bayesline.api.equity.ReportSettings#
- pydantic model bayesline.api.equity.ReportSettings#
Defines settings to build a report.
Show JSON schema
{ "title": "ReportSettings", "description": "Defines settings to build a report.", "type": "object", "properties": { "report": { "anyOf": [ { "$ref": "#/$defs/HoldingsReportSettings" }, { "$ref": "#/$defs/ExposureReportSettings" }, { "$ref": "#/$defs/XSRReportSettings" }, { "$ref": "#/$defs/TSXSRReportSettings" }, { "$ref": "#/$defs/TSBetaReportSettings" }, { "$ref": "#/$defs/VaRReportSettings" }, { "$ref": "#/$defs/FactorTSReportSettings" }, { "$ref": "#/$defs/RiskModelFitReportSettings" }, { "$ref": "#/$defs/RiskModelFitFactorReportSettings" }, { "$ref": "#/$defs/RiskModelPortfolioFitReportSettings" }, { "$ref": "#/$defs/FactorForecastLossReportSettings" }, { "$ref": "#/$defs/AssetForecastLossReportSettings" }, { "$ref": "#/$defs/FactorCovarianceReportSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnReportSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityReportSettings" }, { "$ref": "#/$defs/FactorIdioReportSettings" }, { "$ref": "#/$defs/StyleCorrelationReportSettings" }, { "$ref": "#/$defs/StyleIndustryExposureReportSettings" }, { "$ref": "#/$defs/ForecastBacktestReportSettings" }, { "$ref": "#/$defs/BrinsonAttributionReportSettings" }, { "$ref": "#/$defs/FactorAttributionReportSettings" }, { "$ref": "#/$defs/PortfolioStressTestReportSettings" }, { "$ref": "#/$defs/AssetStressTestReportSettings" }, { "$ref": "#/$defs/AssetHoldingsReportSettings" } ], "title": "Report" }, "risk_model": { "anyOf": [ { "type": "string" }, { "type": "integer" }, { "$ref": "#/$defs/FactorRiskModelSettings" } ], "description": "The risk model to use for the report.", "title": "Risk Model" } }, "$defs": { "AVaRMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "Analytical VaR", "default": "Analytical VaR", "title": "Type", "type": "string" }, "alpha": { "default": [ 0.1, 0.05 ], "items": { "type": "number" }, "title": "Alpha", "type": "array" } }, "title": "AVaRMeasureSettings", "type": "object" }, "AssetForecastLossReportSettings": { "additionalProperties": false, "description": "Defines settings to build a forecast loss report.", "properties": { "type": { "const": "Forecast Loss report", "default": "Forecast Loss report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" }, "horizons": { "default": [ 1, 5, 21 ], "description": "The forecast horizons to use.", "items": { "type": "integer" }, "title": "Horizons", "type": "array" }, "halflife_factor_vol": { "default": 42, "description": "The half-life for the factor volatility.", "title": "Halflife Factor Vol", "type": "integer" }, "halflife_factor_adj": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The half-life for the factor adjustment. If None, no adjustment is applied.", "title": "Halflife Factor Adj" }, "halflife_factor_cor": { "default": 126, "description": "The half-life for the factor correlation.", "title": "Halflife Factor Cor", "type": "integer" }, "halflife_idio_vol": { "default": 42, "description": "The half-life for the idiosyncratic volatility.", "title": "Halflife Idio Vol", "type": "integer" }, "shrink_factor_cor_method": { "anyOf": [ { "enum": [ "LIS", "QIS", "GIS" ], "type": "string" }, { "type": "null" } ], "default": null, "description": "The method to use for the shrinkage of the factor correlation. If None, don't shrink.", "title": "Shrink Factor Cor Method" }, "shrink_factor_cor_length": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": 1008, "description": "If a shrinkage method is provided, the length of the shrinkage for the factor correlation.", "title": "Shrink Factor Cor Length" }, "shrink_factor_cor_standardized": { "default": false, "description": "If True, the correlation matrix is combined with an estimate based on the standardized returns. The halflife_factor_adj is used for the weights.", "title": "Shrink Factor Cor Standardized", "type": "boolean" }, "overlap_factor_vol": { "default": 0, "description": "The overlap for the factor volatility.", "title": "Overlap Factor Vol", "type": "integer" }, "overlap_factor_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the factor volatility for lagged returns.", "title": "Overlap Factor Vol Halflife Override" }, "overlap_factor_cor": { "default": 0, "description": "The overlap for the factor correlation.", "title": "Overlap Factor Cor", "type": "integer" }, "overlap_idio_vol": { "default": 0, "description": "The overlap for the idiosyncratic volatility.", "title": "Overlap Idio Vol", "type": "integer" }, "overlap_idio_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the idiosyncratic volatility for lagged returns.", "title": "Overlap Idio Vol Halflife Override" }, "shrink_idio_vol": { "default": 0.0, "description": "The shrinkage factor for the idiosyncratic volatility.", "title": "Shrink Idio Vol", "type": "number" } }, "title": "AssetForecastLossReportSettings", "type": "object" }, "AssetHoldingsMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "AssetHoldings", "default": "AssetHoldings", "title": "Type", "type": "string" } }, "title": "AssetHoldingsMeasureSettings", "type": "object" }, "AssetHoldingsReportSettings": { "additionalProperties": false, "description": "Defines settings to build an asset holdings report.", "properties": { "type": { "const": "Asset Holdings report", "default": "Asset Holdings report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" } }, "title": "AssetHoldingsReportSettings", "type": "object" }, "AssetStressTestMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "AssetStressTest", "default": "AssetStressTest", "title": "Type", "type": "string" }, "shock_size": { "default": 1.0, "description": "The size of the shock to apply in standard deviations.", "title": "Shock Size", "type": "number" } }, "title": "AssetStressTestMeasureSettings", "type": "object" }, "AssetStressTestReportSettings": { "additionalProperties": false, "description": "Defines settings to build an asset stress test report.", "properties": { "type": { "const": "Asset Stress Test report", "default": "Asset Stress Test report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" }, "halflife_factor_vol": { "default": 42, "description": "The half-life for the factor volatility.", "title": "Halflife Factor Vol", "type": "integer" }, "halflife_factor_adj": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The half-life for the factor adjustment. If None, no adjustment is applied.", "title": "Halflife Factor Adj" }, "halflife_factor_cor": { "default": 126, "description": "The half-life for the factor correlation.", "title": "Halflife Factor Cor", "type": "integer" }, "halflife_idio_vol": { "default": 42, "description": "The half-life for the idiosyncratic volatility.", "title": "Halflife Idio Vol", "type": "integer" }, "shrink_factor_cor_method": { "anyOf": [ { "enum": [ "LIS", "QIS", "GIS" ], "type": "string" }, { "type": "null" } ], "default": null, "description": "The method to use for the shrinkage of the factor correlation. If None, don't shrink.", "title": "Shrink Factor Cor Method" }, "shrink_factor_cor_length": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": 1008, "description": "If a shrinkage method is provided, the length of the shrinkage for the