finance_opt.schemas =================== .. py:module:: finance_opt.schemas Classes ------- .. autoapisummary:: finance_opt.schemas.ObjectiveSpec finance_opt.schemas.TradingCostSpec finance_opt.schemas.ConstraintSpec finance_opt.schemas.OptimizerConfig finance_opt.schemas.OptimizationProblem finance_opt.schemas.OptimizationResult Module Contents --------------- .. py:class:: ObjectiveSpec(/, **data: Any) Bases: :py:obj:`pydantic.BaseModel` !!! abstract "Usage Documentation" [Models](../concepts/models.md) A base class for creating Pydantic models. .. attribute:: __class_vars__ The names of the class variables defined on the model. .. attribute:: __private_attributes__ Metadata about the private attributes of the model. .. attribute:: __signature__ The synthesized `__init__` [`Signature`][inspect.Signature] of the model. .. attribute:: __pydantic_complete__ Whether model building is completed, or if there are still undefined fields. .. attribute:: __pydantic_core_schema__ The core schema of the model. .. attribute:: __pydantic_custom_init__ Whether the model has a custom `__init__` function. .. attribute:: __pydantic_decorators__ Metadata containing the decorators defined on the model. This replaces `Model.__validators__` and `Model.__root_validators__` from Pydantic V1. .. attribute:: __pydantic_generic_metadata__ A dictionary containing metadata about generic Pydantic models. The `origin` and `args` items map to the [`__origin__`][genericalias.__origin__] and [`__args__`][genericalias.__args__] attributes of [generic aliases][types-genericalias], and the `parameter` item maps to the `__parameter__` attribute of generic classes. .. attribute:: __pydantic_parent_namespace__ Parent namespace of the model, used for automatic rebuilding of models. .. attribute:: __pydantic_post_init__ The name of the post-init method for the model, if defined. .. attribute:: __pydantic_root_model__ Whether the model is a [`RootModel`][pydantic.root_model.RootModel]. .. attribute:: __pydantic_serializer__ The `pydantic-core` `SchemaSerializer` used to dump instances of the model. .. attribute:: __pydantic_validator__ The `pydantic-core` `SchemaValidator` used to validate instances of the model. .. attribute:: __pydantic_fields__ A dictionary of field names and their corresponding [`FieldInfo`][pydantic.fields.FieldInfo] objects. .. attribute:: __pydantic_computed_fields__ A dictionary of computed field names and their corresponding [`ComputedFieldInfo`][pydantic.fields.ComputedFieldInfo] objects. .. attribute:: __pydantic_extra__ A dictionary containing extra values, if [`extra`][pydantic.config.ConfigDict.extra] is set to `'allow'`. .. attribute:: __pydantic_fields_set__ The names of fields explicitly set during instantiation. .. attribute:: __pydantic_private__ Values of private attributes set on the model instance. Create a new model by parsing and validating input data from keyword arguments. Raises [`ValidationError`][pydantic_core.ValidationError] if the input data cannot be validated to form a valid model. `self` is explicitly positional-only to allow `self` as a field name. .. py:attribute:: model_config Configuration for the model, should be a dictionary conforming to [`ConfigDict`][pydantic.config.ConfigDict]. .. py:attribute:: name :type: Literal['min_variance', 'max_sharpe', 'mean_variance'] :value: 'mean_variance' .. py:attribute:: risk_aversion :type: float :value: None .. py:class:: TradingCostSpec(/, **data: Any) Bases: :py:obj:`pydantic.BaseModel` !!! abstract "Usage Documentation" [Models](../concepts/models.md) A base class for creating Pydantic models. .. attribute:: __class_vars__ The names of the class variables defined on the model. .. attribute:: __private_attributes__ Metadata about the private attributes of the model. .. attribute:: __signature__ The synthesized `__init__` [`Signature`][inspect.Signature] of the model. .. attribute:: __pydantic_complete__ Whether model building is completed, or if there are still undefined fields. .. attribute:: __pydantic_core_schema__ The core schema of the model. .. attribute:: __pydantic_custom_init__ Whether the model has a custom `__init__` function. .. attribute:: __pydantic_decorators__ Metadata containing the decorators defined on the model. This replaces `Model.