Factset

Factset Mpo API

The Mpo API from Factset — 1 operation(s) for mpo.

Documentation GitHub OpenAPI

Operations 1

POST /mpo/v1/optimizeFPO

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OpenAPI Specification

openapi: 3.2.0
info:
  title: Factset fpo_mp_input Mpo API
  description: ''
  version: '1'
tags:
- name: Mpo
paths:
  /mpo/v1/optimizeFPO:
    post:
      responses:
        '200':
          description: Multiperiod protobuf output
          content:
            application/x-protobuf:
              schema:
                $ref: '#/components/schemas/optimizer.outputs.MultiPeriodOutput'
      tags:
      - Mpo
      requestBody:
        content:
          application/x-protobuf:
            schema:
              $ref: '#/components/schemas/optimizer.inputs.MultiPeriodInput'
        description: Multiperiod protobuf input
components:
  schemas:
    optimizer.inputs.SimulatedRiskRequestInfo:
      type: object
      properties:
        url:
          type: string
          description: GET
        lima_header:
          type: string
      required: []
    optimizer.inputs.BuyListItem:
      type: object
      properties:
        univ_index:
          type: integer
          format: int32
        price:
          $ref: '#/components/schemas/optimizer.inputs.AssetPrice'
          description: if null, use total univ pricing
      required: []
    optimizer.inputs.MultiPeriodOptions:
      type: object
      properties:
        options:
          $ref: '#/components/schemas/optimizer.inputs.Options'
        weight_rebalance_periods:
          type: array
          items:
            type: integer
            format: int32
        total_periods_count:
          type: integer
          format: int32
        initial_point_randomization_count:
          type: integer
          format: int32
      required: []
    optimizer.inputs.MPTailRiskTerm:
      type: object
      properties:
        term:
          $ref: '#/components/schemas/optimizer.inputs.TailRiskTerm'
        term_on:
          $ref: '#/components/schemas/optimizer.inputs.BoundSource.Enum'
        on_periods:
          $ref: '#/components/schemas/optimizer.inputs.OnPeriods'
        across_periods:
          $ref: '#/components/schemas/optimizer.inputs.AcrossPeriods'
      required: []
    optimizer.inputs.NumberOfSellsConstraint:
      type: object
      properties:
        name:
          type: string
        max:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        groups:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.ConstraintGroup'
        level:
          $ref: '#/components/schemas/optimizer.inputs.EConstraintLevel.Enum'
        hierarchy:
          type: integer
          format: int32
      required: []
      description: '11'
    optimizer.inputs.MultiPeriodRiskModels:
      type: object
      properties:
        risk_models:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.RiskModelForPeriods'
      required: []
    optimizer.inputs.MPTargetProbabilityConstraint:
      type: object
      properties:
        constraint:
          $ref: '#/components/schemas/optimizer.inputs.TargetProbabilityConstraint'
        constraint_on:
          $ref: '#/components/schemas/optimizer.inputs.BoundSource.Enum'
        on_periods:
          $ref: '#/components/schemas/optimizer.inputs.OnPeriods'
        across_periods:
          $ref: '#/components/schemas/optimizer.inputs.AcrossPeriods'
      required: []
    optimizer.inputs.MultiPeriodConstraints:
      type: object
      properties:
        expected_returns:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPExpectedReturnConstraint'
        diversification:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPDiversificationConstraint'
        factor_exposures:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPFactorExposureConstraint'
        general_linear:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPGeneralLinearConstraint'
        holding_threshold:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPHoldingsThresholdConstraint'
        leverage:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPLeverageConstraint'
        num_of_assets:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPNumberofAssetsConstraint'
        sensitivity:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPSensitivityConstraint'
        weight_constraint:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPHoldingsWeightConstraint'
        number_of_buys:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPNumberOfBuysConstraint'
        number_of_sells:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPNumberOfSellsConstraint'
        round_lots:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPRoundlotsConstraint'
        trade_threshold:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPTradeThresholdConstraint'
        trading_turnover:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPTurnoverConstraint'
        risk_contribution:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPRiskContributionConstraint'
        risk_volatility:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPRiskVolatilityConstraint'
        tail_risk:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPLimitTailRiskConstraint'
          description: MultiPeriod-Specific
        target_probability:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPTargetProbabilityConstraint'
      required: []
    optimizer.inputs.Asset:
      type: object
      properties:
        symbol:
          type: string
        price:
          type: number
          format: double
      required: []
    optimizer.inputs.RiskContributionConstraint:
      type: object
      properties:
        name:
          type: string
        max_percent:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        custom_asset:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        groups:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.ConstraintGroup'
        level:
          $ref: '#/components/schemas/optimizer.inputs.EConstraintLevel.Enum'
        asset_type:
          $ref: '#/components/schemas/optimizer.inputs.EFPOConstraintAssetType.Enum'
        risk_type:
          $ref: '#/components/schemas/optimizer.inputs.EConstraintRiskType.Enum'
        hierarchy:
          type: integer
          format: int32
      required: []
      description: '17'
    optimizer.inputs.SparseMatrix:
      type: object
      properties:
        rows:
          type: integer
          format: int32
        columns:
          type: integer
          format: int32
        indexPointer:
          type: array
          items:
            type: integer
            format: int32
        indices:
          type: array
          items:
            type: integer
            format: int32
        value:
          type: array
          items:
            type: number
            format: double
      required: []
      description: Represents a sparse matrix in the CSR format
    optimizer.inputs.HoldingsThresholdConstraint:
      type: object
      properties:
        name:
          type: string
        custom_asset:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        min:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        groups:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.ConstraintGroup'
        asset_type:
          $ref: '#/components/schemas/optimizer.inputs.EFPOConstraintAssetType.Enum'
        level:
          $ref: '#/components/schemas/optimizer.inputs.EConstraintLevel.Enum'
          description: Scope can be asset
        unit:
          $ref: '#/components/schemas/optimizer.inputs.EConstraintUnitType.Enum'
        hierarchy:
          type: integer
          format: int32
      required: []
      description: '5'
    optimizer.inputs.Security:
      type: object
      properties:
        ids:
          type: array
          items:
            type: string
      required: []
      description: Labels relevant to calculation-levels with 'Security' in the name
    optimizer.inputs.EAggregationMethod.Enum:
      type: number
      enum:
      - 0
      - 1
      description: "0 - eWeights \n1 - eQuantity "
    optimizer.inputs.RollingMethod.Enum:
      type: number
      enum:
      - 0
      - 1
      - 2
      - 3
      description: "0 - eValuePerPath \n1 - eAllValues \n2 - eMinPerStep \n3 - eMaxPerStep "
    VAR.DistributionStatus:
      type: object
      properties:
        indicator:
          $ref: '#/components/schemas/VAR.StatusIndicator'
        message:
          type: string
      required: []
    optimizer.inputs.MPRiskVolatilityConstraint:
      type: object
      properties:
        constraint:
          $ref: '#/components/schemas/optimizer.inputs.RiskVolatilityConstraint'
        constraint_on:
          $ref: '#/components/schemas/optimizer.inputs.BoundSource.Enum'
        on_periods:
          $ref: '#/components/schemas/optimizer.inputs.OnPeriods'
        across_periods:
          $ref: '#/components/schemas/optimizer.inputs.AcrossPeriods'
      required: []
    optimizer.inputs.MPRoundlotsConstraint:
      type: object
      properties:
        constraint:
          $ref: '#/components/schemas/optimizer.inputs.RoundlotsConstraint'
        on_periods:
          $ref: '#/components/schemas/optimizer.inputs.OnPeriods'
      required: []
    VAR.StatusIndicator:
      type: number
      enum:
      - 0
      - 1
      description: "0 - eSuccess \n1 - eFailure "
    optimizer.inputs.HoldingsWeightConstraint:
      type: object
      properties:
        name:
          type: string
        custom_asset:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        min:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        max:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        penalty:
          $ref: '#/components/schemas/optimizer.inputs.Penalty'
        groups:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.ConstraintGroup'
        unit:
          $ref: '#/components/schemas/optimizer.inputs.EConstraintUnitType.Enum'
        weight_type:
          $ref: '#/components/schemas/optimizer.inputs.EFPOConstraintWeightType.Enum'
        level:
          $ref: '#/components/schemas/optimizer.inputs.EConstraintLevel.Enum'
        asset_type:
          $ref: '#/components/schemas/optimizer.inputs.EFPOConstraintAssetType.Enum'
        rel_to_benchmark:
          type: boolean
        benchmark_index:
          type: integer
          format: int32
        hierarchy:
