bayesline.api.equity.AVaRMeasureSettings

pydantic model bayesline.api.equity.AVaRMeasureSettings

Settings for analytical VaR measure.

This class defines settings for an analytical Value at Risk (VaR) measure, which provides analytical VaR calculations at specified confidence levels.

Show JSON schema

{
   "title": "AVaRMeasureSettings",
   "description": "Settings for analytical VaR measure.\n\nThis class defines settings for an analytical Value at Risk (VaR) measure,\nwhich provides analytical VaR calculations at specified confidence levels.",
   "type": "object",
   "properties": {
      "type": {
         "const": "Analytical VaR",
         "default": "Analytical VaR",
         "title": "Type",
         "type": "string"
      },
      "alpha": {
         "default": [
            0.1,
            0.05
         ],
         "items": {
            "type": "number"
         },
         "title": "Alpha",
         "type": "array"
      }
   },
   "additionalProperties": false
}

Config:

• frozen: bool = True

• extra: str = forbid

Fields:

• alpha (list[float])

• type (Literal['Analytical VaR'])

field type: Literal['Analytical VaR'] = 'Analytical VaR'

field alpha: list[float] = [0.1, 0.05]

property columns: list[str]

Get the column names for this measure.

Returns

list[str]

The column names for this measure.