Factset Mpo API

openapi: 3.0.3
info:
  title: Factset Analytics Datastore About Mpo API
  description: Allow clients to fetch precalculated Analytics through predeterministic URLs.
  contact:
    name: FactSet Research Systems
    url: https://developer.factset.com/contact
    email: api@factset.com
  license:
    name: Apache License, Version 2.0
    url: https://www.apache.org/licenses/LICENSE-2.0
  version: 1.0.0
servers:
- url: https://api.factset.com
  description: Production
- url: https://api-sandbox.factset.com
  description: Sandbox
security:
- basicAuth: []
tags:
- name: Mpo
paths:
  /mpo/v1/optimizeFPO:
    post:
      consumes:
      - application/x-protobuf
      produces:
      - application/x-protobuf
      parameters:
      - in: body
        name: MultiPeriodInput
        description: Multiperiod protobuf input
        schema:
          $ref: '#/definitions/optimizer.inputs.MultiPeriodInput'
      responses:
        '200':
          description: Multiperiod protobuf output
          schema:
            $ref: '#/definitions/optimizer.outputs.MultiPeriodOutput'
      tags:
      - Mpo
components:
  securitySchemes:
    basicAuth:
      type: http
      scheme: basic
definitions:
  optimizer.inputs.Asset:
    type: object
    properties:
      symbol:
        type: string
      price:
        type: number
        format: double
    required: []
  optimizer.inputs.FactorExposureTerm:
    type: object
    properties:
      name:
        type: string
      multiplier:
        $ref: '#/definitions/optimizer.inputs.Value'
      factors:
        type: array
        items:
          type: string
      direction:
        $ref: '#/definitions/optimizer.inputs.EObjectiveTermDirection.Enum'
      rel_to_benchmark:
        type: boolean
      benchmark_index:
        type: integer
        format: int32
    required: []
  optimizer.inputs.MPLimitTailRiskConstraint:
    type: object
    properties:
      constraint:
        $ref: '#/definitions/optimizer.inputs.LimitTailRiskConstraint'
      constraint_on:
        $ref: '#/definitions/optimizer.inputs.BoundSource.Enum'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
      across_periods:
        $ref: '#/definitions/optimizer.inputs.AcrossPeriods'
    required: []
  optimizer.inputs.MPRoundlotsConstraint:
    type: object
    properties:
      constraint:
        $ref: '#/definitions/optimizer.inputs.RoundlotsConstraint'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
    required: []
  optimizer.inputs.MPTradeThresholdConstraint:
    type: object
    properties:
      constraint:
        $ref: '#/definitions/optimizer.inputs.TradeThresholdConstraint'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
    required: []
  optimizer.inputs.MultiPeriodConstraints:
    type: object
    properties:
      expected_returns:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPExpectedReturnConstraint'
      diversification:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPDiversificationConstraint'
      factor_exposures:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPFactorExposureConstraint'
      general_linear:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPGeneralLinearConstraint'
      holding_threshold:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPHoldingsThresholdConstraint'
      leverage:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPLeverageConstraint'
      num_of_assets:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPNumberofAssetsConstraint'
      sensitivity:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPSensitivityConstraint'
      weight_constraint:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPHoldingsWeightConstraint'
      number_of_buys:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPNumberOfBuysConstraint'
      number_of_sells:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPNumberOfSellsConstraint'
      round_lots:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPRoundlotsConstraint'
      trade_threshold:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPTradeThresholdConstraint'
      trading_turnover:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPTurnoverConstraint'