          type: integer
          format: int32
        apply_only_to_direct:
          type: boolean
      required: []
      description: '9'
    optimizer.inputs.MPHoldingsWeightConstraint:
      type: object
      properties:
        constraint:
          $ref: '#/components/schemas/optimizer.inputs.HoldingsWeightConstraint'
        on_periods:
          $ref: '#/components/schemas/optimizer.inputs.OnPeriods'
      required: []
    optimizer.inputs.MPVolatilityTerm:
      type: object
      properties:
        term:
          $ref: '#/components/schemas/optimizer.inputs.VolatilityTerm'
        term_on:
          $ref: '#/components/schemas/optimizer.inputs.BoundSource.Enum'
        on_periods:
          $ref: '#/components/schemas/optimizer.inputs.OnPeriods'
        across_periods:
          $ref: '#/components/schemas/optimizer.inputs.AcrossPeriods'
      required: []
    optimizer.inputs.Options:
      type: object
      properties:
        maxRunTime:
          type: integer
          format: int32
        ConvergenceTolerance:
          type: number
          format: double
        cash_flow_formula:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        convert_weights_to_cash_for_ip:
          type: boolean
        convert_weights_to_cash_for_bmk:
          type: boolean
        composite_asset_lookthrough_level:
          type: integer
          format: int32
      required: []
    optimizer.inputs.CompositeConstituent:
      type: object
      properties:
        univ_index:
          type: integer
          format: int32
        weight:
          type: number
          format: double
        price:
          $ref: '#/components/schemas/optimizer.inputs.AssetPrice'
      required: []
    optimizer.inputs.TurnoverConstraint:
      type: object
      properties:
        name:
          type: string
        max:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        custom_asset:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        penalty:
          $ref: '#/components/schemas/optimizer.inputs.Penalty'
        groups:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.ConstraintGroup'
        level:
          $ref: '#/components/schemas/optimizer.inputs.EConstraintLevel.Enum'
        value_type:
          $ref: '#/components/schemas/optimizer.inputs.EConstraintValueType.Enum'
        asset_type:
          $ref: '#/components/schemas/optimizer.inputs.EFPOConstraintAssetType.Enum'
        turnover_type:
          $ref: '#/components/schemas/optimizer.inputs.EConstraintTurnoverType.Enum'
        hierarchy:
          type: integer
          format: int32
      required: []
      description: '15'
    optimizer.outputs.MultiPeriodOutput:
      type: object
      properties:
        periods:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.outputs.Periods'
        raw_stats:
          type: string
          description: temporary
      required: []
    optimizer.inputs.LimitTailRiskConstraint:
      type: object
      properties:
        name:
          type: string
        risk_measure:
          $ref: '#/components/schemas/optimizer.inputs.TailRiskMeasure.Enum'
        max_risk:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        confidence_level:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        penalty:
          $ref: '#/components/schemas/optimizer.inputs.Penalty'
        active_risk:
          type: boolean
        benchmark_index:
          type: integer
          format: int32
        hierarchy:
          type: integer
          format: int32
      required: []
    optimizer.inputs.AssetPrice.EPriceSource:
      type: number
      enum:
      - 0
      - 1
      description: "0 - eTotalUniverse \n1 - eOverride "
    optimizer.inputs.DiversificationConstraint:
      type: object
      properties:
        name:
          type: string
        asset_value:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        max_percent:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        penalty:
          $ref: '#/components/schemas/optimizer.inputs.Penalty'
        groups:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.ConstraintGroup'
        unit:
          $ref: '#/components/schemas/optimizer.inputs.EConstraintUnitType.Enum'
        level:
          $ref: '#/components/schemas/optimizer.inputs.EConstraintLevel.Enum'
        hierarchy:
          type: integer
          format: int32
      required: []
      description: '2'
    optimizer.inputs.ExpectedReturn:
      type: object
      properties:
        alpha:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        alpha_unit:
          $ref: '#/components/schemas/optimizer.inputs.EAlphaUnitType.Enum'
      required: []
    optimizer.inputs.QuantRiskRequestInfo:
      type: object
      properties:
        service_url:
          type: string
          description: POST
        json_post_body:
          type: string
        lima_header:
          type: string
        pickup_base_url:
          type: string
      required: []
    optimizer.inputs.ValueReference:
      type: object
      properties:
        asset_values:
          type: number
          format: double
      required: []
      description: 'Contains the results of an asset-level formula from FPO,