factor correlation.", "title": "Shrink Factor Cor Length" }, "shrink_factor_cor_standardized": { "default": false, "description": "If True, the correlation matrix is combined with an estimate based on the standardized returns. The halflife_factor_adj is used for the weights.", "title": "Shrink Factor Cor Standardized", "type": "boolean" }, "overlap_factor_vol": { "default": 0, "description": "The overlap for the factor volatility.", "title": "Overlap Factor Vol", "type": "integer" }, "overlap_factor_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the factor volatility for lagged returns.", "title": "Overlap Factor Vol Halflife Override" }, "overlap_factor_cor": { "default": 0, "description": "The overlap for the factor correlation.", "title": "Overlap Factor Cor", "type": "integer" }, "overlap_idio_vol": { "default": 0, "description": "The overlap for the idiosyncratic volatility.", "title": "Overlap Idio Vol", "type": "integer" }, "overlap_idio_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the idiosyncratic volatility for lagged returns.", "title": "Overlap Idio Vol Halflife Override" }, "shrink_idio_vol": { "default": 0.0, "description": "The shrinkage factor for the idiosyncratic volatility.", "title": "Shrink Idio Vol", "type": "number" } }, "title": "AssetStressTestReportSettings", "type": "object" }, "BrinsonAttributionMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "BrinsonAttribution", "default": "BrinsonAttribution", "title": "Type", "type": "string" }, "rescale_bench": { "default": true, "description": "Rescale the benchmark holdings to sum to the sum of the holdings.", "title": "Rescale Bench", "type": "boolean" }, "normalize_holdings": { "default": true, "description": "Make holdings sum to one.", "title": "Normalize Holdings", "type": "boolean" }, "multiperiod_aggregation": { "default": "none", "enum": [ "none", "optimized" ], "title": "Multiperiod Aggregation", "type": "string" }, "return_aggregation_type": { "default": "geometric", "enum": [ "arithmetic", "geometric" ], "title": "Return Aggregation Type", "type": "string" } }, "title": "BrinsonAttributionMeasureSettings", "type": "object" }, "BrinsonAttributionReportSettings": { "additionalProperties": false, "description": "Defines settings to build a Brinson attribution report.", "properties": { "type": { "const": "Brinson Attribution report", "default": "Brinson Attribution report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" } }, "title": "BrinsonAttributionReportSettings", "type": "object" }, "CalendarSettings": { "additionalProperties": false, "description": "Defines the settings for the calendar.", "properties": { "dataset": { "anyOf": [ { "type": "string" }, { "type": "null" } ], "default": null, "description": "The name of the underlying dataset to use. If none is given then the configured default dataset is used.", "examples": [ "Bayesline-US" ], "title": "Dataset" }, "filters": { "default": [ [ "XNYS" ] ], "description": "The filters to apply. Each filter is a list of exchange MIC codes. The outer list will be treated as an OR conditions, while the inner lists will be treated as an AND conditions. For example, `[['A', 'B'], ['C']]` means that the holidays are the days where either A and B are both holidays, or C is a holiday.", "examples": [ [ [ "XNYS" ] ], [ [ "XNYS", "XNAS" ] ], [ [ "XNYS" ], [ "XNAS" ] ] ], "items": { "items": { "type": "string" }, "type": "array" }, "minItems": 1, "title": "Filters", "type": "array" } }, "title": "CalendarSettings", "type": "object" }, "CumsumMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "Cumsum", "default": "Cumsum", "title": "Type", "type": "string" } }, "title": "CumsumMeasureSettings", "type": "object" }, "DrawdownMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "Drawdown", "default": "Drawdown", "title": "Type", "type": "string" }, "window": { "default": "6mo", "description": "The size of the rolling window", "title": "Window", "type": "string" } }, "title": "DrawdownMeasureSettings", "type": "object" }, "ExposureMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "Exposure", "default": "Exposure", "title": "Type", "type": "string" }, "rescale_bench": { "default": true, "description": "Rescale the benchmark holdings to sum to the sum of the holdings.", "title": "Rescale Bench", "type": "boolean" }, "normalize_holdings": { "default": true, "description": "Make holdings sum to one.", "title": "Normalize Holdings", "type": "boolean" } }, "title": "ExposureMeasureSettings", "type": "object" }, "ExposureReportSettings": { "additionalProperties": false, "description": "Defines settings to build an exposure report.", "properties": { "type": { "const": "Exposure report", "default": "Exposure report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" } }, "title": "ExposureReportSettings", "type": "object" }, "ExposureSettings": { "additionalProperties": false, "description": "Defines exposures as hierarchy of selected styles and substyles.", "properties": { "market": { "default": true, "description": "\n Whether to include the market factor in the model.\n ", "title": "Market", "type": "boolean" }, "styles": { "anyOf": [ { "additionalProperties": { "items": { "type": "string" }, "type": "array" }, "type": "object" }, { "type": "null" } ], "default": null, "description": "\n A mapping where the keys are style codes or labels and the values are\n lists of included sub-style names or labels.\n By default (None) the entire available style/substyle hierarchy will be used.\n Passing an empty dict will exclude all styles.\n ", "title": "Styles" }, "standardize_styles": { "default": true, "description": "Whether to standardize the style exposures.", "title": "Standardize Styles", "type": "boolean" }, "industries": { "anyOf": [ { "$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" } }, "title": "ExposureSettings", "type": "object" }, "FactorAttributionMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "FactorAttribution", "default": "FactorAttribution", "title": "Type", "type": "string" }, "rescale_bench": { "default": true, "description": "Rescale the benchmark holdings to sum to the sum of the holdings.", "title": "Rescale Bench", "type": "boolean" }, "normalize_holdings": { "default": true, "description": "Make holdings sum to one.", "title": "Normalize Holdings", "type": "boolean" }, "multiperiod_aggregation": { "default": "none", "enum": [ "none", "optimized" ], "title": "Multiperiod Aggregation", "type": "string" }, "return_aggregation_type": { "default": "geometric", "enum": [ "arithmetic", "geometric" ], "title": "Return Aggregation Type", "type": "string" } }, "title": "FactorAttributionMeasureSettings", "type": "object" }, "FactorAttributionReportSettings": { "additionalProperties": false, "description": "Defines settings to build a factor attribution report.", "properties": { "type": { "const": "Factor Attribution report", "default": "Factor Attribution report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" } }, "title": "FactorAttributionReportSettings", "type": "object" }, "FactorCovarianceMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "FactorCovariance", "default": "FactorCovariance", "title": "Type", "type": "string" } }, "title": "FactorCovarianceMeasureSettings", "type": "object" }, "FactorCovarianceReportSettings": { "additionalProperties": false, "description": "Defines