bayesline.api.equity.RiskDatasetProperties

pydantic model bayesline.api.equity.RiskDatasetProperties

Properties and configuration menus for a risk dataset.

This class contains the various settings menus and configuration options available for a risk dataset, including calendar, universe, exposure, and model construction settings.

Show JSON schema

{
   "title": "RiskDatasetProperties",
   "description": "Properties and configuration menus for a risk dataset.\n\nThis class contains the various settings menus and configuration options\navailable for a risk dataset, including calendar, universe, exposure,\nand model construction settings.",
   "type": "object",
   "properties": {
      "factor_risk_model_settings_menu": {
         "$ref": "#/$defs/FactorRiskModelSettingsMenu"
      }
   },
   "$defs": {
      "CalendarSettingsMenu": {
         "additionalProperties": false,
         "description": "Contain the available settings that can be used for the calendar settings.",
         "properties": {
            "exchanges": {
               "description": "\n        A list of mic codes of all exchanges. Must be sorted and unique.\n        ",
               "items": {
                  "type": "string"
               },
               "title": "Exchanges",
               "type": "array"
            }
         },
         "required": [
            "exchanges"
         ],
         "title": "CalendarSettingsMenu",
         "type": "object"
      },
      "ExposureSettingsMenu": {
         "additionalProperties": false,
         "description": "Contains the available settings that can be used to define exposures.",
         "properties": {
            "universe_settings_menu": {
               "$ref": "#/$defs/UniverseSettingsMenu",
               "description": "The universe settings menu to use to define the exposures."
            },
            "continuous_hierarchies": {
               "additionalProperties": {
                  "$ref": "#/$defs/Hierarchy"
               },
               "description": "\n        A dictionary where the key is the name of the continuous hierarchy (e.g. 'style')\n        and the value is a N-level nested dictionary structure of the continuous hierarchy\n        codes.\n        ",
               "title": "Continuous Hierarchies",
               "type": "object"
            },
            "continuous_hierarchies_labels": {
               "additionalProperties": {
                  "additionalProperties": {
                     "type": "string"
                  },
                  "type": "object"
               },
               "description": "\n        A dictionary where the key is the name of the continuous hierarchy and\n        the value is a mapping from unique continuous code to a human readable name.\n        ",
               "title": "Continuous Hierarchies Labels",
               "type": "object"
            }
         },
         "required": [
            "universe_settings_menu",
            "continuous_hierarchies",
            "continuous_hierarchies_labels"
         ],
         "title": "ExposureSettingsMenu",
         "type": "object"
      },
      "FactorRiskModelSettingsMenu": {
         "additionalProperties": false,
         "description": "Define available settings to build a factor risk model.",
         "properties": {
            "exposure_settings_menu": {
               "$ref": "#/$defs/ExposureSettingsMenu",
               "description": "The exposure settings menu."
            },
            "modelconstruction_settings_menu": {
               "$ref": "#/$defs/ModelConstructionSettingsMenu",
               "description": "The model construction settings menu."
            }
         },
         "required": [
            "exposure_settings_menu",
            "modelconstruction_settings_menu"
         ],
         "title": "FactorRiskModelSettingsMenu",
         "type": "object"
      },
      "Hierarchy": {
         "anyOf": [
            {
               "items": {
                  "type": "string"
               },
               "type": "array"
            },
            {
               "additionalProperties": {
                  "$ref": "#/$defs/Hierarchy"
               },
               "type": "object"
            }
         ]
      },
      "ModelConstructionSettingsMenu": {
         "additionalProperties": false,
         "description": "Defines available modelconstruction settings to build a factor risk model.",
         "properties": {
            "weights": {
               "description": "\n        The available regression weights that can be used for the factor risk model.\n        ",
               "items": {
                  "enum": [
                     "SqrtCap",
                     "InvIdioVar"
                  ],
                  "type": "string"
               },
               "title": "Weights",
               "type": "array"
            }
         },
         "required": [
            "weights"
         ],
         "title": "ModelConstructionSettingsMenu",
         "type": "object"
      },
      "UniverseSettingsMenu": {
         "additionalProperties": false,
         "description": "Contain the available settings that can be used for the universe settings.",
         "properties": {
            "calendar_settings_menu": {
               "$ref": "#/$defs/CalendarSettingsMenu",
               "description": "The calendar settings menu to use for the universe."
            },
            "id_types": {
               "description": "\n        A list of all the id types that are supported for the universe.\n        ",
               "items": {
                  "enum": [
                     "bayesid",
                     "bayesid_core",
                     "ticker",
                     "composite_figi",
                     "cik",
                     "cusip8",
                     "cusip9",
                     "isin",
                     "sedol6",
                     "sedol7",
                     "proxy",
                     "name"
                  ],
                  "type": "string"
               },
               "title": "Id Types",
               "type": "array"
            },
            "categorical_hierarchies": {
               "additionalProperties": {
                  "$ref": "#/$defs/Hierarchy"
               },
               "description": "\n        A dictionary where the key is the name of the categorical hierarchy (e.g. 'trbc')\n        and the value is a N-level nested dictionary structure of the categorical hierarchy\n        codes.\n        ",
               "title": "Categorical Hierarchies",
               "type": "object"
            },
            "categorical_hierarchies_labels": {
               "additionalProperties": {
                  "additionalProperties": {
                     "type": "string"
                  },
                  "type": "object"
               },
               "description": "\n        A dictionary where the key is the name of the categorical hierarchy and\n        the value is a mapping from unique categorical code to a human readable name.\n        ",
               "title": "Categorical Hierarchies Labels",
               "type": "object"
            }
         },
         "required": [
            "calendar_settings_menu",
            "id_types",
            "categorical_hierarchies",
            "categorical_hierarchies_labels"
         ],
         "title": "UniverseSettingsMenu",
         "type": "object"
      }
   },
   "required": [
      "factor_risk_model_settings_menu"
   ]
}

Fields:

• factor_risk_model_settings_menu (bayesline.api._src.equity.riskmodels_settings.FactorRiskModelSettingsMenu)

field factor_risk_model_settings_menu: FactorRiskModelSettingsMenu [Required]

property exposure_settings_menu: ExposureSettingsMenu

Get the exposure settings menu.

Returns

ExposureSettingsMenu

The exposure settings menu.

property modelconstruction_settings_menu: ModelConstructionSettingsMenu

The model construction settings menu.

Returns

ModelConstructionSettingsMenu

The model construction settings menu.

property universe_settings_menu: UniverseSettingsMenu

The universe settings menu.

Returns

UniverseSettingsMenu

The universe settings menu.

property calendar_settings_menu: CalendarSettingsMenu

The calendar settings menu.

Returns

CalendarSettingsMenu

The calendar settings menu.