bayesline.api.equity.ExposureSettingsMenu

bayesline.api.equity.ExposureSettingsMenu#

pydantic model bayesline.api.equity.ExposureSettingsMenu#

Contains the available settings that can be used to define exposures.

Show JSON schema

{
   "title": "ExposureSettingsMenu",
   "description": "Contains the available settings that can be used to define exposures.",
   "type": "object",
   "properties": {
      "market": {
         "description": "\n        The unique market factor code to use in the model.\n        ",
         "title": "Market",
         "type": "string"
      },
      "styles": {
         "additionalProperties": {
            "items": {
               "type": "string"
            },
            "type": "array"
         },
         "description": "\n        A mapping where the key is the name of an exposure style codes (e.g. 'LEVERAGE')\n        and the value is a list of available sub-style codes (e.g. 'DEBT_TO_ASSETS')\n        ",
         "title": "Styles",
         "type": "object"
      },
      "industries": {
         "additionalProperties": {
            "additionalProperties": {
               "$ref": "#/$defs/Hierarchy"
            },
            "type": "object"
         },
         "description": "\n        A dictionary where the key is the name of the industry hierarchy (e.g. 'TRBC')\n        and the value is a N-level nested dictionary structure of the industry hierarchy\n        codes.\n        ",
         "title": "Industries",
         "type": "object"
      },
      "regions": {
         "additionalProperties": {
            "additionalProperties": {
               "$ref": "#/$defs/Hierarchy"
            },
            "type": "object"
         },
         "description": "\n        A dictionary where the key is the name of the region hierarchy (e.g.\n        'CONTINENT') and the value is a N-level nested dictionary structure of the\n        region hierarchy codes.\n        ",
         "title": "Regions",
         "type": "object"
      },
      "other": {
         "description": "\n        A set of other factor codes that can be included in the model.\n        ",
         "items": {
            "type": "string"
         },
         "title": "Other",
         "type": "array",
         "uniqueItems": true
      },
      "market_labels": {
         "additionalProperties": {
            "type": "string"
         },
         "description": "\n        A mapping from unique market factor code to a human readable name. This is just \n        one pair, but the name is `market_labels` to be consistent.\n        ",
         "maxProperties": 1,
         "minProperties": 1,
         "title": "Market Labels",
         "type": "object"
      },
      "style_labels": {
         "additionalProperties": {
            "type": "string"
         },
         "description": "\n        A mapping from unique style/substyle code to a human readable name.\n        ",
         "title": "Style Labels",
         "type": "object"
      },
      "industry_labels": {
         "additionalProperties": {
            "additionalProperties": {
               "type": "string"
            },
            "type": "object"
         },
         "description": "\n        A dictionary where the key is the name of the industry hierarchy and\n        the value is a mapping from unique industry code to a human readable name.\n        ",
         "title": "Industry Labels",
         "type": "object"
      },
      "region_labels": {
         "additionalProperties": {
            "additionalProperties": {
               "type": "string"
            },
            "type": "object"
         },
         "description": "\n        A dictionary where the key is the name of the region hierarchy and\n        the value is a mapping from unique region code to a human readable name.\n        ",
         "title": "Region Labels",
         "type": "object"
      },
      "other_labels": {
         "additionalProperties": {
            "type": "string"
         },
         "description": "\n        A mapping from unique other factor code to a human readable name.\n        ",
         "title": "Other Labels",
         "type": "object"
      }
   },
   "$defs": {
      "Hierarchy": {
         "anyOf": [
            {
               "items": {
                  "type": "string"
               },
               "type": "array"
            },
            {
               "additionalProperties": {
                  "$ref": "#/$defs/Hierarchy"
               },
               "type": "object"
            }
         ]
      }
   },
   "additionalProperties": false,
   "required": [
      "market",
      "styles",
      "industries",
      "regions",
      "other",
      "market_labels",
      "style_labels",
      "industry_labels",
      "region_labels",
      "other_labels"
   ]
}

Config:

frozen: bool = True
extra: str = forbid

Fields:

industries (collections.abc.Mapping[str, collections.abc.Mapping[str, Hierarchy]])
industry_labels (collections.abc.Mapping[str, collections.abc.Mapping[str, str]])
market (str)
market_labels (collections.abc.Mapping[str, str])
other (set[str])
other_labels (collections.abc.Mapping[str, str])
region_labels (collections.abc.Mapping[str, collections.abc.Mapping[str, str]])
regions (collections.abc.Mapping[str, collections.abc.Mapping[str, Hierarchy]])
style_labels (collections.abc.Mapping[str, str])
styles (collections.abc.Mapping[str, list[str]])

Validators:

check_all_codes_have_labels » all fields
check_nonempty_hierarchy » industries
check_nonempty_hierarchy » regions
check_nonempty_hierarchy_if_provided » styles
check_unique_hierarchy » industries
check_unique_hierarchy » regions
check_unique_hierarchy » styles

field market: str [Required]#

The unique market factor code to use in the model.

