quantlab.factor.predefined.roster#
Roster factor: another factor read on a roster only.
A model built for one universe reads a market-wide factor store (the
BarraStyle store of every listed stock) on its own Roster: the undated
list of symbols its panel may hold. RosterFactor wraps any factor and
takes the roster dataset’s whole symbol axis; the outputs keep the wrapped
factor’s names, so the wrapper replaces the factor in a model’s config
without anything else changing. Who is a member on a given date is decided
elsewhere (the membership a predictor is masked with), never by the roster.
The wrapper is a factor view (quantlab.factor.view): it reads the
wrapped factor’s store, and only the factor owning every variable of that
store writes it (ADR 0029).
Classes
The outputs of |