gs_quant.timeseries.analysis.diff

diff(x, obs=1)

Diff observations with given lag

Parameters:

• x (Series) – time series of prices

• obs (Union[Window, int, str]) – number of observations to lag or relative date e.g. 3d, 1w, 1m

Return type:

Series

Returns:

date-based time series of return

Usage

Compute the difference in series values over a given lag:

\(R_t = X_t - X_{t-obs}\)

where \(obs\) is the number of observations to lag series in diff function

Examples

Diff prices levels:

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

See also

lag()