        mapping the TotalUniverse asset index to resulting value.

        The list of ValueReferences in the LookupTables should

        provide results for ALL formulae referenced throughout

        the FPO strategy. When the optimizer encounters a "reference"

        value in the strategy, it will come here to resolve the

        value for each asset within the scope of that reference.'
    optimizer.inputs.LookupTables:
      type: object
      properties:
        groups:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.GroupDefinition'
          description: tables to be referenced by index from the strategy.
        values:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.ValueReference'
      required: []
    optimizer.inputs.EObjectiveTermDirection.Enum:
      type: number
      enum:
      - 0
      - 1
      description: "0 - eMinimize \n1 - eMaximize "
    optimizer.inputs.EFPOConstraintAssetType.Enum:
      type: number
      enum:
      - 0
      - 1
      - 2
      description: "0 - eAll \n1 - eCustom \n2 - eBuyList "
    optimizer.inputs.MPRiskContributionConstraint:
      type: object
      properties:
        constraint:
          $ref: '#/components/schemas/optimizer.inputs.RiskContributionConstraint'
        on_periods:
          $ref: '#/components/schemas/optimizer.inputs.OnPeriods'
      required: []
    optimizer.inputs.MPLimitTailRiskConstraint:
      type: object
      properties:
        constraint:
          $ref: '#/components/schemas/optimizer.inputs.LimitTailRiskConstraint'
        constraint_on:
          $ref: '#/components/schemas/optimizer.inputs.BoundSource.Enum'
        on_periods:
          $ref: '#/components/schemas/optimizer.inputs.OnPeriods'
        across_periods:
          $ref: '#/components/schemas/optimizer.inputs.AcrossPeriods'
      required: []
    optimizer.inputs.EWeightingMethodType.Enum:
      type: number
      enum:
      - 0
      - 1
      description: "0 - eWeights \n1 - eShares "
    optimizer.inputs.MultiPeriodInput:
      type: object
      properties:
        strategy:
          $ref: '#/components/schemas/optimizer.inputs.MultiPeriodStrategy'
        universe:
          $ref: '#/components/schemas/optimizer.inputs.TotalUniverse'
        portfolios:
          $ref: '#/components/schemas/optimizer.inputs.Portfolios'
        riskmodels:
          $ref: '#/components/schemas/optimizer.inputs.MultiPeriodRiskModels'
        lookup_tables:
          $ref: '#/components/schemas/optimizer.inputs.LookupTables'
        output_statistics:
          type: boolean
      required: []
    optimizer.inputs.MultiPeriodObjective:
      type: object
      properties:
        factor_exposure:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPFactorExposureTerm'
        volatility:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPVolatilityTerm'
        general_linear:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPGeneralLinearTerm'
        expected_return:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPExpectedReturnTerm'
        sensitivity:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPSensitivityTerm'
        objective_ratio:
          $ref: '#/components/schemas/optimizer.inputs.MPObjectiveRatioTerm'
        tail_risk:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPTailRiskTerm'
          description: MultiPeriod-Specific
        target_probability:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.MPTargetProbabilityTerm'
      required: []
    optimizer.inputs.RawRiskModel:
      type: object
      properties:
        simulations:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.RawRiskModel.Simulations'
      required: []
    optimizer.inputs.EValueType.Enum:
      type: number
      enum:
      - 0
      - 1
      - 2
      - 3
