Record Class AlphaRiskModels.Spec

java.lang.Object

java.lang.Record

com.quantfinlib.alpha.AlphaRiskModels.Spec

Record Components:

window - estimation periods (≥ 2)

momentumLookback - momentum lookback in bars

volLookback - low-volatility lookback in bars

capWindow - bars of dollar volume for the size proxy

model - factor risk model settings

Enclosing class:

AlphaRiskModels

public static record AlphaRiskModels.Spec(int window, int momentumLookback, int volLookback, int capWindow, FactorRiskModel.Settings model)
extends Record

Risk model specification.

Constructor Summary

Constructors

Constructor	Description
Spec(int window, int momentumLookback, int volLookback, int capWindow, FactorRiskModel.Settings model)	Creates an instance of a Spec record class.

Method Summary

Modifier and Type	Method	Description
int	capWindow()	Returns the value of the capWindow record component.
static AlphaRiskModels.Spec	defaults()	120-period window, 60-bar momentum and volatility, 20-bar size proxy, default model.
final boolean	equals(Object o)	Indicates whether some other object is "equal to" this one.
int	firstIndex()	First bar at which a model can be built.
final int	hashCode()	Returns a hash code value for this object.
FactorRiskModel.Settings	model()	Returns the value of the model record component.
int	momentumLookback()	Returns the value of the momentumLookback record component.
final String	toString()	Returns a string representation of this record class.
int	volLookback()	Returns the value of the volLookback record component.
int	window()	Returns the value of the window record component.

Methods inherited from class Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Constructor Details

Spec

public Spec(int window,
 int momentumLookback,
 int volLookback,
 int capWindow,
 FactorRiskModel.Settings model)

Creates an instance of a Spec record class.

Parameters:

window - the value for the window record component

momentumLookback - the value for the momentumLookback record component

volLookback - the value for the volLookback record component

capWindow - the value for the capWindow record component

model - the value for the model record component

Method Details

defaults

public static AlphaRiskModels.Spec defaults()

120-period window, 60-bar momentum and volatility, 20-bar size proxy, default model.

firstIndex

public int firstIndex()

First bar at which a model can be built.

toString

public final String toString()

Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.

Specified by:

toString in class Record

Returns:

a string representation of this object

hashCode

public final int hashCode()

Returns a hash code value for this object. The value is derived from the hash code of each of the record components.

Specified by:

hashCode in class Record

Returns:

a hash code value for this object

equals

public final boolean equals(Object o)

Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. Reference components are compared with Objects::equals(Object,Object); primitive components are compared with the compare method from their corresponding wrapper classes.

Specified by:

equals in class Record

Parameters:

o - the object with which to compare

Returns:

true if this object is the same as the o argument; false otherwise.

window

public int window()

Returns the value of the window record component.

Returns:

the value of the window record component

momentumLookback

public int momentumLookback()

Returns the value of the momentumLookback record component.

Returns:

the value of the momentumLookback record component

volLookback

public int volLookback()

Returns the value of the volLookback record component.

Returns:

the value of the volLookback record component

capWindow

public int capWindow()

Returns the value of the capWindow record component.

Returns:

the value of the capWindow record component

model

public FactorRiskModel.Settings model()

Returns the value of the model record component.

Returns:

the value of the model record component