settings to build a factor covariance report.", "properties": { "type": { "const": "Factor Covariance report", "default": "Factor Covariance report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" }, "halflife_factor_vol": { "default": 42, "description": "The half-life for the factor volatility.", "title": "Halflife Factor Vol", "type": "integer" }, "halflife_factor_adj": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The half-life for the factor adjustment. If None, no adjustment is applied.", "title": "Halflife Factor Adj" }, "halflife_factor_cor": { "default": 126, "description": "The half-life for the factor correlation.", "title": "Halflife Factor Cor", "type": "integer" }, "shrink_factor_cor_method": { "anyOf": [ { "enum": [ "LIS", "QIS", "GIS" ], "type": "string" }, { "type": "null" } ], "default": null, "description": "The method to use for the shrinkage of the factor correlation. If None, don't shrink.", "title": "Shrink Factor Cor Method" }, "shrink_factor_cor_length": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": 1008, "description": "If a shrinkage method is provided, the length of the shrinkage for the factor correlation.", "title": "Shrink Factor Cor Length" }, "shrink_factor_cor_standardized": { "default": false, "description": "If True, the correlation matrix is combined with an estimate based on the standardized returns. The halflife_factor_adj is used for the weights.", "title": "Shrink Factor Cor Standardized", "type": "boolean" }, "overlap_factor_vol": { "default": 0, "description": "The overlap for the factor volatility.", "title": "Overlap Factor Vol", "type": "integer" }, "overlap_factor_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the factor volatility for lagged returns.", "title": "Overlap Factor Vol Halflife Override" }, "overlap_factor_cor": { "default": 0, "description": "The overlap for the factor correlation.", "title": "Overlap Factor Cor", "type": "integer" } }, "title": "FactorCovarianceReportSettings", "type": "object" }, "FactorForecastLossReportSettings": { "additionalProperties": false, "description": "Defines settings to build a forecast loss report.", "properties": { "type": { "const": "Factor Forecast Loss report", "default": "Factor Forecast Loss report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" }, "horizons": { "default": [ 1, 5, 21 ], "description": "The forecast horizons to use.", "items": { "type": "integer" }, "title": "Horizons", "type": "array" }, "halflife_factor_vol": { "default": 42, "description": "The half-life for the factor volatility.", "title": "Halflife Factor Vol", "type": "integer" }, "halflife_factor_adj": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The half-life for the factor adjustment. If None, no adjustment is applied.", "title": "Halflife Factor Adj" }, "overlap_factor_vol": { "default": 0, "description": "The overlap for the factor volatility.", "title": "Overlap Factor Vol", "type": "integer" }, "overlap_factor_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the factor volatility for lagged returns.", "title": "Overlap Factor Vol Halflife Override" } }, "title": "FactorForecastLossReportSettings", "type": "object" }, "FactorIdioMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "FactorIdio", "default": "FactorIdio", "title": "Type", "type": "string" } }, "title": "FactorIdioMeasureSettings", "type": "object" }, "FactorIdioReportSettings": { "additionalProperties": false, "description": "Defines settings to build a factor vcov and idio report.", "properties": { "type": { "const": "Factor Idio report", "default": "Factor Idio report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" }, "halflife_factor_vol": { "default": 42, "description": "The half-life for the factor volatility.", "title": "Halflife Factor Vol", "type": "integer" }, "halflife_factor_adj": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The half-life for the factor adjustment. If None, no adjustment is applied.", "title": "Halflife Factor Adj" }, "halflife_factor_cor": { "default": 126, "description": "The half-life for the factor correlation.", "title": "Halflife Factor Cor", "type": "integer" }, "halflife_idio_vol": { "default": 42, "description": "The half-life for the idiosyncratic volatility.", "title": "Halflife Idio Vol", "type": "integer" }, "shrink_factor_cor_method": { "anyOf": [ { "enum": [ "LIS", "QIS", "GIS" ], "type": "string" }, { "type": "null" } ], "default": null, "description": "The method to use for the shrinkage of the factor correlation. If None, don't shrink.", "title": "Shrink Factor Cor Method" }, "shrink_factor_cor_length": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": 1008, "description": "If a shrinkage method is provided, the length of the shrinkage for the factor correlation.", "title": "Shrink Factor Cor Length" }, "shrink_factor_cor_standardized": { "default": false, "description": "If True, the correlation matrix is combined with an estimate based on the standardized returns. The halflife_factor_adj is used for the weights.", "title": "Shrink Factor Cor Standardized", "type": "boolean" }, "overlap_factor_vol": { "default": 0, "description": "The overlap for the factor volatility.", "title": "Overlap Factor Vol", "type": "integer" }, "overlap_factor_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the factor volatility for lagged returns.", "title": "Overlap Factor Vol Halflife Override" }, "overlap_factor_cor": { "default": 0, "description": "The overlap for the factor correlation.", "title": "Overlap Factor Cor", "type": "integer" }, "overlap_idio_vol": { "default": 0, "description": "The overlap for the idiosyncratic volatility.", "title": "Overlap Idio Vol", "type": "integer" }, "overlap_idio_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the idiosyncratic volatility for lagged returns.", "title": "Overlap Idio Vol Halflife Override" }, "shrink_idio_vol": { "default": 0.0, "description": "The shrinkage factor for the idiosyncratic volatility.", "title": "Shrink Idio Vol", "type": "number" } }, "title": "FactorIdioReportSettings", "type": "object" }, "FactorMovingAverageMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "FactorMovingAverage", "default": "FactorMovingAverage", "title": "Type", "type": "string" }, "window": { "default": "6mo", "description": "The size of the rolling window", "title": "Window", "type": "string" }, "var": { "default": "p", "description": "The variable to average", "enum": [ "abs_t", "p", "p1", "p5" ], "title": "Var", "type": "string" } }, "title": "FactorMovingAverageMeasureSettings", "type": "object" }, "FactorRiskModelSettings": { "additionalProperties": false, "description": "Defines all settings needed to build a factor risk model.", "properties": { "universe": { "description": "The universe to build the factor risk model on.", "items": { "anyOf": [ { "type": "string" }, { "type": "integer" }, { "$ref": "#/$defs/UniverseSettings" } ] }, "maxItems": 1, "minItems": 1, "title": "Universe", "type": "array" }, "exposures": { "description": "The exposures to build the factor risk model on.", "items": { "anyOf": [ { "type": "string" }, { "type": "integer" }, { "$ref": "#/$defs/ExposureSettings" } ] }, "minItems": 