      risk_contribution:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPRiskContributionConstraint'
      risk_volatility:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPRiskVolatilityConstraint'
      tail_risk:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPLimitTailRiskConstraint'
        description: MultiPeriod-Specific
      target_probability:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.MPTargetProbabilityConstraint'
    required: []
  optimizer.inputs.TurnoverConstraint:
    type: object
    properties:
      name:
        type: string
      max:
        $ref: '#/definitions/optimizer.inputs.Value'
      custom_asset:
        $ref: '#/definitions/optimizer.inputs.Value'
      penalty:
        $ref: '#/definitions/optimizer.inputs.Penalty'
      groups:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.ConstraintGroup'
      level:
        $ref: '#/definitions/optimizer.inputs.EConstraintLevel.Enum'
      value_type:
        $ref: '#/definitions/optimizer.inputs.EConstraintValueType.Enum'
      asset_type:
        $ref: '#/definitions/optimizer.inputs.EFPOConstraintAssetType.Enum'
      turnover_type:
        $ref: '#/definitions/optimizer.inputs.EConstraintTurnoverType.Enum'
      hierarchy:
        type: integer
        format: int32
    required: []
    description: '15'
  optimizer.inputs.EObjectiveRiskType.Enum:
    type: number
    enum:
    - 0
    - 1
    - 2
    description: "0 - eETL \n1 - eStandardDeviation \n2 - eVariance "
  optimizer.inputs.EObjectiveTermDirection.Enum:
    type: number
    enum:
    - 0
    - 1
    description: "0 - eMinimize \n1 - eMaximize "
  optimizer.inputs.MultiPeriodOptions:
    type: object
    properties:
      options:
        $ref: '#/definitions/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.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.MPSensitivityTerm:
    type: object
    properties:
      term:
        $ref: '#/definitions/optimizer.inputs.SensitivityTerm'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
      across_periods:
        $ref: '#/definitions/optimizer.inputs.AcrossPeriods'
    required: []
  optimizer.inputs.LeverageConstraint:
    type: object
    properties:
      name:
        type: string
      value:
        $ref: '#/definitions/optimizer.inputs.Value'
      value_type:
        $ref: '#/definitions/optimizer.inputs.ELeverageValueType.Enum'
      hierarchy:
        type: integer
        format: int32
      groups:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.ConstraintGroup'
      level:
        $ref: '#/definitions/optimizer.inputs.EConstraintLevel.Enum'
    required: []
    description: '6'
  optimizer.inputs.ExpectedReturn:
    type: object
    properties:
      alpha:
        $ref: '#/definitions/optimizer.inputs.Value'
      alpha_unit:
        $ref: '#/definitions/optimizer.inputs.EAlphaUnitType.Enum'
    required: []
  optimizer.inputs.MPGeneralLinearConstraint:
    type: object
    properties:
      constraint:
        $ref: '#/definitions/optimizer.inputs.GeneralLinearConstraint'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
      across_periods:
        $ref: '#/definitions/optimizer.inputs.AcrossPeriods'
    required: []
  optimizer.inputs.FactorExposureAttributes:
    type: object
    properties:
      min:
        $ref: '#/definitions/optimizer.inputs.Value'
      max:
        $ref: '#/definitions/optimizer.inputs.Value'
    required: []
  optimizer.inputs.GroupDefinition:
    type: object
    properties:
      univ_indices:
        type: array
        items:
          type: integer
          format: int32
    required: []
    description: 'Contains the subset of assets associated with a

      constraint group. (excluding Factor groups, as the

      optimizer will be respondible for fetching the risk

      model and expanding factor groups.'
  optimizer.inputs.Labels:
    type: object
    properties:
      factor:
        $ref: '#/definitions/optimizer.inputs.Factor'
      security:
        $ref: '#/definitions/optimizer.inputs.Security'
    required: []
    description: Labeling and index information to be able to reconstruct the calculated data results to the provided inputs from the request.
