gs_quant.timeseries.econometrics.index¶
-
index
(x, initial=1)[source]¶ Geometric series normalization
- Parameters
x (
Series
) – time seriesinitial (
int
) – initial value
- Return type
Series
- Returns
normalized time series
Usage
Divides every value in x by the initial value of x:
\(Y_t = initial * X_t / X_0\)
where \(X_0\) is the first value in the series
Examples
Normalize series to 1:
>>> series = generate_series(100) >>> returns = index(series)
See also