Uses of Class
com.quantfinlib.risk.FactorRiskModel

Packages that use FactorRiskModel

Package	Description
com.quantfinlib.alpha	Cross-sectional alpha research: signal generation, evaluation, validation, execution-aware backtesting, portfolio construction and reporting, each a separate step.
com.quantfinlib.risk	Risk measurement, decomposition, limits and model validation.

Uses of FactorRiskModel in com.quantfinlib.alpha

Methods in com.quantfinlib.alpha that return FactorRiskModel

Modifier and Type	Method	Description
static FactorRiskModel	AlphaRiskModels.estimate(AlphaContext ctx, int index, String[] sectors, AlphaRiskModels.Spec spec)	Estimates the model on the spec.window() periods ending at index, forecasting the period after it.

Uses of FactorRiskModel in com.quantfinlib.risk

Methods in com.quantfinlib.risk that return FactorRiskModel

Modifier and Type	Method	Description
static FactorRiskModel	FactorRiskModel.estimate(double[][] returns, double[][][] styles, List<String> styleNames, int[] sectors, List<String> sectorNames, double[][] caps, FactorRiskModel.Settings settings)	Estimates the model.