  optimizer.inputs.QuantRiskModel:
    type: object
    properties:
      raw_data:
        $ref: '#/definitions/optimizer.inputs.QuantRiskModelRawData'
      request_info:
        $ref: '#/definitions/optimizer.inputs.QuantRiskRequestInfo'
    required: []
  optimizer.inputs.ETransactionCostUnitType.Enum:
    type: number
    enum:
    - 0
    - 1
    description: "0 - ePercent \n1 - eCostPerShare "
  optimizer.inputs.MPVolatilityTerm:
    type: object
    properties:
      term:
        $ref: '#/definitions/optimizer.inputs.VolatilityTerm'
      term_on:
        $ref: '#/definitions/optimizer.inputs.BoundSource.Enum'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
      across_periods:
        $ref: '#/definitions/optimizer.inputs.AcrossPeriods'
    required: []
  optimizer.inputs.MPExpectedReturnConstraint:
    type: object
    properties:
      constraint:
        $ref: '#/definitions/optimizer.inputs.ExpectedReturnConstraint'
      constraint_on:
        $ref: '#/definitions/optimizer.inputs.BoundSource.Enum'
      annualization_factor:
        type: number
        format: double
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
      across_periods:
        $ref: '#/definitions/optimizer.inputs.AcrossPeriods'
    required: []
  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: '#/definitions/optimizer.inputs.RiskContributionConstraint'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
    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.ExpectedReturnConstraint:
    type: object
    properties:
      name:
        type: string
      min:
        $ref: '#/definitions/optimizer.inputs.Value'
      max:
        $ref: '#/definitions/optimizer.inputs.Value'
      return_value:
        $ref: '#/definitions/optimizer.inputs.Value'
      use_strategy_return_value:
        type: boolean
      penalty:
        $ref: '#/definitions/optimizer.inputs.Penalty'
      groups:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.ConstraintGroup'
      level:
        $ref: '#/definitions/optimizer.inputs.EConstraintLevel.Enum'
      return_type:
        $ref: '#/definitions/optimizer.inputs.EConstraintReturnType.Enum'
      rel_to_benchmark:
        type: boolean
      benchmark_index:
        type: integer
        format: int32
      hierarchy:
        type: integer
        format: int32
    required: []
    description: '1'
  VAR.StatusIndicator:
    type: number
    enum:
    - 0
    - 1
    description: "0 - eSuccess \n1 - eFailure "
  optimizer.inputs.AcrossPeriods.RollingPeriods:
    type: object
    properties:
      frequency:
        type: integer
        format: int32
      method:
        $ref: '#/definitions/optimizer.inputs.RollingMethod.Enum'
    required: []
  optimizer.inputs.TailRiskTerm:
    type: object
    properties:
      name:
        type: string
      multiplier:
        $ref: '#/definitions/optimizer.inputs.Value'
      direction:
        $ref: '#/definitions/optimizer.inputs.EObjectiveTermDirection.Enum'
      risk_measure:
        $ref: '#/definitions/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.AssetPrice.EPriceSource:
    type: number
    enum:
    - 0
    - 1
    description: "0 - eTotalUniverse \n1 - eOverride "
  optimizer.inputs.DiversificationRatioTerm:
    type: object
    properties:
      name:
        type: string
      multiplier:
        $ref: '#/definitions/optimizer.inputs.Value'
      direction:
        $ref: '#/definitions/optimizer.inputs.EObjectiveTermDirection.Enum'
    required: []
  optimizer.inputs.Portfolios:
    type: object
    properties:
      initial:
        $ref: '#/definitions/optimizer.inputs.Portfolio'
      benchmarks:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.Portfolio'
        description: index 0 is always the "Primary Benchmark"
      buylist:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.BuyListItem'
      cash_univ_index:
        type: integer
        format: int32
    required: []
  optimizer.inputs.MPGeneralLinearTerm:
    type: object
    properties:
      term:
        $ref: '#/definitions/optimizer.inputs.GeneralLinearTerm'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
