skfolio 0.3.0__py3-none-any.whl → 0.3.1__py3-none-any.whl

skfolio/moments/covariance/_implied_covariance.py

@@ -51,17 +51,20 @@ class ImpliedCovariance(BaseCovariance):
 
     with :math:`VRPA` the volatility risk premium adjustment.
 
-    The covariance estimator is then used to compute the correlation matrix.
     The final step is the reconstruction of the covariance matrix from the correlation
     and estimated realised volatilities :math:`D`:
 
     .. math:: \Sigma = D \ Corr \ D
 
+    With :math:`Corr`, the correlation matrix computed from the prior covariance
+    estimator. The default is the `EmpiricalCovariance`. It can be changed to any
+    covariance estimator using `prior_covariance_estimator`.
+
     Parameters
     ----------
-    covariance_estimator : BaseCovariance, optional
+    prior_covariance_estimator : BaseCovariance, optional
         :ref:`Covariance estimator <covariance_estimator>` to estimate the covariance
-        matrix used for the correlation estimates.
+        matrix used for the correlation estimates prior the volatilities update.
         The default (`None`) is to use :class:`~skfolio.moments.EmpiricalCovariance`.
 
     annualized_factor : float, default=252
@@ -118,6 +121,9 @@ class ImpliedCovariance(BaseCovariance):
     covariance_ : ndarray of shape (n_assets, n_assets)
         Estimated covariance matrix.
 
+    prior_covariance_estimator_ : BaseEstimator
+        Fitted prior covariance estimator.
+
     pred_realised_vols_ : ndarray of shape (n_assets,)
         The predicted realised volatilities
 
@@ -160,7 +166,7 @@ class ImpliedCovariance(BaseCovariance):
         Sara Vikberg & Julia Björkman (2020).
     """
 
-    covariance_estimator_: BaseCovariance
+    prior_covariance_estimator_: BaseCovariance
     pred_realised_vols_: np.ndarray
     linear_regressors_: list
     coefs_: np.ndarray
@@ -169,7 +175,7 @@ class ImpliedCovariance(BaseCovariance):
 
     def __init__(
         self,
-        covariance_estimator: BaseCovariance | None = None,
+        prior_covariance_estimator: BaseCovariance | None = None,
         annualized_factor: float = 252.0,
         window_size: int = 20,
         linear_regressor: skb.BaseEstimator | None = None,
@@ -183,7 +189,7 @@ class ImpliedCovariance(BaseCovariance):
             higham=higham,
             higham_max_iteration=higham_max_iteration,
         )
-        self.covariance_estimator = covariance_estimator
+        self.prior_covariance_estimator = prior_covariance_estimator
         self.annualized_factor = annualized_factor
         self.linear_regressor = linear_regressor
         self.window_size = window_size
@@ -195,7 +201,7 @@ class ImpliedCovariance(BaseCovariance):
             skm.MetadataRouter(owner=self.__class__.__name__)
             .add_self_request(self)
             .add(
-                covariance_estimator=self.covariance_estimator,
+                prior_covariance_estimator=self.prior_covariance_estimator,
                 method_mapping=skm.MethodMapping().add(caller="fit", callee="fit"),
             )
         )
@@ -237,15 +243,17 @@ class ImpliedCovariance(BaseCovariance):
 
         window_size = int(self.window_size)
         # fitting estimators
-        self.covariance_estimator_ = check_estimator(
-            self.covariance_estimator,
+        self.prior_covariance_estimator_ = check_estimator(
+            self.prior_covariance_estimator,
             default=EmpiricalCovariance(),
             check_type=BaseCovariance,
         )
         # noinspection PyArgumentList
-        self.covariance_estimator_.fit(X, y, **routed_params.covariance_estimator.fit)
+        self.prior_covariance_estimator_.fit(
+            X, y, **routed_params.prior_covariance_estimator.fit
+        )
 
-        corr, _ = cov_to_corr(self.covariance_estimator_.covariance_)
+        corr, _ = cov_to_corr(self.prior_covariance_estimator_.covariance_)
 
         assets_names = get_feature_names(X)
         if assets_names is not None:

{skfolio-0.3.0.dist-info → skfolio-0.3.1.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: skfolio
-Version: 0.3.0
+Version: 0.3.1
 Summary: Portfolio optimization built on top of scikit-learn
 Author-email: Hugo Delatte <delatte.hugo@gmail.com>
 Maintainer-email: Hugo Delatte <delatte.hugo@gmail.com>