1, "title": "Exposures", "type": "array" }, "modelconstruction": { "description": "The model construction settings to use for the factor risk model.", "items": { "anyOf": [ { "type": "string" }, { "type": "integer" }, { "$ref": "#/$defs/ModelConstructionSettings" } ] }, "minItems": 1, "title": "Modelconstruction", "type": "array" } }, "title": "FactorRiskModelSettings", "type": "object" }, "FactorTSReportSettings": { "additionalProperties": false, "description": "Defines settings to build a factor time-series report.", "properties": { "type": { "const": "Factor TS report", "default": "Factor TS report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" } }, "title": "FactorTSReportSettings", "type": "object" }, "FactorVolForecastMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "FactorVolForecast", "default": "FactorVolForecast", "title": "Type", "type": "string" }, "window": { "default": "6mo", "description": "The size of the rolling window", "title": "Window", "type": "string" }, "metric": { "default": "qlike", "description": "The metric to use", "enum": [ "qlike", "mse", "mae", "bias" ], "title": "Metric", "type": "string" }, "ddof": { "default": 1, "description": "The degrees of freedom to use for the stability", "title": "Ddof", "type": "integer" } }, "title": "FactorVolForecastMeasureSettings", "type": "object" }, "ForecastBacktestMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "ForecastBacktest", "default": "ForecastBacktest", "title": "Type", "type": "string" }, "window": { "default": "6mo", "description": "The size of the rolling window", "title": "Window", "type": "string" }, "ddof": { "default": 1, "description": "The degrees of freedom to use for the stability", "title": "Ddof", "type": "integer" } }, "title": "ForecastBacktestMeasureSettings", "type": "object" }, "ForecastBacktestReportSettings": { "additionalProperties": false, "description": "Defines settings to build a forecast backtest report.", "properties": { "type": { "const": "Forecast Backtest report", "default": "Forecast Backtest report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" }, "horizons": { "default": [ 1, 5, 21 ], "description": "The forecast horizons to use.", "items": { "type": "integer" }, "title": "Horizons", "type": "array" }, "halflife_factor_vol": { "default": 42, "description": "The half-life for the factor volatility.", "title": "Halflife Factor Vol", "type": "integer" }, "halflife_factor_adj": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The half-life for the factor adjustment. If None, no adjustment is applied.", "title": "Halflife Factor Adj" }, "halflife_factor_cor": { "default": 126, "description": "The half-life for the factor correlation.", "title": "Halflife Factor Cor", "type": "integer" }, "halflife_idio_vol": { "default": 42, "description": "The half-life for the idiosyncratic volatility.", "title": "Halflife Idio Vol", "type": "integer" }, "shrink_factor_cor_method": { "anyOf": [ { "enum": [ "LIS", "QIS", "GIS" ], "type": "string" }, { "type": "null" } ], "default": null, "description": "The method to use for the shrinkage of the factor correlation. If None, don't shrink.", "title": "Shrink Factor Cor Method" }, "shrink_factor_cor_length": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": 1008, "description": "If a shrinkage method is provided, the length of the shrinkage for the factor correlation.", "title": "Shrink Factor Cor Length" }, "shrink_factor_cor_standardized": { "default": false, "description": "If True, the correlation matrix is combined with an estimate based on the standardized returns. The halflife_factor_adj is used for the weights.", "title": "Shrink Factor Cor Standardized", "type": "boolean" }, "overlap_factor_vol": { "default": 0, "description": "The overlap for the factor volatility.", "title": "Overlap Factor Vol", "type": "integer" }, "overlap_factor_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the factor volatility for lagged returns.", "title": "Overlap Factor Vol Halflife Override" }, "overlap_factor_cor": { "default": 0, "description": "The overlap for the factor correlation.", "title": "Overlap Factor Cor", "type": "integer" }, "overlap_idio_vol": { "default": 0, "description": "The overlap for the idiosyncratic volatility.", "title": "Overlap Idio Vol", "type": "integer" }, "overlap_idio_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the idiosyncratic volatility for lagged returns.", "title": "Overlap Idio Vol Halflife Override" }, "shrink_idio_vol": { "default": 0.0, "description": "The shrinkage factor for the idiosyncratic volatility.", "title": "Shrink Idio Vol", "type": "number" } }, "title": "ForecastBacktestReportSettings", "type": "object" }, "HVaRMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "Historical VaR", "default": "Historical VaR", "title": "Type", "type": "string" }, "alpha": { "default": [ 0.1, 0.05 ], "items": { "type": "number" }, "title": "Alpha", "type": "array" } }, "title": "HVaRMeasureSettings", "type": "object" }, "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": "#/$defs/Hierarchy" }, "description": "\n A nested structure of groupings where the keys are the group names\n and the leaf level is a list of hierarchy codes or labels (at any level)\n to include for this group.\n ", "title": "Groupings", "type": "object" } }, "required": [ "hierarchy", "groupings" ], "title": "HierarchyGroups", "type": "object" }, "HierarchyLevel": { "description": "The hierarchy level description turns every name at\nthe configured level into a separate factor.\n\nE.g. for industries specifying level `1` would\ncreate top level sector factors.", "properties": { "hierarchy": { "description": "\n The name of the hierarchy to use, e.g. 'trbc' or 'continent'.\n If it is not given then the default hierarchy will be used.\n ", "examples": [ "trbc", "continent" ], "minLength": 1, "title": "Hierarchy", "type": "string" }, "level": { "default": 1, "description": "The level of the hierarchy to use, e.g. 1\n to use all level 1 names (i.e. sectors for industries or\n continents for regions) or 2 to use all level 2\n names (i.e. sub-sectors for industries and\n countries for regions).