      across_periods:
        $ref: '#/definitions/optimizer.inputs.AcrossPeriods'
    required: []
  optimizer.inputs.MPDiversificationConstraint:
    type: object
    properties:
      constraint:
        $ref: '#/definitions/optimizer.inputs.DiversificationConstraint'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
    required: []
  optimizer.inputs.MPLeverageConstraint:
    type: object
    properties:
      constraint:
        $ref: '#/definitions/optimizer.inputs.LeverageConstraint'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
    required: []
  optimizer.inputs.VolatilityTerm:
    type: object
    properties:
      name:
        type: string
      multiplier:
        $ref: '#/definitions/optimizer.inputs.Value'
      direction:
        $ref: '#/definitions/optimizer.inputs.EObjectiveTermDirection.Enum'
      risk_type:
        $ref: '#/definitions/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.RiskModel:
    type: object
    properties:
      simulated_risk_model:
        $ref: '#/definitions/optimizer.inputs.SimulatedRiskModel'
      quant_risk_model:
        $ref: '#/definitions/optimizer.inputs.QuantRiskModel'
      raw_model:
        $ref: '#/definitions/optimizer.inputs.RawRiskModel'
    required: []
  optimizer.inputs.MPNumberOfBuysConstraint:
    type: object
    properties:
      constraint:
        $ref: '#/definitions/optimizer.inputs.NumberOfBuysConstraint'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
    required: []
  optimizer.inputs.BuyListItem:
    type: object
    properties:
      univ_index:
        type: integer
        format: int32
      price:
        $ref: '#/definitions/optimizer.inputs.AssetPrice'
        description: if null, use total univ pricing
    required: []
  optimizer.inputs.STARRTerm:
    type: object
    properties:
      name:
        type: string
      multiplier:
        $ref: '#/definitions/optimizer.inputs.Value'
      risk_free_rate:
        $ref: '#/definitions/optimizer.inputs.Value'
      direction:
        $ref: '#/definitions/optimizer.inputs.EObjectiveTermDirection.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.MPHoldingsWeightConstraint:
    type: object
    properties:
      constraint:
        $ref: '#/definitions/optimizer.inputs.HoldingsWeightConstraint'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
    required: []
  optimizer.inputs.Derivative.Future.EComputationMethod.Enum:
    type: number
    enum:
    - 0
    - 1
    - 2
    description: "0 - eCost \n1 - eTotalCost \n2 - eMarkToMarket "
  optimizer.inputs.CompositeConstituent:
    type: object
    properties:
      univ_index:
        type: integer
        format: int32
      weight:
        type: number
        format: double
      price:
        $ref: '#/definitions/optimizer.inputs.AssetPrice'
    required: []
  optimizer.inputs.SimulatedRiskModel:
    type: object
    properties:
      raw_data:
        $ref: '#/definitions/VAR.DistributionDataMessage'
      request_info:
        $ref: '#/definitions/optimizer.inputs.SimulatedRiskRequestInfo'
    required: []
  optimizer.inputs.TotalUniverse:
    type: object
    properties:
      assets:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.Asset'
      composite_assets:
        $ref: '#/definitions/optimizer.inputs.CompositeAsset'
      derivatives:
        $ref: '#/definitions/optimizer.inputs.Derivative'
    required: []
  optimizer.inputs.RollingMethod.Enum:
    type: number
    enum:
    - 0
    - 1
    - 2
    - 3
    description: "0 - eValuePerPath \n1 - eAllValues \n2 - eMinPerStep \n3 - eMaxPerStep "
  optimizer.inputs.AcrossPeriods:
    type: object
    properties:
      start_period:
        type: integer
        format: int32
      end_period:
        type: integer
        format: int32
      rolling:
        $ref: '#/definitions/optimizer.inputs.AcrossPeriods.RollingPeriods'
    required: []
  optimizer.inputs.TargetProbabilityConstraint:
    type: object
    properties:
      name:
        type: string
      threshold_min:
        $ref: '#/definitions/optimizer.inputs.Value'
      threshold_max:
