bayesline.api.equity.McapExposureReportAccessorImpl

class bayesline.api.equity.McapExposureReportAccessorImpl(accessor: ReportAccessorApi)

__init__(accessor: ReportAccessorApi)

Methods

__init__(accessor)
get_mcap_weighted_exposures()	Get the time-series of market-cap-weighted exposures for the factors.
with_scenario(scenario_settings)	Return a new accessor with the given scenario settings applied.

Attributes

accessor	The underlying report accessor API.
scenario_types

__init__(accessor: ReportAccessorApi)

property accessor: ReportAccessorApi

The underlying report accessor API.

Returns

ReportAccessorApi

The underlying report accessor API.

get_mcap_weighted_exposures() → DataFrame

Get the time-series of market-cap-weighted exposures for the factors.

For each date and factor, this computes the sum of exposure_i * mcap_i across all assets in the estimation universe.

Returns

pl.DataFrame

A dataframe with a date column and columns for each factor with their respective market-cap-weighted exposures, in factor_group^factor format.