gs_quant.timeseries.backtesting.Basket

class Basket(stocks, weights=None, rebal_freq=RebalFreq.DAILY)

Construct a basket of stocks

Parameters:

• stocks (list) – list of stock bloomberg ids

• weights (Optional[list]) – list of weights (defaults to evenly weight stocks)

• rebal_freq (RebalFreq) – rebalancing frequency - Daily or Monthly (defaults to daily)

Methods

average_forward_vol(tenor, ...[, real_time, ...])	Weighted average forward volatility.
average_implied_volatility(tenor, ...[, ...])	Weighted average implied volatility
average_realized_correlation([w, real_time, ...])	Weighted average realized correlation.
average_realized_volatility(tenor[, ...])	Weighted average realized volatility
get_actual_weights([request_id])
get_marquee_ids()
get_returns([request_id])
get_spot_data([request_id])
price(*[, real_time, request_id])	Weighted average price