RiskParityBoxes

class qf_lib.common.risk_parity_boxes.risk_parity_boxes.RiskParityBoxes(boxes_dict: Mapping[ChangeDirection, Mapping[ChangeDirection, SimpleReturnsSeries]])

Bases: object

as_list() → Sequence[SimpleReturnsSeries]

Creates a list of series corresponding to risk parity boxes. Order of series: (growth=RISING, inflation=RISING), (growth=RISING, inflation=FALLING), (growth=FALLING, inflation=RISING), (growth=FALLING, inflation=FALLING).

static from_list(list_of_series: Sequence[SimpleReturnsSeries]) → RiskParityBoxes

Create a RiskParityBoxes instance from a list of series. The order in the list must be the following: (growth=RISING, inflation=RISING), (growth=RISING, inflation=FALLING), (growth=FALLING, inflation=RISING), (growth=FALLING, inflation=FALLING).