gs_quant.timeseries.econometrics.change

change(x)[source]

Arithmetic series normalization

Parameters

x (Series) – time series

Return type

Series

Returns

normalized time series

Usage

Compute difference of every value from the initial value of x:

\(Y_t = X_t - X_0\)

where \(X_0\) is the first value in the series

Examples

Change in level from initial value:

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

See also

index()