gs_quant.timeseries.datetime.Window

class Window(w=None, r=None)[source]

Create a Window with size and ramp up to use.

Parameters:

  • w (Union[int, str, None]) – window size

  • r (Union[int, str, None]) – ramp up value. Defaults to the window size.

Returns:

new window object

Usage

The window size and ramp up value can either the number of observations or a string representation of the time period.

Examples

Window size is \(22\) observations and the ramp up value is \(10\):

>>> Window(22, 10)

Window size is one month and the ramp up size is one week:

>>> Window('1m', '1w')

Methods

as_dict()

from_dict(obj)