RiskParityBoxesFactory

class qf_lib.common.risk_parity_boxes.risk_parity_boxes.RiskParityBoxesFactory(data_provider: AbstractPriceDataProvider, tickers_dict: dict = None)[source]

Bases: object

Makes timeseries for risk parity boxes.

Parameters:

data_provider (AbstractPriceDataProvider) – reference to a class providing the price data
tickers_dict (dict) – tickers for different economic environments

Methods:

make_parity_boxes(start_date, end_date[, ...])

Downloads the needed data and makes parity boxes.

make_parity_boxes(start_date: datetime, end_date: datetime, frequency: Frequency = Frequency.DAILY) → 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).