gs_quant.timeseries.algebra.weighted_sum

weighted_sum(series, weights)[source]

Calculate a weighted sum.

Parameters:

  • series (List[Series]) – list of time series

  • weights (list) – list of weights

Return type:

Series

Returns:

time series of weighted average

Usage

Calculate a weighted sum e.g. for a basket.

Examples

Generate price series and get a sum (weights 70%/30%).

>>> prices1 = generate_series(100)
>>> prices2 = generate_series(100)
>>> mybasket = weighted_sum([prices1, prices2], [0.7, 0.3])

See also

basket()