      description: "0 - eNA \n1 - eRaw \n2 - eReference \n3 - eExpandRaw "
    optimizer.inputs.MPHoldingsThresholdConstraint:
      type: object
      properties:
        constraint:
          $ref: '#/components/schemas/optimizer.inputs.HoldingsThresholdConstraint'
        on_periods:
          $ref: '#/components/schemas/optimizer.inputs.OnPeriods'
      required: []
    VAR.DistributionDataMessage:
      type: object
      properties:
        description:
          $ref: '#/components/schemas/VAR.DistributionDescription'
        securitySimulations:
          type: array
          items:
            $ref: '#/components/schemas/VAR.SimulatedReturns'
        status:
          $ref: '#/components/schemas/VAR.DistributionStatus'
      required: []
    optimizer.inputs.MPNumberofAssetsConstraint:
      type: object
      properties:
        constraint:
          $ref: '#/components/schemas/optimizer.inputs.NumberofAssetsConstraint'
        on_periods:
          $ref: '#/components/schemas/optimizer.inputs.OnPeriods'
      required: []
    optimizer.inputs.MultiPeriodStrategy:
      type: object
      properties:
        objective:
          $ref: '#/components/schemas/optimizer.inputs.MultiPeriodObjective'
        constraints:
          $ref: '#/components/schemas/optimizer.inputs.MultiPeriodConstraints'
        transaction_cost:
          $ref: '#/components/schemas/optimizer.inputs.TransactionCost'
        options:
          $ref: '#/components/schemas/optimizer.inputs.MultiPeriodOptions'
        expected_return:
          $ref: '#/components/schemas/optimizer.inputs.ExpectedReturn'
      required: []
    optimizer.inputs.TailRiskMeasure.Enum:
      type: number
      enum:
      - 0
      - 1
      description: "0 - ETL \n1 - VaR "
    optimizer.inputs.TransactionCost:
      type: object
      properties:
        unit_type:
          $ref: '#/components/schemas/optimizer.inputs.ETransactionCostUnitType.Enum'
        buy_cost:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        sell_cost:
          $ref: '#/components/schemas/optimizer.inputs.Value'
      required: []
    optimizer.inputs.AcrossPeriods:
      type: object
      properties:
        start_period:
          type: integer
          format: int32
        end_period:
          type: integer
          format: int32
        rolling:
          $ref: '#/components/schemas/optimizer.inputs.AcrossPeriods.RollingPeriods'
      required: []
    optimizer.inputs.GeneralLinearTerm:
      type: object
      properties:
        name:
          type: string
        multiplier:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        attribute:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        direction:
          $ref: '#/components/schemas/optimizer.inputs.EObjectiveTermDirection.Enum'
        method:
          $ref: '#/components/schemas/optimizer.inputs.EAggregationMethod.Enum'
        rel_to_benchmark:
          type: boolean
        benchmark_index:
          type: integer
          format: int32
      required: []
    optimizer.inputs.LeverageConstraint:
      type: object
      properties:
        name:
          type: string
        value:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        value_type:
          $ref: '#/components/schemas/optimizer.inputs.ELeverageValueType.Enum'
        hierarchy:
          type: integer
          format: int32
        groups:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.ConstraintGroup'
        level:
          $ref: '#/components/schemas/optimizer.inputs.EConstraintLevel.Enum'
      required: []
      description: '6'
    optimizer.inputs.MPGeneralLinearConstraint:
      type: object
      properties:
        constraint:
          $ref: '#/components/schemas/optimizer.inputs.GeneralLinearConstraint'
        on_periods:
          $ref: '#/components/schemas/optimizer.inputs.OnPeriods'
        across_periods:
          $ref: '#/components/schemas/optimizer.inputs.AcrossPeriods'
      required: []
    optimizer.inputs.OnPeriods:
      type: object
      properties:
        periods:
          type: array
          items:
            type: integer
            format: int32
      required: []
    optimizer.inputs.MPDiversificationConstraint:
      type: object
      properties:
        constraint:
          $ref: '#/components/schemas/optimizer.inputs.DiversificationConstraint'
        on_periods:
          $ref: '#/components/schemas/optimizer.inputs.OnPeriods'
      required: []
    optimizer.inputs.NumberOfBuysConstraint:
      type: object
      properties:
        name:
          type: string
        max:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        groups:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.ConstraintGroup'
        level:
          $ref: '#/components/schemas/optimizer.inputs.EConstraintLevel.Enum'
        hierarchy:
          type: integer
          format: int32
      required: []
      description: '10'
    optimizer.inputs.RiskModel:
      type: object
      properties:
        simulated_risk_model:
          $ref: '#/components/schemas/optimizer.inputs.SimulatedRiskModel'
        quant_risk_model:
          $ref: '#/components/schemas/optimizer.inputs.QuantRiskModel'
        raw_model:
          $ref: '#/components/schemas/optimizer.inputs.RawRiskModel'
      required: []
    optimizer.inputs.QuantRiskModel:
      type: object
      properties:
        raw_data:
          $ref: '#/components/schemas/optimizer.inputs.QuantRiskModelRawData'
        request_info:
          $ref: '#/components/schemas/optimizer.inputs.QuantRiskRequestInfo'
      required: []
    optimizer.inputs.Portfolios:
      type: object
      properties:
        initial:
          $ref: '#/components/schemas/optimizer.inputs.Portfolio'
        benchmarks:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.Portfolio'
          description: index 0 is always the "Primary Benchmark"
        buylist:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.BuyListItem'
        cash_univ_index:
          type: integer
          format: int32
      required: []
    optimizer.inputs.EConstraintTurnoverType.Enum:
      type: number
      enum:
      - 0
      - 1
      - 2
      description: "0 - eTotal \n1 - eBuy \n2 - eSell "
    optimizer.inputs.MPGeneralLinearTerm:
      type: object
      properties:
        term:
          $ref: '#/components/schemas/optimizer.inputs.GeneralLinearTerm'
        on_periods:
          $ref: '#/components/schemas/optimizer.inputs.OnPeriods'
        across_periods:
          $ref: '#/components/schemas/optimizer.inputs.AcrossPeriods'
      required: []
    optimizer.inputs.EConstraintPenaltyType.Enum:
      type: number
      enum:
      - 0
      - 1
      - 2
      description: "0 - eLinear \n1 - eQuadratic \n2 - eScaledQuadratic "
    optimizer.inputs.TotalUniverse:
      type: object
      properties:
        assets:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.Asset'
        composite_assets:
          $ref: '#/components/schemas/optimizer.inputs.CompositeAsset'
        derivatives:
          $ref: '#/components/schemas/optimizer.inputs.Derivative'
      required: []
    optimizer.inputs.RiskVolatilityConstraint:
      type: object
      properties:
        name:
          type: string
        max_value_of_risk:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        level:
          $ref: '#/components/schemas/optimizer.inputs.EConstraintLevel.Enum'
        penalty:
          $ref: '#/components/schemas/optimizer.inputs.Penalty'
        groups:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.ConstraintGroup'