Validated by:

check_all_codes_have_labels

field styles: Mapping[str, list[str]] [Required]#

A mapping where the key is the name of an exposure style codes (e.g. ‘LEVERAGE’) and the value is a list of available sub-style codes (e.g. ‘DEBT_TO_ASSETS’)

Validated by:

check_all_codes_have_labels
check_nonempty_hierarchy_if_provided
check_unique_hierarchy

field industries: Mapping[str, Mapping[str, TypeAliasType]] [Required]#

A dictionary where the key is the name of the industry hierarchy (e.g. ‘TRBC’) and the value is a N-level nested dictionary structure of the industry hierarchy codes.

Validated by:

check_all_codes_have_labels
check_nonempty_hierarchy
check_unique_hierarchy

field regions: Mapping[str, Mapping[str, TypeAliasType]] [Required]#

A dictionary where the key is the name of the region hierarchy (e.g. ‘CONTINENT’) and the value is a N-level nested dictionary structure of the region hierarchy codes.

Validated by:

check_all_codes_have_labels
check_nonempty_hierarchy
check_unique_hierarchy

field other: set[str] [Required]#

A set of other factor codes that can be included in the model.

Validated by:

check_all_codes_have_labels

field market_labels: Mapping[str, str] [Required]#

A mapping from unique market factor code to a human readable name. This is just one pair, but the name is market_labels to be consistent.

Constraints:

min_length = 1
max_length = 1

Validated by:

check_all_codes_have_labels

field style_labels: Mapping[str, str] [Required]#

A mapping from unique style/substyle code to a human readable name.

Validated by:

check_all_codes_have_labels

field industry_labels: Mapping[str, Mapping[str, str]] [Required]#

A dictionary where the key is the name of the industry hierarchy and the value is a mapping from unique industry code to a human readable name.

Validated by:

check_all_codes_have_labels

field region_labels: Mapping[str, Mapping[str, str]] [Required]#

A dictionary where the key is the name of the region hierarchy and the value is a mapping from unique region code to a human readable name.

Validated by:

check_all_codes_have_labels

field other_labels: Mapping[str, str] [Required]#

A mapping from unique other factor code to a human readable name.

Validated by:

check_all_codes_have_labels

effective_industry_hierarchy(filter_settings: IndustrySettings, settings: HierarchyLevel | HierarchyGroups | None) → Mapping[str, Hierarchy]#

Parameters#

filter_settings: IndustrySettings: the settings to use to filter the universe.
settings: HierarchyLevel | HierarchyGroups | None: the settings to use to determine the industry factors.

Returns#

A dict structure where the keys are the industry factor names and the values are the industry codes that are included in that factor.

effective_region_hierarchy(filter_settings: RegionSettings, settings: HierarchyLevel | HierarchyGroups | None) → Mapping[str, Hierarchy]#

Parameters#

filter_settings: RegionSettings: the settings to use to filter the universe.
settings: HierarchyLevel | HierarchyGroups | None: the settings to use to determine the region factors.

Returns#

A dict structure where the keys are the region factor names and the values are the region codes that are included in that factor.

normalize(universe_settings: UniverseSettings, exposure_settings: ExposureSettings) → ExposureSettings#

Normalizes the given exposure settings by converting all style and substyle codes/labels to their corresponding codes/labels.

Parameters#

universe_settings: UniverseSettings: the universe settings to use for normalization.
exposure_settings: ExposureSettings: the exposure settings to normalize.

Returns#

A new exposure settings object with all style and substyle code/labels converted to codes/labels.

normalize_styles(styles: Mapping[str, list[str]] | None) → dict[str, list[str]]#

all_substyles(settings: ExposureSettings | None = None, *, labels: bool = False) → list[str]#

Parameters#

settings: ExposureSettings, optional: the exposure settings to get all substyles for.
labels: bool, optional: whether to return the substyles as labels or codes.

Returns#

A sorted flat list of all substyles in this settings menu or all configured substyles if a settings object is given.

describe(settings: ExposureSettings | None = None) → str#

Parameters#

settingsSettingsType | None: The settings to describe. If None, then the description is not evaluated against any settings.

Returns#

A human readable description of the settings menu, optionally evaluated against the given settings.

validator check_unique_hierarchy → Mapping[str, Mapping[str, Hierarchy]] » regions, industries, styles#

validator check_nonempty_hierarchy → Mapping[str, Mapping[str, Hierarchy]] » industries, regions#

validator check_nonempty_hierarchy_if_provided → Mapping[str, Mapping[str, Hierarchy]] » styles#

validator check_all_codes_have_labels → ExposureSettingsMenu » all fields#

validate_settings(settings: ExposureSettings) → None#

Validates the given exposure settings against the available settings.

Will raise an ValueError if settings are invalid.

Parameters#

settings: ExposureSettings: the exposure settings to validate against.

validate_styles(settings: Mapping[str, list[str]] | None) → None#

Validates the given style settings against the available settings.

Will raise an ValueError if settings are invalid.

Parameters#

settings: Mapping[str, list[str]]: the style settings to validate against.

static validate_hierarchy(hierarchies: Mapping[str, Hierarchy], labels: Mapping[str, Mapping[str, str]], settings: HierarchyLevel | HierarchyGroups | None, enforce_full: bool) → None#

validate_other(settings: Mapping[str, str]) → None#

Validates the given other settings against the available settings.

Will raise an ValueError if settings are invalid.

Parameters#

settings: Mapping[str, str]: the other settings to validate against.

bayesline.api.equity.ExposureSettingsMenu

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