bayesline.api.equity.RiskDecompositionMeasureSettings

pydantic model bayesline.api.equity.RiskDecompositionMeasureSettings

Settings for risk decomposition measure.

This class defines settings for a risk decomposition measure. Currently exposure, stand-alone volatility and variance contribution are computed.

Show JSON schema

{
   "title": "RiskDecompositionMeasureSettings",
   "description": "Settings for risk decomposition measure.\n\nThis class defines settings for a risk decomposition measure. Currently exposure,\nstand-alone volatility and variance contribution are computed.",
   "type": "object",
   "properties": {
      "type": {
         "const": "RiskDecomposition",
         "default": "RiskDecomposition",
         "title": "Type",
         "type": "string"
      },
      "rescale_abs_bench": {
         "default": true,
         "description": "Rescale the benchmark holdings to absolute sum to the absolute sum of the holdings.",
         "title": "Rescale Abs Bench",
         "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"
      }
   },
   "additionalProperties": false
}

Config:

• frozen: bool = True

• extra: str = forbid

Fields:

• analytics_space (Literal['absolute', 'active', 'benchmark'])

• rescale_abs_bench (bool)

• type (Literal['RiskDecomposition'])

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

field rescale_abs_bench: bool = True

Rescale the benchmark holdings to absolute sum to the absolute sum of the holdings.

field analytics_space: Literal['absolute', 'active', 'benchmark'] = 'absolute'

Compute the anlytics in absolute space, active space, or compute the analytics only on the benchmark.

property columns: list[str]

Get the column names for this measure.

Returns

list[str]

The column names for this measure.