        risk_type:
          $ref: '#/components/schemas/optimizer.inputs.EConstraintRiskType.Enum'
        active_risk:
          type: boolean
        benchmark_index:
          type: integer
          format: int32
        hierarchy:
          type: integer
          format: int32
      required: []
      description: '18'
    optimizer.inputs.MPFactorExposureConstraint:
      type: object
      properties:
        constraint:
          $ref: '#/components/schemas/optimizer.inputs.FactorExposureConstraint'
        on_periods:
          $ref: '#/components/schemas/optimizer.inputs.OnPeriods'
        across_periods:
          $ref: '#/components/schemas/optimizer.inputs.AcrossPeriods'
      required: []
    optimizer.inputs.TailRiskTerm:
      type: object
      properties:
        name:
          type: string
        multiplier:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        direction:
          $ref: '#/components/schemas/optimizer.inputs.EObjectiveTermDirection.Enum'
        risk_measure:
          $ref: '#/components/schemas/optimizer.inputs.TailRiskMeasure.Enum'
        confidence_level:
          type: number
          format: double
        use_centered_etl:
          type: boolean
        active_risk:
          type: boolean
        benchmark_index:
          type: integer
          format: int32
      required: []
    optimizer.inputs.VolatilityTerm:
      type: object
      properties:
        name:
          type: string
        multiplier:
          $ref: '#/components/schemas/optimizer.inputs.Value'
        direction:
          $ref: '#/components/schemas/optimizer.inputs.EObjectiveTermDirection.Enum'
        risk_type:
          $ref: '#/components/schemas/optimizer.inputs.EObjectiveRiskType.Enum'
          description: 'TODO:  RiskModel'
        factors:
          type: array
          items:
            type: string
        active_risk:
          type: boolean
        benchmark_index:
          type: integer
          format: int32
      required: []
    optimizer.inputs.DenseMatrix:
      type: object
      properties:
        value:
          type: array
          items:
            $ref: '#/components/schemas/google.protobuf.ListValue'
          description: 2D array of doubles
      required: []
      description: Represents a dense matrix
    optimizer.inputs.BoundSource.Enum:
      type: number
      enum:
      - 0
      - 1
      - 2
      - 3
      - 4
      - 5
      description: "0 - ePortfolioReturn \n1 - ePortfolioValue \n2 - eFundingRatio \n3 - eSurplusReturn \n4 - eDrawdownPercent \n5 - eDrawdownValue "
    optimizer.inputs.Derivative.Future.EComputationMethod.Enum:
      type: number
      enum:
      - 0
      - 1
      - 2
      description: "0 - eCost \n1 - eTotalCost \n2 - eMarkToMarket "
    optimizer.inputs.RiskModelForPeriods:
      type: object
      properties:
        risk_model:
          $ref: '#/components/schemas/optimizer.inputs.RiskModel'
        periods:
          $ref: '#/components/schemas/optimizer.inputs.OnPeriods'
      required: []
      description: Must have *one* model for each period
    optimizer.inputs.EObjectiveRiskType.Enum:
      type: number
      enum:
      - 0
      - 1
      - 2
      description: "0 - eETL \n1 - eStandardDeviation \n2 - eVariance "
    optimizer.inputs.ETransactionCostUnitType.Enum:
      type: number
      enum:
      - 0
      - 1
      description: "0 - ePercent \n1 - eCostPerShare "
    optimizer.inputs.CompositeAsset:
      type: object
      properties:
        constituents:
          type: array
          items:
            $ref: '#/components/schemas/optimizer.inputs.CompositeConstituent'
      required: []
  

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Factset Mpo API

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