        $ref: '#/definitions/optimizer.inputs.Value'
      min_probability:
        $ref: '#/definitions/optimizer.inputs.Value'
      max_probability:
        $ref: '#/definitions/optimizer.inputs.Value'
      hierarchy:
        type: integer
        format: int32
    required: []
  optimizer.inputs.EConstraintLevel.Enum:
    type: number
    enum:
    - 0
    - 1
    - 2
    description: "0 - ePortfolio \n1 - eGroup \n2 - eAsset "
  optimizer.inputs.GeneralLinearConstraint:
    type: object
    properties:
      name:
        type: string
      security_attribute:
        $ref: '#/definitions/optimizer.inputs.Value'
      min:
        $ref: '#/definitions/optimizer.inputs.Value'
      max:
        $ref: '#/definitions/optimizer.inputs.Value'
      penalty:
        $ref: '#/definitions/optimizer.inputs.Penalty'
      groups:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.ConstraintGroup'
      weighting_method:
        $ref: '#/definitions/optimizer.inputs.EWeightingMethodType.Enum'
      level:
        $ref: '#/definitions/optimizer.inputs.EConstraintLevel.Enum'
      hierarchy:
        type: integer
        format: int32
      rel_to_benchmark:
        type: boolean
      benchmark_index:
        type: integer
        format: int32
    required: []
    description: '4'
  optimizer.inputs.TargetProbabilityTerm:
    type: object
    properties:
      name:
        type: string
      multiplier:
        $ref: '#/definitions/optimizer.inputs.Value'
      direction:
        $ref: '#/definitions/optimizer.inputs.EObjectiveTermDirection.Enum'
      threshold_min:
        $ref: '#/definitions/optimizer.inputs.Value'
      threshold_max:
        $ref: '#/definitions/optimizer.inputs.Value'
    required: []
  optimizer.inputs.MPSensitivityConstraint:
    type: object
    properties:
      constraint:
        $ref: '#/definitions/optimizer.inputs.SensitivityConstraint'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
      across_periods:
        $ref: '#/definitions/optimizer.inputs.AcrossPeriods'
    required: []
  optimizer.inputs.Derivative.Future:
    type: object
    properties:
      contract_size:
        type: number
        format: double
      method:
        $ref: '#/definitions/optimizer.inputs.Derivative.Future.EComputationMethod.Enum'
      using_pa_multiply:
        type: boolean
    required: []
  optimizer.inputs.HoldingsThresholdConstraint:
    type: object
    properties:
      name:
        type: string
      custom_asset:
        $ref: '#/definitions/optimizer.inputs.Value'
      min:
        $ref: '#/definitions/optimizer.inputs.Value'
      groups:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.ConstraintGroup'
      asset_type:
        $ref: '#/definitions/optimizer.inputs.EFPOConstraintAssetType.Enum'
      level:
        $ref: '#/definitions/optimizer.inputs.EConstraintLevel.Enum'
        description: Scope can be asset
      unit:
        $ref: '#/definitions/optimizer.inputs.EConstraintUnitType.Enum'
      hierarchy:
        type: integer
        format: int32
    required: []
    description: '5'
  optimizer.inputs.RawRiskModel.Simulations:
    type: object
    properties:
      id:
        type: string
      simulatedReturns:
        type: array
        items:
          type: number
          format: double
    required: []
  optimizer.inputs.SharpeRatioTerm:
    type: object
    properties:
      name:
        type: string
      multiplier:
        $ref: '#/definitions/optimizer.inputs.Value'
      risk_free_rate:
        $ref: '#/definitions/optimizer.inputs.Value'
      direction:
        $ref: '#/definitions/optimizer.inputs.EObjectiveTermDirection.Enum'
      active_risk:
        type: boolean
      benchmark_index:
        type: integer
        format: int32
    required: []
  optimizer.inputs.OnPeriods:
    type: object
    properties:
      periods:
        type: array
        items:
          type: integer
          format: int32
    required: []
  optimizer.inputs.MPFactorExposureConstraint:
    type: object
    properties:
      constraint:
        $ref: '#/definitions/optimizer.inputs.FactorExposureConstraint'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
      across_periods:
        $ref: '#/definitions/optimizer.inputs.AcrossPeriods'
    required: []
  optimizer.inputs.MultiPeriodStrategy:
    type: object
    properties:
      objective:
        $ref: '#/definitions/optimizer.inputs.MultiPeriodObjective'
      constraints:
        $ref: '#/definitions/optimizer.inputs.MultiPeriodConstraints'
      transaction_cost:
        $ref: '#/definitions/optimizer.inputs.TransactionCost'
      options:
        $ref: '#/definitions/optimizer.inputs.MultiPeriodOptions'
      expected_return:
        $ref: '#/definitions/optimizer.inputs.ExpectedReturn'
    required: []
  optimizer.inputs.TransactionCost:
    type: object
    properties:
      unit_type:
        $ref: '#/definitions/optimizer.inputs.ETransactionCostUnitType.Enum'
      buy_cost:
        $ref: '#/definitions/optimizer.inputs.Value'
      sell_cost:
        $ref: '#/definitions/optimizer.inputs.Value'
    required: []
  optimizer.inputs.DiversificationConstraint:
    type: object
    properties:
      name:
        type: string
      asset_value:
        $ref: '#/definitions/optimizer.inputs.Value'
      max_percent:
        $ref: '#/definitions/optimizer.inputs.Value'
      penalty:
        $ref: '#/definitions/optimizer.inputs.Penalty'
      groups:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.ConstraintGroup'
      unit:
        $ref: '#/definitions/optimizer.inputs.EConstraintUnitType.Enum'
      level:
        $ref: '#/definitions/optimizer.inputs.EConstraintLevel.Enum'
      hierarchy:
        type: integer
        format: int32
    required: []
    description: '2'
  optimizer.inputs.EConstraintTurnoverType.Enum:
    type: number
    enum:
    - 0
    - 1
    - 2
    description: "0 - eTotal \n1 - eBuy \n2 - eSell "
  optimizer.inputs.QuantRiskModelRawData:
    type: object
    properties:
      labels:
        $ref: '#/definitions/optimizer.inputs.Labels'
      RawAssetCovarianceMatrix:
        $ref: '#/definitions/optimizer.inputs.SparseMatrix'
      RawFactorExposure:
        $ref: '#/definitions/optimizer.inputs.SparseMatrix'
      RawFactorCovarianceMatrix:
        $ref: '#/definitions/optimizer.inputs.DenseMatrix'
      RiskModelCoverageFlag:
        type: array
        items:
          type: integer
          format: int32
    required: []
  optimizer.inputs.ELeverageValueType.Enum:
    type: number
    enum:
    - 0
    - 1
    description: "0 - eFixedValue \n1 - eMaximumValue "
  optimizer.inputs.ExpectedReturnTerm:
    type: object
    properties:
      name:
        type: string
      multiplier:
        $ref: '#/definitions/optimizer.inputs.Value'
      return_values:
        $ref: '#/definitions/optimizer.inputs.Value'
      direction:
        $ref: '#/definitions/optimizer.inputs.EObjectiveTermDirection.Enum'
      use_alpha:
        type: boolean
      rel_to_benchmark:
        type: boolean
      benchmark_index:
        type: integer
        format: int32
    required: []
  optimizer.inputs.NumberofAssetsConstraint:
    type: object
    properties:
      name:
        type: string
      min:
        $ref: '#/definitions/optimizer.inputs.Value'
      max:
        $ref: '#/definitions/optimizer.inputs.Value'
      groups:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.ConstraintGroup'
      level:
        $ref: '#/definitions/optimizer.inputs.EConstraintLevel.Enum'
      hierarchy:
        type: integer
        format: int32
    required: []
    description: '7'
  optimizer.inputs.MPFactorExposureTerm:
    type: object
    properties:
      term:
        $ref: '#/definitions/optimizer.inputs.FactorExposureTerm'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
      across_periods:
        $ref: '#/definitions/optimizer.inputs.AcrossPeriods'
    required: []
  optimizer.inputs.EValueType.Enum:
    type: number
    enum:
    - 0
    - 1
    - 2
    - 3
    description: "0 - eNA \n1 - eRaw \n2 - eReference \n3 - eExpandRaw "
  google.protobuf.ListValue:
    type: object
    properties:
      values:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.Value'