__validators__` and `Model.__root_validators__` from Pydantic V1. .. attribute:: __pydantic_generic_metadata__ A dictionary containing metadata about generic Pydantic models. The `origin` and `args` items map to the [`__origin__`][genericalias.__origin__] and [`__args__`][genericalias.__args__] attributes of [generic aliases][types-genericalias], and the `parameter` item maps to the `__parameter__` attribute of generic classes. .. attribute:: __pydantic_parent_namespace__ Parent namespace of the model, used for automatic rebuilding of models. .. attribute:: __pydantic_post_init__ The name of the post-init method for the model, if defined. .. attribute:: __pydantic_root_model__ Whether the model is a [`RootModel`][pydantic.root_model.RootModel]. .. attribute:: __pydantic_serializer__ The `pydantic-core` `SchemaSerializer` used to dump instances of the model. .. attribute:: __pydantic_validator__ The `pydantic-core` `SchemaValidator` used to validate instances of the model. .. attribute:: __pydantic_fields__ A dictionary of field names and their corresponding [`FieldInfo`][pydantic.fields.FieldInfo] objects. .. attribute:: __pydantic_computed_fields__ A dictionary of computed field names and their corresponding [`ComputedFieldInfo`][pydantic.fields.ComputedFieldInfo] objects. .. attribute:: __pydantic_extra__ A dictionary containing extra values, if [`extra`][pydantic.config.ConfigDict.extra] is set to `'allow'`. .. attribute:: __pydantic_fields_set__ The names of fields explicitly set during instantiation. .. attribute:: __pydantic_private__ Values of private attributes set on the model instance. Create a new model by parsing and validating input data from keyword arguments. Raises [`ValidationError`][pydantic_core.ValidationError] if the input data cannot be validated to form a valid model. `self` is explicitly positional-only to allow `self` as a field name. .. py:attribute:: model_config Configuration for the model, should be a dictionary conforming to [`ConfigDict`][pydantic.config.ConfigDict]. .. py:attribute:: linear_fee_bps :type: float :value: None .. py:attribute:: spread_bps :type: float :value: None .. py:attribute:: turnover_penalty :type: float :value: None .. py:attribute:: impact_coefficient :type: float :value: None .. py:class:: ConstraintSpec(/, **data: Any) Bases: :py:obj:`pydantic.BaseModel` !!! abstract "Usage Documentation" [Models](../concepts/models.md) A base class for creating Pydantic models. .. attribute:: __class_vars__ The names of the class variables defined on the model. .. attribute:: __private_attributes__ Metadata about the private attributes of the model. .. attribute:: __signature__ The synthesized `__init__` [`Signature`][inspect.Signature] of the model. .. attribute:: __pydantic_complete__ Whether model building is completed, or if there are still undefined fields. .. attribute:: __pydantic_core_schema__ The core schema of the model. .. attribute:: __pydantic_custom_init__ Whether the model has a custom `__init__` function. .. attribute:: __pydantic_decorators__ Metadata containing the decorators defined on the model. This replaces `Model.__validators__` and `Model.__root_validators__` from Pydantic V1. .. attribute:: __pydantic_generic_metadata__ A dictionary containing metadata about generic Pydantic models. The `origin` and `args` items map to the [`__origin__`][genericalias.__origin__] and [`__args__`][genericalias.