qis.ConditionalScenarioBand¶

class qis.ConditionalScenarioBand(summary, conditional_factor_covariance, annual_idio_vol, annual_factor_vol, annual_total_vol, horizon_years, confidence)[source]¶

Bases: object

Pointwise Gaussian prediction band with fixed baseline portfolio exposures.

Variables:

summary (pandas.DataFrame) – Centre, bounds, horizon volatilities and half-width in decimal NAV returns.
conditional_factor_covariance (pandas.DataFrame) – Annual full-order covariance, zero at fixed anchors.
annual_idio_vol (float) – Portfolio residual volatility under independent asset residuals.
annual_factor_vol (float) – Remaining conditional factor volatility.
annual_total_vol (float) – Combined conditional annual portfolio volatility.
horizon_years (float) – Positive covariance scaling horizon.
confidence (float) – Central probability in (0, 1).

Parameters:

summary (DataFrame)
conditional_factor_covariance (DataFrame)
annual_idio_vol (float)
annual_factor_vol (float)
annual_total_vol (float)
horizon_years (float)
confidence (float)

__init__(summary, conditional_factor_covariance, annual_idio_vol, annual_factor_vol, annual_total_vol, horizon_years, confidence)¶

Parameters:

summary (DataFrame)
conditional_factor_covariance (DataFrame)
annual_idio_vol (float)
annual_factor_vol (float)
annual_total_vol (float)
horizon_years (float)
confidence (float)

Return type:

None

Methods

__init__(summary, ...)

Attributes

`summary`
`conditional_factor_covariance`
`annual_idio_vol`
`annual_factor_vol`
`annual_total_vol`
`horizon_years`
`confidence`

summary: DataFrame¶

conditional_factor_covariance: DataFrame¶

annual_idio_vol: float¶

annual_factor_vol: float¶

annual_total_vol: float¶

horizon_years: float¶

confidence: float¶