ExposureGenerator

class qf_lib.analysis.exposure_analysis.exposure_generator.ExposureGenerator(settings: Settings, data_provider: DataProvider)

Bases: object

Class to generate exposure data based on provided regressors tickers

Parameters:

• settings (Settings) – settings of the project

• data_provider (DataProvider) – DataProvider which provides data both for the tickers and regressors

Methods:

get_factor_exposure([regression_len])	Method used to generate factor-related coefficients of regressors defined in BacktestTradingSession
get_sector_exposure([regression_len])	Method used to generate sector-related coefficients of regressors defined in BacktestTradingSession
set_factor_exposure_tickers(...)	Sets factor exposure tickers
set_portfolio_nav_history(portfolio_eod_series)	Sets the timeseries used to normalize exposure
set_positions_history(positions_history[, ...])	Sets the positions history with defined frequency sampling
set_sector_exposure_tickers(...)	Sets sector exposure tickers

get_factor_exposure(regression_len: int = 12)

Method used to generate factor-related coefficients of regressors defined in BacktestTradingSession

Parameters:

regression_len (int) – Length of history taken for each regression in months. It is used to determine the coefficients

Returns:

Contains computed coefficients for all available factor regressors

Return type:

QFDataFrame

get_sector_exposure(regression_len: int = 12)

Method used to generate sector-related coefficients of regressors defined in BacktestTradingSession

Parameters:

regression_len (int) – Length of history taken for each regression in months. It is used to determine the coefficients

Returns:

Contains computed coefficients for all available sector regressors

Return type:

QFDataFrame

set_factor_exposure_tickers(factor_exposure_tickers: List[Ticker])

Sets factor exposure tickers

Parameters:

factor_exposure_tickers (List[Ticker]) – List of factor exposure tickers

set_portfolio_nav_history(portfolio_eod_series: PricesSeries)

Sets the timeseries used to normalize exposure

Parameters:

portfolio_eod_series (PricesSeries) – timeseries of value of the portfolio expressed in currency units

set_positions_history(positions_history: QFDataFrame, frequency: Frequency = Frequency.MONTHLY)

Sets the positions history with defined frequency sampling

Parameters:

• positions_history (QFDataFrame) – QFDataFrame containing summary of the positions in the portfolio for each day

• frequency (Frequency) – Data frequency. Default: Frequency.MONTHLY

set_sector_exposure_tickers(sector_exposure_tickers: List[Ticker])

Sets sector exposure tickers

Parameters:

sector_exposure_tickers (List[Ticker]) – List of sector exposure tickers