{skfolio-0.3.0.dist-info → skfolio-0.3.1.dist-info}/RECORD

@@ -30,7 +30,7 @@ skfolio/moments/covariance/_empirical_covariance.py,sha256=_7T1x4p-vdATQvQzQjQBM
 skfolio/moments/covariance/_ew_covariance.py,sha256=jzLE4zSEfLCToNBTIG5CMy1n9EYWo1IHJPifcyLVe1g,3673
 skfolio/moments/covariance/_gerber_covariance.py,sha256=3wSwZtji2cEr2rzZ6pi2knmuOSzTFpyb_4XJl_S3Yj0,5856
 skfolio/moments/covariance/_graphical_lasso_cv.py,sha256=_6WQ1sjYJRG8XDq8zb5YIPtDhpb8CmLhLBlfewBvqjM,6539
-skfolio/moments/covariance/_implied_covariance.py,sha256=x0midsEr4RnJ63DMhv0zytoPCFqfGaV0WpxtnOeF75Y,17368
+skfolio/moments/covariance/_implied_covariance.py,sha256=6DiPWo7WVRA8EFvjYxBLBIrYaeRJWpr8yH5I64Sbbd0,17732
 skfolio/moments/covariance/_ledoit_wolf.py,sha256=iV92TpAopOAgQwa4zk7NF1rYdXkgm3uXn5ZZpbcMss0,4875
 skfolio/moments/covariance/_oas.py,sha256=ru8BNz7vQU75ARCuUbtJstmR2fy2fiD9OXLDlztUm5g,3684
 skfolio/moments/covariance/_shrunk_covariance.py,sha256=OOUahkiSdU3vFOb8i0iHtn8WU0AHl7o9pf8pFkG6Lv4,3095
@@ -84,8 +84,8 @@ skfolio/utils/equations.py,sha256=w0HsYjA7cS0mHYsI9MpixHLkof3HN26nc14ZfqFrHlE,11
 skfolio/utils/sorting.py,sha256=lSjMvH2L-sSj-06B3MlwBrH1rtjCeGEe4hG894W7TE0,3504
 skfolio/utils/stats.py,sha256=wuOmSt5panMMTw_pFYizLbmrclsE_4PHQfamkzJ5J2s,13937
 skfolio/utils/tools.py,sha256=ADMk7sXiiM97JqGuhzDqv0V33DIDk2dwX7X9337dYmo,20572
-skfolio-0.3.0.dist-info/LICENSE,sha256=F6Gi-ZJX5BlVzYK8R9NcvAkAsKa7KO29xB1OScbrH6Q,1526
-skfolio-0.3.0.dist-info/METADATA,sha256=ABlRGykFqSR2RLECAvF_uhCCrC98w7Clg2pg8dSeRgk,19617
-skfolio-0.3.0.dist-info/WHEEL,sha256=mguMlWGMX-VHnMpKOjjQidIo1ssRlCFu4a4mBpz1s2M,91
-skfolio-0.3.0.dist-info/top_level.txt,sha256=NXEaoS9Ms7t32gxkb867nV0OKlU0KmssL7IJBVo0fJs,8
-skfolio-0.3.0.dist-info/RECORD,,
+skfolio-0.3.1.dist-info/LICENSE,sha256=F6Gi-ZJX5BlVzYK8R9NcvAkAsKa7KO29xB1OScbrH6Q,1526
+skfolio-0.3.1.dist-info/METADATA,sha256=Ydlm1DNyhoJOeimNLgJ8txU48mloWILIK223vqhB4A4,19617
+skfolio-0.3.1.dist-info/WHEEL,sha256=y4mX-SOX4fYIkonsAGA5N0Oy-8_gI4FXw5HNI1xqvWg,91
+skfolio-0.3.1.dist-info/top_level.txt,sha256=NXEaoS9Ms7t32gxkb867nV0OKlU0KmssL7IJBVo0fJs,8
+skfolio-0.3.1.dist-info/RECORD,,

{skfolio-0.3.0.dist-info → skfolio-0.3.1.dist-info}/WHEEL

@@ -1,5 +1,5 @@
 Wheel-Version: 1.0
-Generator: setuptools (70.1.1)
+Generator: setuptools (70.2.0)
 Root-Is-Purelib: true
 Tag: py3-none-any