bayesline.api.equity.FactorVolForecastMeasureSettings

pydantic model bayesline.api.equity.FactorVolForecastMeasureSettings

Show JSON schema

{
   "title": "FactorVolForecastMeasureSettings",
   "type": "object",
   "properties": {
      "type": {
         "const": "FactorVolForecast",
         "default": "FactorVolForecast",
         "title": "Type",
         "type": "string"
      },
      "window": {
         "default": "6mo",
         "description": "The size of the rolling window",
         "title": "Window",
         "type": "string"
      },
      "metric": {
         "default": "qlike",
         "description": "The metric to use",
         "enum": [
            "qlike",
            "mse",
            "mae",
            "bias"
         ],
         "title": "Metric",
         "type": "string"
      },
      "ddof": {
         "default": 1,
         "description": "The degrees of freedom to use for the stability",
         "title": "Ddof",
         "type": "integer"
      }
   },
   "additionalProperties": false
}

Config:

• frozen: bool = True

• extra: str = forbid

Fields:

• ddof (int)

• metric (Literal['qlike', 'mse', 'mae', 'bias'])

• type (Literal['FactorVolForecast'])

• window (str)

field type: Literal['FactorVolForecast'] = 'FactorVolForecast'

field window: str = '6mo'

The size of the rolling window

field metric: Literal['qlike', 'mse', 'mae', 'bias'] = 'qlike'

The metric to use

field ddof: int = 1

The degrees of freedom to use for the stability

property columns: list[str]