gs_quant.timeseries.analysis.diff

diff(x, obs=1)[source]

Diff observations with given lag

Parameters
  • x (Series) – time series of prices

  • obs (int) – number of observations to lag

Return type

Series

Returns

date-based time series of return

Usage

Compute the difference in series values over a given lag:

\(R_t = X_t - X_{t-obs}\)

where \(obs\) is the number of observations to lag series in diff function

Examples

Diff prices levels:

>>> series = generate_series(100)
>>> returns = diff(series)

See also

lag()