finance_opt.schemas

Classes

ObjectiveSpec	!!! abstract "Usage Documentation"
TradingCostSpec	!!! abstract "Usage Documentation"
ConstraintSpec	!!! abstract "Usage Documentation"
OptimizerConfig	!!! abstract "Usage Documentation"
OptimizationProblem	!!! abstract "Usage Documentation"
OptimizationResult	!!! abstract "Usage Documentation"

Module Contents

class finance_opt.schemas.ObjectiveSpec(/, **data: Any)

Bases: pydantic.BaseModel

!!! abstract “Usage Documentation”

[Models](../concepts/models.md)

A base class for creating Pydantic models.

__class_vars__

The names of the class variables defined on the model.

__private_attributes__

Metadata about the private attributes of the model.

__signature__

The synthesized __init__ [Signature][inspect.Signature] of the model.

__pydantic_complete__

Whether model building is completed, or if there are still undefined fields.

__pydantic_core_schema__

The core schema of the model.

__pydantic_custom_init__

Whether the model has a custom __init__ function.

__pydantic_decorators__

Metadata containing the decorators defined on the model. This replaces Model.__validators__ and Model.__root_validators__ from Pydantic V1.

__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.

__pydantic_parent_namespace__

Parent namespace of the model, used for automatic rebuilding of models.

__pydantic_post_init__

The name of the post-init method for the model, if defined.

__pydantic_root_model__

Whether the model is a [RootModel][pydantic.root_model.RootModel].

__pydantic_serializer__

The pydantic-core SchemaSerializer used to dump instances of the model.

__pydantic_validator__

The pydantic-core SchemaValidator used to validate instances of the model.

__pydantic_fields__

A dictionary of field names and their corresponding [FieldInfo][pydantic.fields.FieldInfo] objects.

__pydantic_computed_fields__

A dictionary of computed field names and their corresponding [ComputedFieldInfo][pydantic.fields.ComputedFieldInfo] objects.

__pydantic_extra__

A dictionary containing extra values, if [extra][pydantic.config.ConfigDict.extra] is set to ‘allow’.

__pydantic_fields_set__

The names of fields explicitly set during instantiation.

__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.

model_config

Configuration for the model, should be a dictionary conforming to [ConfigDict][pydantic.config.ConfigDict].

name: Literal['min_variance', 'max_sharpe', 'mean_variance'] = 'mean_variance'

risk_aversion: float = None

class finance_opt.schemas.TradingCostSpec(/, **data: Any)

Bases: pydantic.BaseModel

!!! abstract “Usage Documentation”

[Models](../concepts/models.md)

A base class for creating Pydantic models.

__class_vars__

The names of the class variables defined on the model.

__private_attributes__

Metadata about the private attributes of the model.

__signature__

The synthesized __init__ [Signature][inspect.Signature] of the model.

__pydantic_complete__

Whether model building is completed, or if there are still undefined fields.

__pydantic_core_schema__

The core schema of the model.

__pydantic_custom_init__

Whether the model has a custom __init__ function.

__pydantic_decorators__

Metadata containing the decorators defined on the model. This replaces Model.__validators__ and Model.__root_validators__ from Pydantic V1.

__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.

__pydantic_parent_namespace__

Parent namespace of the model, used for automatic rebuilding of models.

__pydantic_post_init__

The name of the post-init method for the model, if defined.

__pydantic_root_model__

Whether the model is a [RootModel][pydantic.root_model.RootModel].

__pydantic_serializer__

The pydantic-core SchemaSerializer used to dump instances of the model.

__pydantic_validator__

The pydantic-core SchemaValidator used to validate instances of the model.

__pydantic_fields__

A dictionary of field names and their corresponding [FieldInfo][pydantic.fields.FieldInfo] objects.

__pydantic_computed_fields__

A dictionary of computed field names and their corresponding [ComputedFieldInfo][pydantic.fields.ComputedFieldInfo] objects.

__pydantic_extra__

A dictionary containing extra values, if [extra][pydantic.config.ConfigDict.extra] is set to ‘allow’.

__pydantic_fields_set__

The names of fields explicitly set during instantiation.

__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.

model_config

Configuration for the model, should be a dictionary conforming to [ConfigDict][pydantic.config.ConfigDict].

linear_fee_bps: float = None

spread_bps: float = None

turnover_penalty: float = None

impact_coefficient: float = None

class finance_opt.schemas.ConstraintSpec(/, **data: Any)

Bases: pydantic.BaseModel

!!! abstract “Usage Documentation”

[Models](../concepts/models.md)

A base class for creating Pydantic models.

