bayesline.api.equity.TSFactorSpec

model TSFactorSpec

Specification for deriving a risk model with user-defined TS factors.

This spec is consumed by derive_factor_model_with_tsfactor to build a new FactorRiskModelSettings that is then run as an ordinary report.

The uploaded series is interpreted as the returns of an external portfolio or theme. Per-asset exposures are derived at report time by rolling regression of asset returns on the uploaded series; the resulting exposures feed a chained second-stage regression that produces the new factor’s returns alongside the existing model’s factors.

Fields

Field	Type	Required	Default
factor_selection	list[TSFactorSelection]	Yes
tsfactors_source	str	Yes

field factor_selection: list[TSFactorSelection] [Required]

Factors to pull from the uploaded dataset. Each becomes a custom factor in the derived risk model.

field tsfactors_source: str [Required]

Name of the uploaded time-series factors dataset to draw from.