numeraire.core.protocols.SupportsForecast

class numeraire.core.protocols.SupportsForecast(*args, **kwargs)

Bases: Protocol

Capability protocol (v0): a model that emits a next-horizon return forecast.

The forecast-origin engine fits on a window ending at t and calls forecast on that same window; the returned value is the prediction of the return over (t, t+h], where t is the window’s last date. Advertised via capabilities() >= {TO_FORECAST}.

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
forecast(view)	Per-asset forecast of the return over (t, t+h] (t is the view's last date).

forecast(view: DataView) → Series

Per-asset forecast of the return over (t, t+h] (t is the view’s last date).