def get_factor_data(
self,
start_date: dt.date = None,
end_date: dt.date = None,
identifiers: List[str] = None,
include_performance_curve: bool = False,
category_filter: List[str] = None,
factor_type: FactorType = None,
format: ReturnFormat = ReturnFormat.DATA_FRAME
) -> Union[List[Dict], pd.DataFrame]:
""" Get factor data for existing risk model
:param start_date: start date for data request
:param end_date: end date for data request
:param identifiers: list of factor ids associated with risk model
:param include_performance_curve: request to include the performance curve of the factors
:param category_filter: filter the results to those having one of the specified categories. \
Default is to return all results
:param factor_type:
:param format: which format to return the results in
:return: risk model factor data
"""
factor_data = GsFactorRiskModelApi.get_risk_model_factor_data(
self.id, start_date, end_date, identifiers,
include_performance_curve)
if factor_type:
factor_data = [
factor for factor in factor_data
if factor['type'] == factor_type.value
]
if category_filter:
if factor_type == FactorType.Category:
print(
'Category Filter is not applicable for the Category FactorType'
)
else:
factor_data = [
factor for factor in factor_data
if factor['factorCategory'] in category_filter
]
if format == ReturnFormat.DATA_FRAME:
factor_data = pd.DataFrame(factor_data)
return factor_data
def get_factor_data(
self,
start_date: dt.date = None,
end_date: dt.date = None,
identifiers: List[str] = None,
include_performance_curve: bool = False,
format: ReturnFormat = ReturnFormat.DATA_FRAME
) -> Union[List[Dict], pd.DataFrame]:
""" Retrieve factor data for existing risk model
:param start_date: start date for data request
:param end_date: end date for data request
:param identifiers: list of factor ids associated with risk model
:param include_performance_curve: request to include the performance curve of the factors
:param format: which format to return the results in
:return: risk model factor data """
factor_data = GsFactorRiskModelApi.get_risk_model_factor_data(
self.id, start_date, end_date, identifiers,
include_performance_curve)
if format == ReturnFormat.DATA_FRAME:
factor_data = pd.DataFrame(factor_data)
return factor_data
