quantlab.portfolio.config.FactorReturnViewConfig#

class quantlab.portfolio.config.FactorReturnViewConfig(*, annual_return=None, store=None, variable=None, confidence=None, std=None, factor)[source]#

Bases: ReturnViewConfig

Config of FactorReturnView: a view on one risk-model factor’s return.

ReturnViewConfig’s fields and the factor, by its name in the risk model.

Examples

>>> cfg = FactorReturnViewConfig(factor="style_book_to_price", annual_return=0.02, std=0.01)
>>> cfg.factor, cfg.confidence is None
('style_book_to_price', True)

factor#: The factor’s name in the risk model (FactorRiskModel.factor_names).