numeraire.core.evaluators.SquaredErrorDiffEvaluator

class numeraire.core.evaluators.SquaredErrorDiffEvaluator

Bases: object

Per-origin squared-error difference (benchmark minus model), one row per date.

value_t = sum_assets[(r-b)^2 - (r-f)^2] at origin t; its cumulative sum is the CDSPE curve (positive & rising ⇒ the model beats the prevailing mean over time). The time-series companion to the scalar OutOfSampleR2Evaluator.

__init__()

Methods

__init__()
evaluate(oos_output)

Attributes

requires