factors.
HoldingsOverrideWindow(**data)	A time-windowed set of holdings overrides for a single portfolio.
OverrideUnit(value)	Interpretation of the float values in HoldingsOverrideWindow.overrides.
PortfolioHoldingsScenario(**data)	Scenario definition for portfolio holdings overrides.
PortfolioOverride(**data)	All overrides for a single portfolio within a scenario.
RebalanceFrequency(value)	How often to reapply the overridden holdings.
ScenarioSettings(**data)	Base class for scenario settings.
TSFactorSelection(**data)	Selection of a single factor from an uploaded time-series dataset.
TSFactorSpec(**data)	Specification for deriving a risk model with user-defined TS factors.
FactorCovarianceSettings(**data)	Settings for factor covariance matrix forecasts.
IdioVolSettings(**data)	Settings for idiosyncratic volatility matrix forecasts.
FactorModelReportSettings(**data)	Report settings that run on a factor risk model.
ReportSettings(**data)	Concrete settings for a report.
ReportSettingsMenu(**data)	Composite menu of every option a report can reference.
AsyncUniverseCountReportAccessor(accessor)	Specific accessor for a universe count report.
AsyncUniverseCountReportAccessorImpl(accessor)
AsyncUniverseCountReportApi()	API for a universe count report.
UniverseCountReportAccessorImpl(accessor)
UniverseCountReportApi()	API for a universe count report.
UniverseCountReportSettings(**data)	Settings for a universe count report.
AsyncWeightsReportAccessor(accessor)	Accessor for a weights report.
AsyncWeightsReportAccessorImpl(accessor)
AsyncWeightsReportApi()	API for a weights report.
WeightsReportAccessorImpl(accessor)
WeightsReportApi()	API for a weights report.
WeightsReportSettings(**data)	Settings for a weights report.
AsyncXSRReportAccessor(accessor)	Specific accessor for an XSR report.
AsyncXSRReportAccessorImpl(accessor)
AsyncXSRReportApi()	API for an XSR report.
XSRReportAccessorImpl(accessor)
XSRReportApi()	API for an XSR report.
XSRReportSettings(**data)	Settings for an XSR (cross-sectional risk) report.
AsyncReportAccessorApi()	Abstract base class for report accessor APIs.
IllegalPathError	Exception raised for illegal path operations.
ReportAccessorApi()	Abstract base class for report accessor APIs.
ReportAccessorSettings(**data)	Settings for report accessor configuration.
PortfolioHoldingsAssetTearsheet(**data)	Tearsheet for a single asset's holdings, or for a whole portfolio's.
PortfolioHoldingsMetric
AssetNotHeldError	Raised when nothing is held under the requested asset, portfolio and dates.
BaseAssetTearsheet(**data)	What every report's tearsheet carries: its subject and its date axis.
create_holdings_tearsheet_async(accessor, *)
create_holdings_tearsheet_sync(accessor, *)

Equity Portfolio Hierarchy

AsyncPortfolioHierarchyApi()	Abstract base class for portfolio hierarchy APIs.
AsyncPortfolioHierarchyImpl(settings, ...)	Report-backed portfolio hierarchy facade.
AsyncPortfolioHierarchyLoaderImpl(...)
AsyncPortfolioHierarchyLoaderApi()	API for loading portfolio hierarchies.
PortfolioHierarchyApi()	Abstract base class for portfolio hierarchy APIs.
PortfolioHierarchyImpl(settings, dataset, ...)	Report-backed portfolio hierarchy facade.
PortfolioHierarchyLoaderApi()	API for loading portfolio hierarchies.
PortfolioHierarchyLoaderImpl(...)
SYSTEM_GROUPING_PREFIX	str(object='') -> str str(bytes_or_buffer[, encoding[, errors]]) -> str
PortfolioHierarchySettings(**data)	Specifies portfolio hierarchies with arbitrary groupings (e.g. manager, etc.).
PortfolioHierarchySettingsMenu(**data)	Specifies the set of available portfolios that can be used to create hierarchies.
resolve_grouping_labels(portfolio_ids, groupings)	Resolve per-fund grouping labels onto rows, coarsest level first.
system_level_name(idx)	Canonical column name for the idx-th auto-decompose level (1-indexed).

Equity ID

AssetIdApi()	Abstract base class for asset ID API operations.
AsyncAssetIdApi()	Abstract base class for asset ID API operations.

Equity Calendar

AsyncCalendarApi()	Abstract base class for async calendar API operations.
AsyncCalendarLoaderApi()	Registry-based API for loading calendar data.
CalendarApi()	Abstract base class for calendar API operations.
CalendarLoaderApi()	Registry-based API for loading calendar data.
CalendarSettings(**data)	Calendar settings carrying exchange filters to construct calendars from.
CalendarSettingsMenu(**data)	Contain the available settings that can be used for the calendar settings.

Equity Uploaders

AsyncDataTypeUploaderApi()	Expose different datasets of an uploader.
AsyncUploaderApi()	Provide functionality to parse, stage and upload data to a versioned storage.
AsyncUploadersApi()	Expose uploaders for different data types, e.g. exposures, portfolios, etc.
AsyncUploadParserApi()	Abstract base class for upload parsers.
DataTypeUploaderApi()	Expose different datasets of an uploader.
MultiParserResult(**data)	Result of multiple parser operations.
UploadCommitResult(**data)	Result of a commit operation.
UploadDataTypeFreshness(**data)	Freshness summary for an upload data type.
UploaderApi()	Provide functionality to parse, stage and upload data to a versioned storage.
UploadError	Exception raised for upload-related errors.
UploadersApi()	Expose uploaders for different data types, e.g. exposures, portfolios, etc.
UploadParserApi()	Abstract base class for upload parsers.
UploadParserResult(**data)	Result of a parser operation.
UploadPermissionError	Raised when an upload operation is rejected for permission reasons.
UploadStagingResult(**data)	Result of a staging operation.
UploadSettings(**data)	Settings for uploading data.
UploadSettingsMenu(**data)	Menu for upload settings.

Equity Risk Dataset

AsyncRiskDatasetApi()	API for managing risk datasets.
AsyncRiskDatasetLoaderApi()	API for loading and managing risk datasets.
RiskDatasetApi()	API for managing risk datasets.
RiskDatasetLoaderApi()	API for loading and managing risk datasets.
AnyRiskDatasetSettings	Runtime representation of an annotated type.
DerivedRiskDatasetSettings(**data)	Settings for creating a derived risk dataset built on top of a parent.
RiskDatasetExposureSettings	Runtime representation of an annotated type.
RiskDatasetHuberRegressionExposureSettings(**data)	Settings for Huber regression-based exposure data in a risk dataset.
RiskDatasetMetadata(**data)	Metadata for a risk dataset.
RiskDatasetProperties(**data)	Properties and configuration menus for a risk dataset.
RiskDatasetReferencedExposureSettings(**data)	Settings for referenced exposure data in a risk dataset.
RiskDatasetSettings(**data)	Base settings for a risk dataset.
RiskDatasetSettingsMenu(**data)	Joint menu for both DerivedRiskDatasetSettings and RootRiskDatasetSettings.
RiskDatasetUnitExposureSettings(**data)	Settings for unit exposure data in a risk dataset.
RiskDatasetUpdateResult(**data)	Result of a risk dataset update operation.
RiskDatasetUploadedExposureSettings(**data)	Settings for uploaded exposure data in a risk dataset.
RootRiskDatasetSettings(**data)	Settings for creating a root risk dataset directly from uploads.
DatasetStatus