bayesline.api.equity.ExposureSettings#
- pydantic model bayesline.api.equity.ExposureSettings#
Defines exposures as hierarchy of selected styles and substyles.
Show JSON schema
{ "title": "ExposureSettings", "description": "Defines exposures as hierarchy of selected styles and substyles.", "type": "object", "properties": { "market": { "default": true, "description": "\n Whether to include the market factor in the model.\n ", "title": "Market", "type": "boolean" }, "styles": { "anyOf": [ { "additionalProperties": { "items": { "type": "string" }, "type": "array" }, "type": "object" }, { "type": "null" } ], "default": null, "description": "\n A mapping where the keys are style codes or labels and the values are\n lists of included sub-style names or labels.\n By default (None) the entire available style/substyle hierarchy will be used.\n Passing an empty dict will exclude all styles.\n ", "title": "Styles" }, "standardize_styles": { "default": true, "description": "Whether to standardize the style exposures.", "title": "Standardize Styles", "type": "boolean" }, "industries": { "anyOf": [ { "$ref": "#/$defs/HierarchyLevel" }, { "$ref": "#/$defs/HierarchyGroups" }, { "type": "null" } ], "description": "\n The definition of how industry factors are being constructed.\n The default is to use the same hiearchy as was used to define the universe\n at level 1 (i.e. coarse grouping).\n None indicates that no industry factors should be included.\n ", "title": "Industries" }, "regions": { "anyOf": [ { "$ref": "#/$defs/HierarchyLevel" }, { "$ref": "#/$defs/HierarchyGroups" }, { "type": "null" } ], "description": "\n The definition of how region factors are being constructed.\n The default is to use the same hiearchy as was used to define the universe\n at level 2 (i.e. granular grouping).\n None indicates that no region factors should be included.\n ", "title": "Regions" }, "other": { "additionalProperties": { "type": "string" }, "description": "\n A mapping of other factors to include in the model, to the exposure names or\n labels. For example, to include the risk free rate as an exposure, the mapping\n could be `{\"Risk Free Rate\": \"us_rate_3m\"}`, or \n `{\"Risk-Free-Rate\": \"3 Month US TBill Rate\"}`, the key being the exposure name \n in the output.\n ", "title": "Other", "type": "object" } }, "$defs": { "Hierarchy": { "anyOf": [ { "items": { "type": "string" }, "type": "array" }, { "additionalProperties": { "$ref": "#/$defs/Hierarchy" }, "type": "object" } ] }, "HierarchyGroups": { "description": "The hierarchy group description allows for a nested definition\nof groupings.\nThe top level groupings will turn into factors, whereas any nested\ngroupings will be retained for other uses (e.g. risk decomposition).", "properties": { "hierarchy": { "description": "\n The name of the hierarchy to use, e.g. 'trbc' or 'continent'.\n If it is not given then the default hierarchy will be used.\n ", "examples": [ "trbc", "continent" ], "minLength": 1, "title": "Hierarchy", "type": "string" }, "groupings": { "additionalProperties": { "$ref": "#/$defs/Hierarchy" }, "description": "\n A nested structure of groupings where the keys are the group names\n and the leaf level is a list of hierarchy codes or labels (at any level)\n to include for this group.\n ", "title": "Groupings", "type": "object" } }, "required": [ "hierarchy", "groupings" ], "title": "HierarchyGroups", "type": "object" }, "HierarchyLevel": { "description": "The hierarchy level description turns every name at\nthe configured level into a separate factor.\n\nE.g. for industries specifying level `1` would\ncreate top level sector factors.", "properties": { "hierarchy": { "description": "\n The name of the hierarchy to use, e.g. 'trbc' or 'continent'.\n If it is not given then the default hierarchy will be used.\n ", "examples": [ "trbc", "continent" ], "minLength": 1, "title": "Hierarchy", "type": "string" }, "level": { "default": 1, "description": "The level of the hierarchy to use, e.g. 1\n to use all level 1 names (i.e. sectors for industries or\n continents for regions) or 2 to use all level 2\n names (i.e. sub-sectors for industries and\n countries for regions).\n ", "examples": [ 1, 2 ], "minimum": 1, "title": "Level", "type": "integer" } }, "required": [ "hierarchy" ], "title": "HierarchyLevel", "type": "object" } }, "additionalProperties": false }
- Config:
frozen: bool = True
extra: str = forbid
- Fields:
industries (bayesline.api._src.equity.exposure_settings.HierarchyLevel | bayesline.api._src.equity.exposure_settings.HierarchyGroups | None)market (bool)other (collections.abc.Mapping[str, str])regions (bayesline.api._src.equity.exposure_settings.HierarchyLevel | bayesline.api._src.equity.exposure_settings.HierarchyGroups | None)standardize_styles (bool)styles (collections.abc.Mapping[str, list[str]] | None)
- classmethod default() ExposureSettings#
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field styles:
Mapping[str,list[str]] |None= None# A mapping where the keys are style codes or labels and the values are lists of included sub-style names or labels. By default (None) the entire available style/substyle hierarchy will be used. Passing an empty dict will exclude all styles.
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field industries:
HierarchyLevel|HierarchyGroups|None[Optional]# The definition of how industry factors are being constructed. The default is to use the same hiearchy as was used to define the universe at level 1 (i.e. coarse grouping). None indicates that no industry factors should be included.
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field regions:
HierarchyLevel|HierarchyGroups|None[Optional]# The definition of how region factors are being constructed. The default is to use the same hiearchy as was used to define the universe at level 2 (i.e. granular grouping). None indicates that no region factors should be included.
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field other:
Mapping[str,str] [Optional]# A mapping of other factors to include in the model, to the exposure names or labels. For example, to include the risk free rate as an exposure, the mapping could be {“Risk Free Rate”: “us_rate_3m”}, or {“Risk-Free-Rate”: “3 Month US TBill Rate”}, the key being the exposure name in the output.