bayesline.api.equity.TimeSeriesXSigmaRhoMeasureSettings

pydantic model bayesline.api.equity.TimeSeriesXSigmaRhoMeasureSettings

Settings for time series X-Sigma-Rho measure.

This class defines settings for a time series X-Sigma-Rho measure, which provides time series data for exposure, volatility, correlation, and contribution.

Show JSON schema

{
   "title": "TimeSeriesXSigmaRhoMeasureSettings",
   "description": "Settings for time series X-Sigma-Rho measure.\n\nThis class defines settings for a time series X-Sigma-Rho measure,\nwhich provides time series data for exposure, volatility, correlation, and contribution.",
   "type": "object",
   "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"
      }
   },
   "additionalProperties": false
}

Config:

• frozen: bool = True

• extra: str = forbid

Fields:

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

• backfill_holdings (bool)

• normalize_holdings (bool)

• rescale_bench (bool)

• type (Literal['TimeSeriesXSigmaRho'])

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

field rescale_bench: bool = True

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

field normalize_holdings: bool = True

Make holdings sum to one.

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

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

field backfill_holdings: bool = False

Backfill the latest holdings, accounting for listing/delisting.

property columns: list[str]

Get the column names for this measure.

Returns

list[str]

The column names for this measure.