\n ", "examples": [ 1, 2 ], "minimum": 1, "title": "Level", "type": "integer" } }, "required": [ "hierarchy" ], "title": "HierarchyLevel", "type": "object" }, "HoldingsMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "Holdings", "default": "Holdings", "title": "Type", "type": "string" } }, "title": "HoldingsMeasureSettings", "type": "object" }, "HoldingsReportSettings": { "additionalProperties": false, "description": "Defines settings to build a holdings report.", "properties": { "type": { "const": "Holdings report", "default": "Holdings report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" } }, "title": "HoldingsReportSettings", "type": "object" }, "IdiosyncraticReturnMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "IdiosyncraticReturn", "default": "IdiosyncraticReturn", "title": "Type", "type": "string" } }, "title": "IdiosyncraticReturnMeasureSettings", "type": "object" }, "IdiosyncraticReturnReportSettings": { "additionalProperties": false, "description": "Defines settings to build an idiosyncratic return report.", "properties": { "type": { "const": "Idiosyncratic Return report", "default": "Idiosyncratic Return report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" } }, "title": "IdiosyncraticReturnReportSettings", "type": "object" }, "IdiosyncraticVolatilityMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "IdiosyncraticVolatility", "default": "IdiosyncraticVolatility", "title": "Type", "type": "string" } }, "title": "IdiosyncraticVolatilityMeasureSettings", "type": "object" }, "IdiosyncraticVolatilityReportSettings": { "additionalProperties": false, "description": "Defines settings to build an idiosyncratic volatility report.", "properties": { "type": { "const": "Idiosyncratic Volatility report", "default": "Idiosyncratic Volatility report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" }, "halflife_idio_vol": { "default": 42, "description": "The half-life for the idiosyncratic volatility.", "title": "Halflife Idio Vol", "type": "integer" }, "overlap_idio_vol": { "default": 0, "description": "The overlap for the idiosyncratic volatility.", "title": "Overlap Idio Vol", "type": "integer" }, "overlap_idio_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the idiosyncratic volatility for lagged returns.", "title": "Overlap Idio Vol Halflife Override" }, "shrink_idio_vol": { "default": 0.0, "description": "The shrinkage factor for the idiosyncratic volatility.", "title": "Shrink Idio Vol", "type": "number" } }, "title": "IdiosyncraticVolatilityReportSettings", "type": "object" }, "IndustrySettings": { "additionalProperties": false, "description": "Specifies include and exclude filters for industries.\n\nAssets are includes if they are part of at least one include\nand not part of any exclude.\n\nBy default all industries for the given hierarchy are included.", "properties": { "hierarchy": { "default": "trbc", "description": "The industry hierarchy to use.", "examples": [ "trbc" ], "minLength": 1, "title": "Hierarchy", "type": "string" }, "include": { "anyOf": [ { "items": { "type": "string" }, "type": "array" }, { "const": "All", "type": "string" } ], "default": "All", "description": "Valid industry codes or labels for given hierarchy at any level. If labels are used which may be duplicated, then the code with the highest level is used.", "examples": [ [ "3571" ], "All", [ "Materials", "1010" ] ], "title": "Include" }, "exclude": { "description": "Valid industry codes or labels for given hierarchy at any level. If labels are used which may be duplicated, then the code with the lowest level is used.", "examples": [ [ "3571" ], [ "Materials", "1010" ] ], "items": { "type": "string" }, "title": "Exclude", "type": "array" } }, "title": "IndustrySettings", "type": "object" }, "MCapSettings": { "additionalProperties": false, "description": "Specifies the lower and upper bound for the market cap filter.\n\nBy default the bounds are infinite.", "properties": { "lower": { "default": 0.0, "description": "Lower bound of the cap filter in USD.", "examples": [ 10000000000.0 ], "minimum": 0.0, "title": "Lower", "type": "number" }, "upper": { "default": 1e+20, "description": "Upper bound of the cap filter in USD.", "examples": [ 1000000000000.0 ], "exclusiveMinimum": 0.0, "title": "Upper", "type": "number" }, "gdp_deflator_asof": { "anyOf": [ { "format": "date", "type": "string" }, { "type": "null" } ], "default": null, "description": "\n The as of date to adjust the market cap bounds for GDP through time.\n If no date is specified then the market cap bounds are static through time.\n ", "title": "Gdp Deflator Asof" } }, "title": "MCapSettings", "type": "object" }, "ModelConstructionSettings": { "additionalProperties": false, "description": "Defines settings to build a factor risk model.", "properties": { "currency": { "default": "USD", "description": "The currency of the factor risk model.", "examples": [ "USD", "EUR" ], "title": "Currency", "type": "string" }, "weights": { "default": "SqrtCap", "description": "The regression weights used for the factor risk model.", "enum": [ "SqrtCap", "InvIdioVar" ], "examples": [ "SqrtCap", "InvIdioVar" ], "title": "Weights", "type": "string" }, "alpha": { "default": 0.0, "description": "The ridge-shrinkage factor for the factor risk model.", "minimum": 0, "title": "Alpha", "type": "number" }, "alpha_overrides": { "additionalProperties": { "minimum": 0, "type": "number" }, "description": "The alpha override for the factor risk model. The keys are the factor names and the values are the alpha overrides.", "title": "Alpha Overrides", "type": "object" }, "return_clip_bounds": { "default": [ -0.1, 0.1 ], "description": "The bounds for the return clipping.", "examples": [ [ -0.1, 0.1 ], [ null, null ] ], "maxItems": 2, "minItems": 2, "prefixItems": [ { "anyOf": [ { "type": "number" }, { "type": "null" } ] }, { "anyOf": [ { "type": "number" }, { "type": "null" } ] } ], "title": "Return Clip Bounds", "type": "array" }, "known_factors": { "additionalProperties": { "type": "string" }, "description": "The known factor returns to use for the factor risk model which are added as independent factors with known (constrained) values. The keys are the names that should be used in the factor model and the values are the underlying known factors that should be used. ", "examples": [ {}, { "Risk Free Rate": "us_rate_3m" } ], "title": "Known Factors", "type": "object" } }, "title": "ModelConstructionSettings", "type": "object" }, "MovingAverageMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "MovingAverage", "default": "MovingAverage", "title": "Type", "type": "string" }, "window": { "default": "6mo", "description": "The size of the rolling window", "title": "Window", "type": "string" }, "var": { "default": "r2", "description": "The variable to average", "enum": [ "r2", "sigma2", "sigma" ], "title": "Var", "type": "string" } }, "title": "MovingAverageMeasureSettings", "type": "object" }, "MovingAverageRSquaredMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "MovingAverageRSquared", "default": "MovingAverageRSquared", "title": "Type", "type": "string" }, "rescale_bench": { "default": true, "description": "Rescale the benchmark holdings to sum to the sum of the holdings.", "title": "Rescale Bench", "type": "boolean" }, "normalize_holdings": { "default": true, "description": "Make holdings sum to one.", "title": "Normalize Holdings", "type": "boolean" }, "window": { "default": "6mo", "description": "The size of the rolling window", "title": "Window", "type": "string" } }, "title": "MovingAverageRSquaredMeasureSettings", "type": "object" }, "PassThroughFactor2DMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "PassThroughFactor2D", "default": "PassThroughFactor2D", "title": "Type", "type": "string" }, "name": { "default": "PassThroughFactor2D", "description": "The name of the measure.", "title": "Name", "type": "string" } }, "title": "PassThroughFactor2DMeasureSettings", "type": "object" }, "PortfolioStressTestMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "PortfolioStressTest", "default": "PortfolioStressTest", "title": "Type", "type": "string" }, "shock_size": { "default": 0.1, "description": "The size of the shock to apply.", "title": "Shock Size", "type": "number" } }, "title": "PortfolioStressTestMeasureSettings", "type": "object" }, "PortfolioStressTestReportSettings": { "additionalProperties": false, "description": "Defines