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Pass nan_option to structured covariance estimator.

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Charles Young
2021-03-08 17:09:33 +08:00
parent 0f3e3d206b
commit 79c1142d3e
1 changed files with 6 additions and 2 deletions
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8
qlib/model/riskmodel/structured.py
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@@ -30,7 +30,7 @@ class StructuredCovEstimator(RiskModel):
FACTOR_MODEL_PCA = "pca" FACTOR_MODEL_PCA = "pca"
FACTOR_MODEL_FA = "fa" FACTOR_MODEL_FA = "fa"
NAN_OPTION = "fill" DEFAULT_NAN_OPTION = "fill"
def __init__( def __init__(
self, self,
@@ -38,6 +38,7 @@ class StructuredCovEstimator(RiskModel):
num_factors: int = 10, num_factors: int = 10,
assume_centered: bool = False, assume_centered: bool = False,
scale_return: bool = True, scale_return: bool = True,
nan_option: str = DEFAULT_NAN_OPTION
): ):
""" """
Args: Args:
@@ -45,8 +46,11 @@ class StructuredCovEstimator(RiskModel):
num_factors (int): number of components to keep. num_factors (int): number of components to keep.
assume_centered (bool): whether the data is assumed to be centered. assume_centered (bool): whether the data is assumed to be centered.
scale_return (bool): whether scale returns as percentage. scale_return (bool): whether scale returns as percentage.
nan_option (str): nan handling option (`fill`).
""" """
super().__init__(self.NAN_OPTION, assume_centered, scale_return) assert nan_option in [self.DEFAULT_NAN_OPTION], "nan_option={} is not supported".format(nan_option)
super().__init__(nan_option, assume_centered, scale_return)
assert factor_model in [ assert factor_model in [
self.FACTOR_MODEL_PCA, self.FACTOR_MODEL_PCA,