    required: []
  VAR.DistributionDataMessage:
    type: object
    properties:
      description:
        $ref: '#/definitions/VAR.DistributionDescription'
      securitySimulations:
        type: array
        items:
          $ref: '#/definitions/VAR.SimulatedReturns'
      status:
        $ref: '#/definitions/VAR.DistributionStatus'
    required: []
  optimizer.inputs.MPTailRiskTerm:
    type: object
    properties:
      term:
        $ref: '#/definitions/optimizer.inputs.TailRiskTerm'
      term_on:
        $ref: '#/definitions/optimizer.inputs.BoundSource.Enum'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
      across_periods:
        $ref: '#/definitions/optimizer.inputs.AcrossPeriods'
    required: []
  optimizer.inputs.NumberOfSellsConstraint:
    type: object
    properties:
      name:
        type: string
      max:
        $ref: '#/definitions/optimizer.inputs.Value'
      groups:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.ConstraintGroup'
      level:
        $ref: '#/definitions/optimizer.inputs.EConstraintLevel.Enum'
      hierarchy:
        type: integer
        format: int32
    required: []
    description: '11'
  optimizer.inputs.HoldingsWeightConstraint:
    type: object
    properties:
      name:
        type: string
      custom_asset:
        $ref: '#/definitions/optimizer.inputs.Value'
      min:
        $ref: '#/definitions/optimizer.inputs.Value'
      max:
        $ref: '#/definitions/optimizer.inputs.Value'
      penalty:
        $ref: '#/definitions/optimizer.inputs.Penalty'
      groups:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.ConstraintGroup'
      unit:
        $ref: '#/definitions/optimizer.inputs.EConstraintUnitType.Enum'
      weight_type:
        $ref: '#/definitions/optimizer.inputs.EFPOConstraintWeightType.Enum'
      level:
        $ref: '#/definitions/optimizer.inputs.EConstraintLevel.Enum'
      asset_type:
        $ref: '#/definitions/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.outputs.MultiPeriodOutput:
    type: object
    properties:
      periods:
        type: array
        items:
          $ref: '#/definitions/optimizer.outputs.Periods'
      raw_stats:
        type: string
        description: temporary
    required: []
  optimizer.inputs.RiskModelForPeriods:
    type: object
    properties:
      risk_model:
        $ref: '#/definitions/optimizer.inputs.RiskModel'
      periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
    required: []
    description: Must have *one* model for each period
  optimizer.inputs.MPTargetProbabilityTerm:
    type: object
    properties:
      term:
        $ref: '#/definitions/optimizer.inputs.TargetProbabilityTerm'
      constrain_on:
        $ref: '#/definitions/optimizer.inputs.BoundSource.Enum'
      on_periods:
        $ref: '#/definitions/optimizer.inputs.OnPeriods'
      across_periods:
        $ref: '#/definitions/optimizer.inputs.AcrossPeriods'
    required: []
  optimizer.inputs.TradeThresholdConstraint:
    type: object
    properties:
      name:
        type: string
      min:
        $ref: '#/definitions/optimizer.inputs.Value'
      custom_asset:
        $ref: '#/definitions/optimizer.inputs.Value'
      groups:
        type: array
        items:
          $ref: '#/definitions/optimizer.inputs.ConstraintGroup'
      level:
        $ref: '#/definitions/optimizer.inputs.EConstraintLevel.Enum'
      unit:
        $ref: '#/definitions/optimizer.inputs.EConstraintUnitType.Enum'
      asset_type:
        $ref: '#/definitions/optimizer.inputs.EFPOConstraintAssetType.Enum'
      hierarchy:
        type: integer
        format: int32
    required: []
    description: '13'
  VAR.DistributionDescription:
    type: object
    properties:
      riskModel:
        type: string
      factorGroup:
        type: string
      factors:
        type: array
        items:
          type: string
      distributionType:
        $ref: '#/definitions

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# Full source: https://raw.githubusercontent.com/api-evangelist/factset/refs/heads/main/openapi/factset-mpo-api-openapi.yml