settings to build a portfolio stress test report.", "properties": { "type": { "const": "Portfolio Stress Test report", "default": "Portfolio Stress Test report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" }, "halflife_factor_vol": { "default": 42, "description": "The half-life for the factor volatility.", "title": "Halflife Factor Vol", "type": "integer" }, "halflife_factor_adj": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The half-life for the factor adjustment. If None, no adjustment is applied.", "title": "Halflife Factor Adj" }, "halflife_factor_cor": { "default": 126, "description": "The half-life for the factor correlation.", "title": "Halflife Factor Cor", "type": "integer" }, "halflife_idio_vol": { "default": 42, "description": "The half-life for the idiosyncratic volatility.", "title": "Halflife Idio Vol", "type": "integer" }, "shrink_factor_cor_method": { "anyOf": [ { "enum": [ "LIS", "QIS", "GIS" ], "type": "string" }, { "type": "null" } ], "default": null, "description": "The method to use for the shrinkage of the factor correlation. If None, don't shrink.", "title": "Shrink Factor Cor Method" }, "shrink_factor_cor_length": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": 1008, "description": "If a shrinkage method is provided, the length of the shrinkage for the factor correlation.", "title": "Shrink Factor Cor Length" }, "shrink_factor_cor_standardized": { "default": false, "description": "If True, the correlation matrix is combined with an estimate based on the standardized returns. The halflife_factor_adj is used for the weights.", "title": "Shrink Factor Cor Standardized", "type": "boolean" }, "overlap_factor_vol": { "default": 0, "description": "The overlap for the factor volatility.", "title": "Overlap Factor Vol", "type": "integer" }, "overlap_factor_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the factor volatility for lagged returns.", "title": "Overlap Factor Vol Halflife Override" }, "overlap_factor_cor": { "default": 0, "description": "The overlap for the factor correlation.", "title": "Overlap Factor Cor", "type": "integer" }, "overlap_idio_vol": { "default": 0, "description": "The overlap for the idiosyncratic volatility.", "title": "Overlap Idio Vol", "type": "integer" }, "overlap_idio_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the idiosyncratic volatility for lagged returns.", "title": "Overlap Idio Vol Halflife Override" }, "shrink_idio_vol": { "default": 0.0, "description": "The shrinkage factor for the idiosyncratic volatility.", "title": "Shrink Idio Vol", "type": "number" } }, "title": "PortfolioStressTestReportSettings", "type": "object" }, "RegionSettings": { "additionalProperties": false, "description": "Specifies include and exclude filters for countries and regions.\n\nAssets are includes if they are part of at least one include\nand not part of any exclude.\n\nBy default all countries for the given hierarchy are included.", "properties": { "hierarchy": { "default": "continent", "description": "The region hierarchy to use.", "examples": [ "continent" ], "minLength": 1, "title": "Hierarchy", "type": "string" }, "include": { "anyOf": [ { "items": { "type": "string" }, "type": "array" }, { "const": "All", "type": "string" } ], "default": "All", "description": "Valid country/region codes or labels at any level. If labels are used which may be duplicated, then the code with the highest level is used.", "examples": [ [ "Europe", "CAN" ], "All" ], "title": "Include" }, "exclude": { "description": "Valid country/region codes or labels at any level. If labels are used which may be duplicated, then the code with the lowest level is used.", "examples": [ [ "DEU" ] ], "items": { "type": "string" }, "title": "Exclude", "type": "array" } }, "title": "RegionSettings", "type": "object" }, "RiskModelFitFactorReportSettings": { "additionalProperties": false, "description": "Defines settings to build a risk model fit report at the factor level.", "properties": { "type": { "const": "Risk Model Fit Factor report", "default": "Risk Model Fit Factor report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" } }, "title": "RiskModelFitFactorReportSettings", "type": "object" }, "RiskModelFitReportSettings": { "additionalProperties": false, "description": "Defines settings to build a risk model fit report.", "properties": { "type": { "const": "Risk Model Fit report", "default": "Risk Model Fit report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" } }, "title": "RiskModelFitReportSettings", "type": "object" }, "RiskModelPortfolioFitReportSettings": { "additionalProperties": false, "description": "Defines settings to build a risk model fit report at the portfolio level.", "properties": { "type": { "const": "Risk Model Portfolio Fit report", "default": "Risk Model Portfolio Fit report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" } }, "title": "RiskModelPortfolioFitReportSettings", "type": "object" }, "StyleCorrelationReportSettings": { "additionalProperties": false, "description": "Defines settings to build a style correlation report.", "properties": { "type": { "const": "Style Correlation report", "default": "Style Correlation report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" } }, "title": "StyleCorrelationReportSettings", "type": "object" }, "StyleIndustryExposureReportSettings": { "additionalProperties": false, "description": "Defines settings to build a style industry exposure report.", "properties": { "type": { "const": "Style Industry Exposure report", "default": "Style Industry Exposure report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" } }, "title": "StyleIndustryExposureReportSettings", "type": "object" }, "TSBetaReportSettings": { "additionalProperties": false, "description": "Defines settings to build a time-series Beta report.", "properties": { "type": { "const": "TS Beta report", "default": "TS Beta report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" }, "halflife_factor_vol": { "default": 42, "description": "The half-life for the factor volatility.", "title": "Halflife Factor Vol", "type": "integer" }, "halflife_factor_adj": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The half-life for the factor adjustment. If None, no adjustment is applied.", "title": "Halflife Factor Adj" }, "halflife_factor_cor": { "default": 126, "description": "The half-life for the factor correlation.", "title": "Halflife Factor Cor", "type": "integer" }, "halflife_idio_vol": { "default": 42, "description": "The half-life for the idiosyncratic volatility.", "title": "Halflife Idio Vol", "type": "integer" }, "shrink_factor_cor_method": { "anyOf": [ { "enum": [ "LIS", "QIS", "GIS" ], "type": "string" }, { "type": "null" } ], "default": null, "description": "The method to use for the shrinkage of the factor correlation. If None, don't shrink.", "title": "Shrink Factor Cor Method" }, "shrink_factor_cor_length": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": 1008, "description": "If a shrinkage method is provided, the length of the shrinkage for the factor correlation.", "title": "Shrink Factor Cor Length" }, "shrink_factor_cor_standardized": { "default": false, "description": "If