ExposureGenerator¶

class qf_lib.analysis.exposure_analysis.exposure_generator.ExposureGenerator(settings: qf_lib.settings.Settings, data_provider: qf_lib.data_providers.data_provider.DataProvider)[source]¶

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)[source]¶

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)[source]¶

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[qf_lib.common.tickers.tickers.Ticker])[source]¶

Sets factor exposure tickers

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

set_portfolio_nav_history(portfolio_eod_series: qf_lib.containers.series.prices_series.PricesSeries)[source]¶

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: qf_lib.containers.dataframe.qf_dataframe.QFDataFrame, frequency: qf_lib.common.enums.frequency.Frequency = <Frequency.MONTHLY: 12>)[source]¶

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[qf_lib.common.tickers.tickers.Ticker])[source]¶

Sets sector exposure tickers

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