__class_vars__

The names of the class variables defined on the model.

__private_attributes__

Metadata about the private attributes of the model.

__signature__

The synthesized __init__ [Signature][inspect.Signature] of the model.

__pydantic_complete__

Whether model building is completed, or if there are still undefined fields.

__pydantic_core_schema__

The core schema of the model.

__pydantic_custom_init__

Whether the model has a custom __init__ function.

__pydantic_decorators__

Metadata containing the decorators defined on the model. This replaces Model.__validators__ and Model.__root_validators__ from Pydantic V1.

__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.

__pydantic_parent_namespace__

Parent namespace of the model, used for automatic rebuilding of models.

__pydantic_post_init__

The name of the post-init method for the model, if defined.

__pydantic_root_model__

Whether the model is a [RootModel][pydantic.root_model.RootModel].

__pydantic_serializer__

The pydantic-core SchemaSerializer used to dump instances of the model.

__pydantic_validator__

The pydantic-core SchemaValidator used to validate instances of the model.

__pydantic_fields__

A dictionary of field names and their corresponding [FieldInfo][pydantic.fields.FieldInfo] objects.

__pydantic_computed_fields__

A dictionary of computed field names and their corresponding [ComputedFieldInfo][pydantic.fields.ComputedFieldInfo] objects.

__pydantic_extra__

A dictionary containing extra values, if [extra][pydantic.config.ConfigDict.extra] is set to ‘allow’.

__pydantic_fields_set__

The names of fields explicitly set during instantiation.

__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.

model_config

Configuration for the model, should be a dictionary conforming to [ConfigDict][pydantic.config.ConfigDict].

long_only: bool = True

budget: float = 1.0

min_weight: float | None = 0.0

max_weight: float | None = 1.0

leverage_limit: float | None = None

max_turnover: float | None = None

factor_bounds: dict[str, tuple[float | None, float | None]] = None

sector_bounds: dict[str, tuple[float | None, float | None]] = None

classmethod _validate_bounds(value: float | None, info)

class finance_opt.schemas.OptimizerConfig(/, **data: Any)

Bases: pydantic.BaseModel

!!! abstract “Usage Documentation”

[Models](../concepts/models.md)

A base class for creating Pydantic models.

__class_vars__

The names of the class variables defined on the model.

__private_attributes__

Metadata about the private attributes of the model.

__signature__

The synthesized __init__ [Signature][inspect.Signature] of the model.

__pydantic_complete__

Whether model building is completed, or if there are still undefined fields.

__pydantic_core_schema__

The core schema of the model.

__pydantic_custom_init__

Whether the model has a custom __init__ function.

__pydantic_decorators__

Metadata containing the decorators defined on the model. This replaces Model.__validators__ and Model.__root_validators__ from Pydantic V1.

__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.

__pydantic_parent_namespace__

Parent namespace of the model, used for automatic rebuilding of models.

__pydantic_post_init__

The name of the post-init method for the model, if defined.

__pydantic_root_model__

Whether the model is a [RootModel][pydantic.root_model.RootModel].

__pydantic_serializer__

The pydantic-core SchemaSerializer used to dump instances of the model.

__pydantic_validator__

The pydantic-core SchemaValidator used to validate instances of the model.

__pydantic_fields__

A dictionary of field names and their corresponding [FieldInfo][pydantic.fields.FieldInfo] objects.

__pydantic_computed_fields__

A dictionary of computed field names and their corresponding [ComputedFieldInfo][pydantic.fields.ComputedFieldInfo] objects.

__pydantic_extra__

A dictionary containing extra values, if [extra][pydantic.config.ConfigDict.extra] is set to ‘allow’.

__pydantic_fields_set__

The names of fields explicitly set during instantiation.

__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.

model_config

Configuration for the model, should be a dictionary conforming to [ConfigDict][pydantic.config.ConfigDict].

solver: Literal['auto', 'native', 'projected_gradient'] = 'auto'

adapter: Literal['auto', 'clarabel_like', 'numpy_qp'] = 'auto'

max_iterations: int = None

tolerance: float = None

constraint_penalty: float = None

class finance_opt.schemas.OptimizationProblem(/, **data: Any)

Bases: pydantic.BaseModel

!!! abstract “Usage Documentation”

[Models](../concepts/models.md)

A base class for creating Pydantic models.