True, the correlation matrix is combined with an estimate based on the standardized returns. The halflife_factor_adj is used for the weights.", "title": "Shrink Factor Cor Standardized", "type": "boolean" }, "overlap_factor_vol": { "default": 0, "description": "The overlap for the factor volatility.", "title": "Overlap Factor Vol", "type": "integer" }, "overlap_factor_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the factor volatility for lagged returns.", "title": "Overlap Factor Vol Halflife Override" }, "overlap_factor_cor": { "default": 0, "description": "The overlap for the factor correlation.", "title": "Overlap Factor Cor", "type": "integer" }, "overlap_idio_vol": { "default": 0, "description": "The overlap for the idiosyncratic volatility.", "title": "Overlap Idio Vol", "type": "integer" }, "overlap_idio_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the idiosyncratic volatility for lagged returns.", "title": "Overlap Idio Vol Halflife Override" }, "shrink_idio_vol": { "default": 0.0, "description": "The shrinkage factor for the idiosyncratic volatility.", "title": "Shrink Idio Vol", "type": "number" } }, "title": "TSBetaReportSettings", "type": "object" }, "TSXSRReportSettings": { "additionalProperties": false, "description": "Defines settings to build a time-series XSR report.", "properties": { "type": { "const": "TSXSR report", "default": "TSXSR report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" }, "halflife_factor_vol": { "default": 42, "description": "The half-life for the factor volatility.", "title": "Halflife Factor Vol", "type": "integer" }, "halflife_factor_adj": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The half-life for the factor adjustment. If None, no adjustment is applied.", "title": "Halflife Factor Adj" }, "halflife_factor_cor": { "default": 126, "description": "The half-life for the factor correlation.", "title": "Halflife Factor Cor", "type": "integer" }, "halflife_idio_vol": { "default": 42, "description": "The half-life for the idiosyncratic volatility.", "title": "Halflife Idio Vol", "type": "integer" }, "shrink_factor_cor_method": { "anyOf": [ { "enum": [ "LIS", "QIS", "GIS" ], "type": "string" }, { "type": "null" } ], "default": null, "description": "The method to use for the shrinkage of the factor correlation. If None, don't shrink.", "title": "Shrink Factor Cor Method" }, "shrink_factor_cor_length": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": 1008, "description": "If a shrinkage method is provided, the length of the shrinkage for the factor correlation.", "title": "Shrink Factor Cor Length" }, "shrink_factor_cor_standardized": { "default": false, "description": "If True, the correlation matrix is combined with an estimate based on the standardized returns. The halflife_factor_adj is used for the weights.", "title": "Shrink Factor Cor Standardized", "type": "boolean" }, "overlap_factor_vol": { "default": 0, "description": "The overlap for the factor volatility.", "title": "Overlap Factor Vol", "type": "integer" }, "overlap_factor_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the factor volatility for lagged returns.", "title": "Overlap Factor Vol Halflife Override" }, "overlap_factor_cor": { "default": 0, "description": "The overlap for the factor correlation.", "title": "Overlap Factor Cor", "type": "integer" }, "overlap_idio_vol": { "default": 0, "description": "The overlap for the idiosyncratic volatility.", "title": "Overlap Idio Vol", "type": "integer" }, "overlap_idio_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the idiosyncratic volatility for lagged returns.", "title": "Overlap Idio Vol Halflife Override" }, "shrink_idio_vol": { "default": 0.0, "description": "The shrinkage factor for the idiosyncratic volatility.", "title": "Shrink Idio Vol", "type": "number" } }, "title": "TSXSRReportSettings", "type": "object" }, "TimeSeriesBetaMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "TimeSeriesBeta", "default": "TimeSeriesBeta", "title": "Type", "type": "string" }, "rescale_bench": { "default": true, "description": "Rescale the benchmark holdings to sum to the sum of the holdings.", "title": "Rescale Bench", "type": "boolean" } }, "title": "TimeSeriesBetaMeasureSettings", "type": "object" }, "TimeSeriesVolatilityMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "TimeSeriesVolatility", "default": "TimeSeriesVolatility", "title": "Type", "type": "string" }, "window": { "default": "6mo", "description": "The size of the rolling window", "title": "Window", "type": "string" }, "ddof": { "default": 1, "description": "The degrees of freedom to use for the volality", "title": "Ddof", "type": "integer" } }, "title": "TimeSeriesVolatilityMeasureSettings", "type": "object" }, "TimeSeriesXSigmaRhoMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "TimeSeriesXSigmaRho", "default": "TimeSeriesXSigmaRho", "title": "Type", "type": "string" }, "rescale_bench": { "default": true, "description": "Rescale the benchmark holdings to sum to the sum of the holdings.", "title": "Rescale Bench", "type": "boolean" }, "normalize_holdings": { "default": true, "description": "Make holdings sum to one.", "title": "Normalize Holdings", "type": "boolean" }, "analytics_space": { "default": "absolute", "description": "Compute the anlytics in `absolute` space, `active` space, or compute the analytics only on the `benchmark`.", "enum": [ "absolute", "active", "benchmark" ], "title": "Analytics Space", "type": "string" }, "backfill_holdings": { "default": false, "description": "Backfill the latest holdings, accounting for listing/delisting.", "title": "Backfill Holdings", "type": "boolean" } }, "title": "TimeSeriesXSigmaRhoMeasureSettings", "type": "object" }, "UniverseSettings": { "additionalProperties": false, "description": "Defines an asset universe as a set of regional, industry and market cap filters.", "properties": { "dataset": { "anyOf": [ { "type": "string" }, { "type": "null" } ], "default": null, "description": "The name of the underlying dataset to use. If none is given then the configured default dataset is used.", "examples": [ "Bayesline-US" ], "title": "Dataset" }, "id_type": { "default": "bayesid", "description": "The default id type to use for the universe.", "enum": [ "bayesid", "ticker", "composite_figi", "cik", "cusip8", "cusip9", "isin", "sedol6", "sedol7", "proxy", "name" ], "examples": [ "cusip9", "bayesid" ], "title": "Id Type", "type": "string" }, "calendar": { "$ref": "#/$defs/CalendarSettings", "description": "The calendar settings to use for the universe." }, "industry": { "$ref": "#/$defs/IndustrySettings", "description": "\n Filters that determine which industries to include and exclude in the universe.\n " }, "region": { "$ref": "#/$defs/RegionSettings", "description": "\n Filters that determine which countries/continents to include and exclude in the\n universe.\n " }, "mcap": { "$ref": "#/$defs/MCapSettings", "description": "\n Filters that determine which market caps to include and exclude in the universe.