fix: insufficient returns in fitting rolling risk model

factorpricingmodel · Jun 23, 2023 · 96ca77b · 96ca77b
1 parent fa59413
commit 96ca77b
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Showing 3 changed files with 145 additions and 68 deletions.
diff --git a/examples/notebook/crypto_statistical_risk_model.ipynb b/examples/notebook/crypto_statistical_risk_model.ipynb
diff --git a/src/fpm_risk_model/rolling_factor_risk_model.py b/src/fpm_risk_model/rolling_factor_risk_model.py
@@ -91,6 +91,10 @@ def transform(
                 validity_input = validity.loc[index]
                 y_input = y_input.loc[:, validity_input]
 
+            # Skip if the number of sample size is zero
+            if y_input.shape[1] == 0:
+                continue
+
             risk_model = self.get(index)
             values[index] = risk_model.transform(
                 y=y_input.fillna(0.0),

diff --git a/src/fpm_risk_model/rolling_risk_model.py b/src/fpm_risk_model/rolling_risk_model.py
@@ -161,6 +161,9 @@ def fit(
                     validity_input = validity.loc[index_name]
                     X_input = X_input.loc[:, validity_input]
 
+                if X_input.shape[1] == 0:
+                    continue
+
                 params = {}
                 if weights_input is not None:
                     params["weights"] = weights_input