__class_vars__

The names of the class variables defined on the model.

__private_attributes__

Metadata about the private attributes of the model.

__signature__

The synthesized __init__ [Signature][inspect.Signature] of the model.

__pydantic_complete__

Whether model building is completed, or if there are still undefined fields.

__pydantic_core_schema__

The core schema of the model.

__pydantic_custom_init__

Whether the model has a custom __init__ function.

__pydantic_decorators__

Metadata containing the decorators defined on the model. This replaces Model.__validators__ and Model.__root_validators__ from Pydantic V1.

__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.

__pydantic_parent_namespace__

Parent namespace of the model, used for automatic rebuilding of models.

__pydantic_post_init__

The name of the post-init method for the model, if defined.

__pydantic_root_model__

Whether the model is a [RootModel][pydantic.root_model.RootModel].

__pydantic_serializer__

The pydantic-core SchemaSerializer used to dump instances of the model.

__pydantic_validator__

The pydantic-core SchemaValidator used to validate instances of the model.

__pydantic_fields__

A dictionary of field names and their corresponding [FieldInfo][pydantic.fields.FieldInfo] objects.

__pydantic_computed_fields__

A dictionary of computed field names and their corresponding [ComputedFieldInfo][pydantic.fields.ComputedFieldInfo] objects.

__pydantic_extra__

A dictionary containing extra values, if [extra][pydantic.config.ConfigDict.extra] is set to ‘allow’.

__pydantic_fields_set__

The names of fields explicitly set during instantiation.

__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.

model_config

Configuration for the model, should be a dictionary conforming to [ConfigDict][pydantic.config.ConfigDict].

expected_returns: tuple[float, ...]

covariance: tuple[tuple[float, ...], ...]

asset_names: tuple[str, ...] | None = None

current_weights: tuple[float, ...] | None = None

liquidity_limits: tuple[float, ...] | None = None

lot_sizes: tuple[float, ...] | None = None

factor_names: tuple[str, ...] | None = None

factor_loadings: tuple[tuple[float, ...], ...] | None = None

sector_labels: tuple[str, ...] | None = None

objective: ObjectiveSpec = None

costs: TradingCostSpec = None

constraints: ConstraintSpec = None

config: OptimizerConfig = None

class finance_opt.schemas.OptimizationResult(/, **data: Any)

Bases: pydantic.BaseModel

!!! abstract “Usage Documentation”

[Models](../concepts/models.md)

A base class for creating Pydantic models.

__class_vars__

The names of the class variables defined on the model.

__private_attributes__

Metadata about the private attributes of the model.

__signature__

The synthesized __init__ [Signature][inspect.Signature] of the model.

__pydantic_complete__

Whether model building is completed, or if there are still undefined fields.

__pydantic_core_schema__

The core schema of the model.

__pydantic_custom_init__

Whether the model has a custom __init__ function.

__pydantic_decorators__

Metadata containing the decorators defined on the model. This replaces Model.__validators__ and Model.__root_validators__ from Pydantic V1.

__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.

__pydantic_parent_namespace__

Parent namespace of the model, used for automatic rebuilding of models.

__pydantic_post_init__

The name of the post-init method for the model, if defined.

__pydantic_root_model__

Whether the model is a [RootModel][pydantic.root_model.RootModel].

__pydantic_serializer__

The pydantic-core SchemaSerializer used to dump instances of the model.

__pydantic_validator__

The pydantic-core SchemaValidator used to validate instances of the model.

__pydantic_fields__

A dictionary of field names and their corresponding [FieldInfo][pydantic.fields.FieldInfo] objects.

__pydantic_computed_fields__

A dictionary of computed field names and their corresponding [ComputedFieldInfo][pydantic.fields.ComputedFieldInfo] objects.

__pydantic_extra__

A dictionary containing extra values, if [extra][pydantic.config.ConfigDict.extra] is set to ‘allow’.

__pydantic_fields_set__

The names of fields explicitly set during instantiation.

__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.

model_config

Configuration for the model, should be a dictionary conforming to [ConfigDict][pydantic.config.ConfigDict].

weights: tuple[float, ...]

objective_value: float

converged: bool

iterations: int

diagnostics: dict[str, float] = None