\n " } }, "title": "UniverseSettings", "type": "object" }, "VaRReportSettings": { "additionalProperties": false, "description": "Defines settings to build a VaR report.", "properties": { "type": { "const": "VaR report", "default": "VaR report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" }, "lookback": { "default": 1000, "description": "The lookback period for the estimation.", "title": "Lookback", "type": "integer" } }, "title": "VaRReportSettings", "type": "object" }, "VolForecastMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "VolForecast", "default": "VolForecast", "title": "Type", "type": "string" }, "window": { "default": "6mo", "description": "The size of the rolling window", "title": "Window", "type": "string" }, "metric": { "default": "qlike", "description": "The metric to use", "enum": [ "qlike", "mse", "mae", "bias" ], "title": "Metric", "type": "string" }, "ddof": { "default": 1, "description": "The degrees of freedom to use for the stability", "title": "Ddof", "type": "integer" } }, "title": "VolForecastMeasureSettings", "type": "object" }, "XSRReportSettings": { "additionalProperties": false, "description": "Defines settings to build an XSR report.", "properties": { "type": { "const": "XSR report", "default": "XSR report", "title": "Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" }, "halflife_factor_vol": { "default": 42, "description": "The half-life for the factor volatility.", "title": "Halflife Factor Vol", "type": "integer" }, "halflife_factor_adj": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The half-life for the factor adjustment. If None, no adjustment is applied.", "title": "Halflife Factor Adj" }, "halflife_factor_cor": { "default": 126, "description": "The half-life for the factor correlation.", "title": "Halflife Factor Cor", "type": "integer" }, "halflife_idio_vol": { "default": 42, "description": "The half-life for the idiosyncratic volatility.", "title": "Halflife Idio Vol", "type": "integer" }, "shrink_factor_cor_method": { "anyOf": [ { "enum": [ "LIS", "QIS", "GIS" ], "type": "string" }, { "type": "null" } ], "default": null, "description": "The method to use for the shrinkage of the factor correlation. If None, don't shrink.", "title": "Shrink Factor Cor Method" }, "shrink_factor_cor_length": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": 1008, "description": "If a shrinkage method is provided, the length of the shrinkage for the factor correlation.", "title": "Shrink Factor Cor Length" }, "shrink_factor_cor_standardized": { "default": false, "description": "If True, the correlation matrix is combined with an estimate based on the standardized returns. The halflife_factor_adj is used for the weights.", "title": "Shrink Factor Cor Standardized", "type": "boolean" }, "overlap_factor_vol": { "default": 0, "description": "The overlap for the factor volatility.", "title": "Overlap Factor Vol", "type": "integer" }, "overlap_factor_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the factor volatility for lagged returns.", "title": "Overlap Factor Vol Halflife Override" }, "overlap_factor_cor": { "default": 0, "description": "The overlap for the factor correlation.", "title": "Overlap Factor Cor", "type": "integer" }, "overlap_idio_vol": { "default": 0, "description": "The overlap for the idiosyncratic volatility.", "title": "Overlap Idio Vol", "type": "integer" }, "overlap_idio_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The halflife override for the idiosyncratic volatility for lagged returns.", "title": "Overlap Idio Vol Halflife Override" }, "shrink_idio_vol": { "default": 0.0, "description": "The shrinkage factor for the idiosyncratic volatility.", "title": "Shrink Idio Vol", "type": "number" } }, "title": "XSRReportSettings", "type": "object" }, "XSigmaRhoMeasureSettings": { "additionalProperties": false, "properties": { "type": { "const": "XSigmaRho", "default": "XSigmaRho", "title": "Type", "type": "string" }, "rescale_bench": { "default": true, "description": "Rescale the benchmark holdings to sum to the sum of the holdings.", "title": "Rescale Bench", "type": "boolean" }, "normalize_holdings": { "default": true, "description": "Make holdings sum to one.", "title": "Normalize Holdings", "type": "boolean" }, "analytics_space": { "default": "absolute", "description": "Compute the analytics in `absolute` space, `active` space, or compute the analytics only on the `benchmark`.", "enum": [ "absolute", "active", "benchmark" ], "title": "Analytics Space", "type": "string" } }, "title": "XSigmaRhoMeasureSettings", "type": "object" } }, "additionalProperties": false, "required": [ "report", "risk_model" ] }
- Config:
frozen: bool = True
extra: str = forbid
- Fields:
report (bayesline.api._src.equity.report_settings.HoldingsReportSettings | bayesline.api._src.equity.report_settings.ExposureReportSettings | bayesline.api._src.equity.report_settings.XSRReportSettings | bayesline.api._src.equity.report_settings.TSXSRReportSettings | bayesline.api._src.equity.report_settings.TSBetaReportSettings | bayesline.api._src.equity.report_settings.VaRReportSettings | bayesline.api._src.equity.report_settings.FactorTSReportSettings | bayesline.api._src.equity.report_settings.RiskModelFitReportSettings | bayesline.api._src.equity.report_settings.RiskModelFitFactorReportSettings | bayesline.api._src.equity.report_settings.RiskModelPortfolioFitReportSettings | bayesline.api._src.equity.report_settings.FactorForecastLossReportSettings | bayesline.api._src.equity.report_settings.AssetForecastLossReportSettings | bayesline.api._src.equity.report_settings.FactorCovarianceReportSettings | bayesline.api._src.equity.report_settings.IdiosyncraticReturnReportSettings | bayesline.api._src.equity.report_settings.IdiosyncraticVolatilityReportSettings | bayesline.api._src.equity.report_settings.FactorIdioReportSettings | bayesline.api._src.equity.report_settings.StyleCorrelationReportSettings | bayesline.api._src.equity.report_settings.StyleIndustryExposureReportSettings | bayesline.api._src.equity.report_settings.ForecastBacktestReportSettings | bayesline.api._src.equity.report_settings.BrinsonAttributionReportSettings | bayesline.api._src.equity.report_settings.FactorAttributionReportSettings | bayesline.api._src.equity.report_settings.PortfolioStressTestReportSettings | bayesline.api._src.equity.report_settings.AssetStressTestReportSettings | bayesline.api._src.equity.report_settings.AssetHoldingsReportSettings)risk_model (str | int | bayesline.api._src.equity.riskmodels_settings.FactorRiskModelSettings)
-
field report:
Union[HoldingsReportSettings,ExposureReportSettings,XSRReportSettings,TSXSRReportSettings,TSBetaReportSettings,VaRReportSettings,FactorTSReportSettings,RiskModelFitReportSettings,RiskModelFitFactorReportSettings,RiskModelPortfolioFitReportSettings,FactorForecastLossReportSettings,AssetForecastLossReportSettings,FactorCovarianceReportSettings,IdiosyncraticReturnReportSettings,IdiosyncraticVolatilityReportSettings,FactorIdioReportSettings,StyleCorrelationReportSettings,StyleIndustryExposureReportSettings,ForecastBacktestReportSettings,BrinsonAttributionReportSettings,FactorAttributionReportSettings,PortfolioStressTestReportSettings,AssetStressTestReportSettings,AssetHoldingsReportSettings] [Required]#
-
field risk_model:
Annotated[str|int|FactorRiskModelSettings] [Required]# The risk model to use for the report.
- Constraints:
references = <class ‘bayesline.api._src.equity.riskmodels_settings.FactorRiskModelSettings’>