gs_quant.timeseries.analysis.diff¶
-
diff
(x, obs=1)[source]¶ Diff observations with given lag
- Parameters
x (
Series
) – time series of pricesobs (
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