quantlab.risk.config#
The configs of the risk layer.
A factor risk model is constructed from one of these and exposes it as
self.config. They are frozen; the model’s config setter normalises the config
it is given into a new one (the name field the model is rebuilt from, a list
of datasets merged into one). The exposures factor and the price dataset are
declared with component() and written as their own configs.
FactorRiskConfig holds what every factor risk model has: the exposures
factor, the price dataset, the two store paths and the columns it reads.
A model’s method and its parameters are its own config’s, a subclass:
Use4RiskConfig is USE4’s (the factor set on the BarraStyle exposures,
the regression and the estimate chain), with USE4S defaults.
Classes
Config of |
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Config of |