__args__] attributes of [generic aliases][types-genericalias], and the `parameter` item maps to the `__parameter__` attribute of generic classes. .. attribute:: __pydantic_parent_namespace__ Parent namespace of the model, used for automatic rebuilding of models. .. attribute:: __pydantic_post_init__ The name of the post-init method for the model, if defined. .. attribute:: __pydantic_root_model__ Whether the model is a [`RootModel`][pydantic.root_model.RootModel]. .. attribute:: __pydantic_serializer__ The `pydantic-core` `SchemaSerializer` used to dump instances of the model. .. attribute:: __pydantic_validator__ The `pydantic-core` `SchemaValidator` used to validate instances of the model. .. attribute:: __pydantic_fields__ A dictionary of field names and their corresponding [`FieldInfo`][pydantic.fields.FieldInfo] objects. .. attribute:: __pydantic_computed_fields__ A dictionary of computed field names and their corresponding [`ComputedFieldInfo`][pydantic.fields.ComputedFieldInfo] objects. .. attribute:: __pydantic_extra__ A dictionary containing extra values, if [`extra`][pydantic.config.ConfigDict.extra] is set to `'allow'`. .. attribute:: __pydantic_fields_set__ The names of fields explicitly set during instantiation. .. attribute:: __pydantic_private__ Values of private attributes set on the model instance. Create a new model by parsing and validating input data from keyword arguments. Raises [`ValidationError`][pydantic_core.ValidationError] if the input data cannot be validated to form a valid model. `self` is explicitly positional-only to allow `self` as a field name. .. py:attribute:: model_config Configuration for the model, should be a dictionary conforming to [`ConfigDict`][pydantic.config.ConfigDict]. .. py:attribute:: long_only :type: bool :value: True .. py:attribute:: budget :type: float :value: 1.0 .. py:attribute:: min_weight :type: float | None :value: 0.0 .. py:attribute:: max_weight :type: float | None :value: 1.0 .. py:attribute:: leverage_limit :type: float | None :value: None .. py:attribute:: max_turnover :type: float | None :value: None .. py:attribute:: factor_bounds :type: dict[str, tuple[float | None, float | None]] :value: None .. py:attribute:: sector_bounds :type: dict[str, tuple[float | None, float | None]] :value: None .. py:method:: _validate_bounds(value: float | None, info) :classmethod: .. py:class:: OptimizerConfig(/, **data: Any) Bases: :py:obj:`pydantic.BaseModel` !!! abstract "Usage Documentation" [Models](../concepts/models.md) A base class for creating Pydantic models. .. attribute:: __class_vars__ The names of the class variables defined on the model. .. attribute:: __private_attributes__ Metadata about the private attributes of the model. .. attribute:: __signature__ The synthesized `__init__` [`Signature`][inspect.Signature] of the model. .. attribute:: __pydantic_complete__ Whether model building is completed, or if there are still undefined fields. .. attribute:: __pydantic_core_schema__ The core schema of the model. .. attribute:: __pydantic_custom_init__ Whether the model has a custom `__init__` function. .. attribute:: __pydantic_decorators__ Metadata containing the decorators defined on the model. This replaces `Model.__validators__` and `Model.__root_validators__` from Pydantic V1. .. attribute:: __pydantic_generic_metadata__ A dictionary containing metadata about generic Pydantic models. The `origin` and `args` items map to the [`__origin__`][genericalias.__origin__] and [`__args__`][genericalias.__args__] attributes of [generic aliases][types-genericalias], and the `parameter` item maps to the `__parameter__` attribute of generic classes. .. attribute:: __pydantic_parent_namespace__ Parent namespace of the model, used for automatic rebuilding of models. .. attribute:: __pydantic_post_init__ The name of the post-init method for the model, if defined. .. attribute:: __pydantic_root_model__ Whether the model is a [`RootModel`][pydantic.root_model.RootModel]. .. attribute:: __pydantic_serializer__ The `pydantic-core` `SchemaSerializer` used to dump instances of the model. .. attribute:: __pydantic_validator__ The `pydantic-core` `SchemaValidator` used to validate instances of the model. .. attribute:: __pydantic_fields__ A dictionary of field names and their corresponding [`FieldInfo`][pydantic.fields.FieldInfo] objects. .. attribute:: __pydantic_computed_fields__ A dictionary of computed field names and their corresponding [`ComputedFieldInfo`][pydantic.fields.ComputedFieldInfo] objects. .. attribute:: __pydantic_extra__ A dictionary containing extra values, if [`extra`][pydantic.config.ConfigDict.extra] is set to `'allow'`. .. attribute:: __pydantic_fields_set__ The names of fields explicitly set during instantiation. .. attribute:: __pydantic_private__ Values of private attributes set on the model instance. Create a new model by parsing and validating input data from keyword arguments. Raises [`ValidationError`][pydantic_core.ValidationError] if the input data cannot be validated to form a valid model. `self` is explicitly positional-only to allow `self` as a field name. .. py:attribute:: model_config Configuration for the model, should be a dictionary conforming to [`ConfigDict`][pydantic.config.ConfigDict]. .. py:attribute:: solver :type: Literal['auto', 'native', 'projected_gradient'] :value: 'auto' .. py:attribute:: adapter :type: Literal['auto', 'clarabel_like', 'numpy_qp'] :value: 'auto' .. py:attribute:: max_iterations :type: int :value: None .. py:attribute:: tolerance :type: float :value: None .. py:attribute:: constraint_penalty :type: float :value: None .. py:class:: OptimizationProblem(/, **data: Any) Bases: :py:obj:`pydantic.BaseModel` !!! abstract "Usage Documentation" [Models](../concepts/models.md) A base class for creating Pydantic models. .. attribute:: __class_vars__ The names of the class variables defined on the model. .. attribute:: __private_attributes__ Metadata about the private attributes of the model. .. attribute:: __signature__ The synthesized `__init__` [`Signature`][inspect.Signature] of the model. .. attribute:: __pydantic_complete__ Whether model building is completed, or if there are still undefined fields. .. attribute:: __pydantic_core_schema__ The core schema of the model. .. attribute:: __pydantic_custom_init__ Whether the model has a custom `__init__` function. .. attribute:: __pydantic_decorators__ Metadata containing the decorators defined on the model. This replaces `Model.__validators__` and `Model.__root_validators__` from Pydantic V1. .. attribute:: __pydantic_generic_metadata__ A dictionary containing metadata about generic Pydantic models. The `origin` and `args` items map to the [`__origin__`][genericalias.__origin__] and [`__args__`][genericalias.__args__] attributes of [generic aliases][types-genericalias], and the `parameter` item maps to the `__parameter__` attribute of generic classes. .. attribute:: __pydantic_parent_namespace__ Parent namespace of the model, used for automatic rebuilding of models. .. attribute:: __pydantic_post_init__ The name of the post-init method for the model, if defined. .. attribute:: __pydantic_root_model__ Whether the model is a [`RootModel`][pydantic.root_model.RootModel]. .. attribute:: __pydantic_serializer__ The `pydantic-core` `SchemaSerializer` used to dump instances of the model. .. attribute:: __pydantic_validator__ The `pydantic-core` `SchemaValidator` used to validate instances of the model. .. attribute:: __pydantic_fields__ A dictionary of field names and their corresponding [`FieldInfo`][pydantic.fields.FieldInfo] objects. .. attribute:: __pydantic_computed_fields__ A dictionary of computed field names and their corresponding [`ComputedFieldInfo`][pydantic.fields.ComputedFieldInfo] objects. .. attribute:: __pydantic_extra__ A dictionary containing extra values, if [`extra`][pydantic.config.ConfigDict.extra] is set to `'allow'`. .. attribute:: __pydantic_fields_set__ The names of fields explicitly set during instantiation. .. attribute:: __pydantic_private__ Values of private attributes set on the model instance. Create a new model by parsing and validating input data from keyword arguments. Raises [`ValidationError`][pydantic_core.ValidationError] if the input data cannot be validated to form a valid model. `self` is explicitly positional-only to allow `self` as a field name. .. py:attribute:: model_config Configuration for the model, should be a dictionary conforming to [`ConfigDict`][pydantic.config.ConfigDict]. .. py:attribute:: expected_returns :type: tuple[float, ...] .. py:attribute:: covariance :type: tuple[tuple[float, ...], ...] .. py:attribute:: asset_names :type: tuple[str, ...] | None :value: None .. py:attribute:: current_weights :type: tuple[float, ...] | None :value: None .. py:attribute:: liquidity_limits :type: tuple[float, ...] | None :value: None .. py:attribute:: lot_sizes :type: tuple[float, ...] | None :value: None .. py:attribute:: factor_names :type: tuple[str, ...] | None :value: None .. py:attribute:: factor_loadings :type: tuple[tuple[float, ...], ...] | None :value: None .. py:attribute:: sector_labels :type: tuple[str, ...] | None :value: None .. py:attribute:: objective :type: ObjectiveSpec :value: None .. py:attribute:: costs :type: TradingCostSpec :value: None .. py:attribute:: constraints :type: ConstraintSpec :value: None .. py:attribute:: config :type: OptimizerConfig :value: None .. py:class:: OptimizationResult(/, **data: Any) Bases: :py:obj:`pydantic.BaseModel` !!! abstract "Usage Documentation" [Models](../concepts/models.md) A base class for creating Pydantic models. .. attribute:: __class_vars__ The names of the class variables defined on the model. .. attribute:: __private_attributes__ Metadata about the private attributes of the model. .. attribute:: __signature__ The synthesized `__init__` [`Signature`][inspect.Signature] of the model. .. attribute:: __pydantic_complete__ Whether model building is completed, or if there are still undefined fields. .. attribute:: __pydantic_core_schema__ The core schema of the model. .. attribute:: __pydantic_custom_init__ Whether the model has a custom `__init__` function. .. attribute:: __pydantic_decorators__ Metadata containing the decorators defined on the model. This replaces `Model.__validators__` and `Model.__root_validators__` from Pydantic V1. .. attribute:: __pydantic_generic_metadata__ A dictionary containing metadata about generic Pydantic models. The `origin` and `args` items map to the [`__origin__`][genericalias.__origin__] and [`__args__`][genericalias.__args__] attributes of [generic aliases][types-genericalias], and the `parameter` item maps to the `__parameter__` attribute of generic classes. .. attribute:: __pydantic_parent_namespace__ Parent namespace of the model, used for automatic rebuilding of models. .. attribute:: __pydantic_post_init__ The name of the post-init method for the model, if defined. .. attribute:: __pydantic_root_model__ Whether the model is a [`RootModel`][pydantic.root_model.RootModel]. .. attribute:: __pydantic_serializer__ The `pydantic-core` `SchemaSerializer` used to dump instances of the model. .. attribute:: __pydantic_validator__ The `pydantic-core` `SchemaValidator` used to validate instances of the model. .. attribute:: __pydantic_fields__ A dictionary of field names and their corresponding [`FieldInfo`][pydantic.fields.FieldInfo] objects. .. attribute:: __pydantic_computed_fields__ A dictionary of computed field names and their corresponding [`ComputedFieldInfo`][pydantic.fields.ComputedFieldInfo] objects. .. attribute:: __pydantic_extra__ A dictionary containing extra values, if [`extra`][pydantic.config.ConfigDict.extra] is set to `'allow'`. .. attribute:: __pydantic_fields_set__ The names of fields explicitly set during instantiation. .. attribute:: __pydantic_private__ Values of private attributes set on the model instance. Create a new model by parsing and validating input data from keyword arguments. Raises [`ValidationError`][pydantic_core.ValidationError] if the input data cannot be validated to form a valid model. `self` is explicitly positional-only to allow `self` as a field name. .. py:attribute:: model_config Configuration for the model, should be a dictionary conforming to [`ConfigDict`][pydantic.config.ConfigDict]. .. py:attribute:: weights :type: tuple[float, ...] .. py:attribute:: objective_value :type: float .. py:attribute:: converged :type: bool .. py:attribute:: iterations :type: int .. py:attribute:: diagnostics :type: dict[str, float] :value: None