Index

_

__init__() (fpm_risk_model.cov_estimator.CovarianceEstimator method) (fpm_risk_model.cov_estimator.RollingCovarianceEstimator method) (fpm_risk_model.factor_risk_model.FactorRiskModel method) (fpm_risk_model.risk_model.RiskModel method) (fpm_risk_model.rolling_risk_model.RollingRiskModel method) (fpm_risk_model.statistical.apca.APCA method) (fpm_risk_model.statistical.pca.PCA method)

A

APCA (class in fpm_risk_model.statistical.apca) APCAConfig (class in fpm_risk_model.statistical.apca)

asdict() (fpm_risk_model.risk_model.RiskModel method) (fpm_risk_model.rolling_risk_model.RollingRiskModel method)

C

compute_bias_statistics() (in module fpm_risk_model.accuracy.bias) compute_standardized_returns() (in module fpm_risk_model.accuracy.bias) compute_value_at_risk_breach_statistics() (in module fpm_risk_model.accuracy.value_at_risk) compute_value_at_risk_rolling_breach_statistics() (in module fpm_risk_model.accuracy.value_at_risk) compute_value_at_risk_threshold() (in module fpm_risk_model.accuracy.value_at_risk) config (fpm_risk_model.risk_model.RiskModel property) (fpm_risk_model.rolling_risk_model.RollingRiskModel property) ConfigClass (fpm_risk_model.risk_model.RiskModel attribute) (fpm_risk_model.rolling_risk_model.RollingRiskModel attribute) (fpm_risk_model.statistical.apca.APCA attribute) (fpm_risk_model.statistical.pca.PCA attribute)

constant_shrinkage() (fpm_risk_model.cov_estimator.CovarianceEstimator static method) copy() (fpm_risk_model.factor_risk_model.FactorRiskModel method) corr() (fpm_risk_model.cov_estimator.CovarianceEstimator method) (fpm_risk_model.risk_model.RiskModel method) cov() (fpm_risk_model.cov_estimator.CovarianceEstimator method) (fpm_risk_model.cov_estimator.RollingCovarianceEstimator method) (fpm_risk_model.factor_risk_model.FactorRiskModel method) (fpm_risk_model.risk_model.RiskModel method) CovarianceEstimator (class in fpm_risk_model.cov_estimator)

D

demean (fpm_risk_model.statistical.apca.APCAConfig attribute) (fpm_risk_model.statistical.pca.PCAConfig attribute)

F

factor_exposures (fpm_risk_model.factor_risk_model.FactorRiskModel property) factor_returns (fpm_risk_model.factor_risk_model.FactorRiskModel property) FactorRiskModel (class in fpm_risk_model.factor_risk_model) fit() (fpm_risk_model.factor_risk_model.FactorRiskModel method) (fpm_risk_model.rolling_risk_model.RollingRiskModel method) (fpm_risk_model.statistical.apca.APCA method) (fpm_risk_model.statistical.pca.PCA method) fpm_risk_model.accuracy.bias module fpm_risk_model.accuracy.value_at_risk module

fpm_risk_model.cov_estimator module fpm_risk_model.factor_risk_model module fpm_risk_model.risk_model module fpm_risk_model.rolling_risk_model module fpm_risk_model.statistical.apca module fpm_risk_model.statistical.pca module

G

get() (fpm_risk_model.rolling_risk_model.RollingRiskModel method)

I

items() (fpm_risk_model.rolling_risk_model.RollingRiskModel method)

K

keys() (fpm_risk_model.rolling_risk_model.RollingRiskModel method)

M

module fpm_risk_model.accuracy.bias fpm_risk_model.accuracy.value_at_risk fpm_risk_model.cov_estimator fpm_risk_model.factor_risk_model fpm_risk_model.risk_model fpm_risk_model.rolling_risk_model fpm_risk_model.statistical.apca fpm_risk_model.statistical.pca

N

n_components (fpm_risk_model.statistical.apca.APCAConfig attribute) (fpm_risk_model.statistical.pca.PCAConfig attribute)

P

PCA (class in fpm_risk_model.statistical.pca)

PCAConfig (class in fpm_risk_model.statistical.pca)

R

read_directory() (fpm_risk_model.factor_risk_model.FactorRiskModel class method) residual_returns (fpm_risk_model.factor_risk_model.FactorRiskModel property) RiskModel (class in fpm_risk_model.risk_model)

RiskModelConfig (class in fpm_risk_model.risk_model) RollingCovarianceEstimator (class in fpm_risk_model.cov_estimator) RollingRiskModel (class in fpm_risk_model.rolling_risk_model) RollingRiskModelConfig (class in fpm_risk_model.rolling_risk_model)

S

show_all_instruments (fpm_risk_model.risk_model.RiskModelConfig attribute) show_progress (fpm_risk_model.rolling_risk_model.RollingRiskModelConfig attribute)

specific_variances() (fpm_risk_model.factor_risk_model.FactorRiskModel method) speedup (fpm_risk_model.statistical.pca.PCAConfig attribute)

T

transform() (fpm_risk_model.factor_risk_model.FactorRiskModel method)

V

values() (fpm_risk_model.rolling_risk_model.RollingRiskModel method)

vol() (fpm_risk_model.risk_model.RiskModel method)

W

window (fpm_risk_model.rolling_risk_model.RollingRiskModelConfig attribute)

write_directory() (fpm_risk_model.factor_risk_model.FactorRiskModel method)