DataModelInput

class qf_lib.common.utils.factorization.data_models.data_model_input.DataModelInput(regressors_df: SimpleReturnsDataFrame, analysed_tms: SimpleReturnsSeries, frequency: Frequency, is_fit_intercept: bool)

Bases: object

Class storing an input data from which FactorizationDataModel is built. :param regressors_df: dataframe of regressors which should be included in the final model :param analysed_tms: timeseries of returns which should be modeled using regressors :param frequency: frequency of data used in both regressors and analysed timeseries :param is_fit_intercept: True if the model should contain the intercept; False otherwise