finance_risk.characteristics
============================

.. py:module:: finance_risk.characteristics


Classes
-------

.. autoapisummary::

   finance_risk.characteristics.CharacteristicFactorModel


Functions
---------

.. autoapisummary::

   finance_risk.characteristics.clean_characteristics
   finance_risk.characteristics.fit_characteristic_factor_model


Module Contents
---------------

.. py:class:: CharacteristicFactorModel(/, **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:: factor_returns
      :type:  tuple[float, ...]


   .. py:attribute:: residual_variance
      :type:  tuple[float, ...]


.. py:function:: clean_characteristics(values: Any, *, winsor_z: float = 3.0) -> numpy.ndarray

   Winsorize and z-score characteristic matrix column-wise.


.. py:function:: fit_characteristic_factor_model(returns: Any, characteristics: Any, *, ridge: float = 1e-06) -> CharacteristicFactorModel

   Fit cross-sectional returns on cleaned characteristics.