{
"title": "RiskDatasetProperties",
"type": "object",
"properties": {
"calendar_settings_menu": {
"$ref": "#/$defs/CalendarSettingsMenu"
},
"universe_settings_menu": {
"$ref": "#/$defs/UniverseSettingsMenu"
},
"exposure_settings_menu": {
"$ref": "#/$defs/ExposureSettingsMenu"
},
"modelconstruction_settings_menu": {
"$ref": "#/$defs/ModelConstructionSettingsMenu"
}
},
"$defs": {
"CalendarSettingsMenu": {
"additionalProperties": false,
"description": "Contains the available settings that can be used for the calendar settings.",
"properties": {
"exchanges": {
"description": "\n A list of mic codes of all exchanges. Must be sorted and unique.\n ",
"items": {
"type": "string"
},
"title": "Exchanges",
"type": "array"
}
},
"required": [
"exchanges"
],
"title": "CalendarSettingsMenu",
"type": "object"
},
"ExposureSettingsMenu": {
"additionalProperties": false,
"description": "Contains the available settings that can be used to define exposures.",
"properties": {
"market": {
"description": "\n The unique market factor code to use in the model.\n ",
"title": "Market",
"type": "string"
},
"styles": {
"additionalProperties": {
"items": {
"type": "string"
},
"type": "array"
},
"description": "\n A mapping where the key is the name of an exposure style codes (e.g. 'LEVERAGE')\n and the value is a list of available sub-style codes (e.g. 'DEBT_TO_ASSETS')\n ",
"title": "Styles",
"type": "object"
},
"industries": {
"additionalProperties": {
"additionalProperties": {
"$ref": "#/$defs/Hierarchy"
},
"type": "object"
},
"description": "\n A dictionary where the key is the name of the industry hierarchy (e.g. 'TRBC')\n and the value is a N-level nested dictionary structure of the industry hierarchy\n codes.\n ",
"title": "Industries",
"type": "object"
},
"regions": {
"additionalProperties": {
"additionalProperties": {
"$ref": "#/$defs/Hierarchy"
},
"type": "object"
},
"description": "\n A dictionary where the key is the name of the region hierarchy (e.g.\n 'CONTINENT') and the value is a N-level nested dictionary structure of the\n region hierarchy codes.\n ",
"title": "Regions",
"type": "object"
},
"other": {
"description": "\n A set of other factor codes that can be included in the model.\n ",
"items": {
"type": "string"
},
"title": "Other",
"type": "array",
"uniqueItems": true
},
"market_labels": {
"additionalProperties": {
"type": "string"
},
"description": "\n A mapping from unique market factor code to a human readable name. This is just \n one pair, but the name is `market_labels` to be consistent.\n ",
"maxProperties": 1,
"minProperties": 1,
"title": "Market Labels",
"type": "object"
},
"style_labels": {
"additionalProperties": {
"type": "string"
},
"description": "\n A mapping from unique style/substyle code to a human readable name.\n ",
"title": "Style Labels",
"type": "object"
},
"industry_labels": {
"additionalProperties": {
"additionalProperties": {
"type": "string"
},
"type": "object"
},
"description": "\n A dictionary where the key is the name of the industry hierarchy and\n the value is a mapping from unique industry code to a human readable name.\n ",
"title": "Industry Labels",
"type": "object"
},
"region_labels": {
"additionalProperties": {
"additionalProperties": {
"type": "string"
},
"type": "object"
},
"description": "\n A dictionary where the key is the name of the region hierarchy and\n the value is a mapping from unique region code to a human readable name.\n ",
"title": "Region Labels",
"type": "object"
},
"other_labels": {
"additionalProperties": {
"type": "string"
},
"description": "\n A mapping from unique other factor code to a human readable name.\n ",
"title": "Other Labels",
"type": "object"
}
},
"required": [
"market",
"styles",
"industries",
"regions",
"other",
"market_labels",
"style_labels",
"industry_labels",
"region_labels",
"other_labels"
],
"title": "ExposureSettingsMenu",
"type": "object"
},
"Hierarchy": {
"anyOf": [
{
"items": {
"type": "string"
},
"type": "array"
},
{
"additionalProperties": {
"$ref": "#/$defs/Hierarchy"
},
"type": "object"
}
]
},
"ModelConstructionSettingsMenu": {
"additionalProperties": false,
"description": "Defines available modelconstruction settings to build a factor risk model.",
"properties": {
"weights": {
"description": "\n The available regression weights that can be used for the factor risk model.\n ",
"items": {
"enum": [
"SqrtCap",
"InvIdioVar"
],
"type": "string"
},
"title": "Weights",
"type": "array"
},
"known_factors": {
"additionalProperties": {
"type": "string"
},
"description": "\n The available known factor returns that can be used for the factor risk model.\n The keys are the factor names and the values a description for this known factor.\n ",
"title": "Known Factors",
"type": "object"
}
},
"required": [
"weights",
"known_factors"
],
"title": "ModelConstructionSettingsMenu",
"type": "object"
},
"UniverseSettingsMenu": {
"additionalProperties": false,
"description": "Contains the available settings that can be used for the universe settings.",
"properties": {
"id_types": {
"description": "\n A list of all the id types that are supported for the universe.\n ",
"items": {
"enum": [
"bayesid",
"ticker",
"composite_figi",
"cik",
"cusip8",
"cusip9",
"isin",
"sedol6",
"sedol7",
"proxy",
"name"
],
"type": "string"
},
"title": "Id Types",
"type": "array"
},
"exchanges": {
"description": "\n A list of mic codes of all exchanges. Must be sorted and unique.\n ",
"items": {
"type": "string"
},
"title": "Exchanges",
"type": "array"
},
"industry": {
"additionalProperties": {
"additionalProperties": {
"$ref": "#/$defs/Hierarchy"
},
"type": "object"
},
"description": "\n A dictionary where the key is the name of the industry hierarchy (e.g. 'GICS')\n and the value is a N-level nested dictionary structure of the industry hierarchy\n codes.\n ",
"title": "Industry",
"type": "object"
},
"region": {
"additionalProperties": {
"additionalProperties": {
"$ref": "#/$defs/Hierarchy"
},
"type": "object"
},
"description": "\n A dictionary where the key is the name of the region hierarchy (e.g.\n 'CONTINENT') and the value is a N-level nested dictionary structure of the\n region hierarchy codes.\n ",
"title": "Region",
"type": "object"
},
"industry_labels": {
"additionalProperties": {
"additionalProperties": {
"type": "string"
},
"type": "object"
},
"description": "\n A dictionary where the key is the name of the industry hierarchy and\n the value is a mapping from unique industry code to a human readable name.\n ",
"title": "Industry Labels",
"type": "object"
},
"region_labels": {
"additionalProperties": {
"additionalProperties": {
"type": "string"
},
"type": "object"
},
"description": "\n A dictionary where the key is the name of the region hierarchy and\n the value is a mapping from unique region code to a human readable name.\n ",
"title": "Region Labels",
"type": "object"
}
},
"required": [
"id_types",
"exchanges",
"industry",
"region",
"industry_labels",
"region_labels"
],
"title": "UniverseSettingsMenu",
"type": "object"
}
},
"required": [
"calendar_settings_menu",
"universe_settings_menu",
"exposure_settings_menu",
"modelconstruction_settings_menu"
]
}
