RiskParityBoxesFactory¶

class qf_lib.common.risk_parity_boxes.risk_parity_boxes.RiskParityBoxesFactory(bbg_data_provider: qf_lib.data_providers.bloomberg.bloomberg_data_provider.BloombergDataProvider)[source]¶

Bases: object

Makes timeseries for risk parity boxes.

Parameters: bbg_data_provider (BloombergDataProvider) – reference to bloomberg data provider

Methods

make_parity_boxes(start_date, end_date, …)

Downloads the needed data and makes parity boxes.

make_parity_boxes(start_date: datetime.datetime, end_date: datetime.datetime, frequency: qf_lib.common.enums.frequency.Frequency = <Frequency.DAILY: 252>) → qf_lib.common.risk_parity_boxes.risk_parity_boxes.RiskParityBoxes [source]¶: Downloads the needed data and makes parity boxes. Each box is one series of returns (starting at the first date after start_date and ending at the end_date).