gs_quant.timeseries.datetime.align¶

align(x, y, method=Interpolate.INTERSECT)[source]¶

Align dates of two series or scalars

Parameters:

x (Union[Series, Real]) – first timeseries or scalar
y (Union[Series, Real]) – second timeseries or scalar
method (Interpolate) – interpolation method (default: intersect). Only used when both x and y are timeseries

Return type:

Union[List[Series], List[Real]]

Returns:

timeseries with specified dates or two scalars from the input

Usage

Align the dates of two series using the specified interpolation method. Returns two series with dates based on the method of interpolation, for example, can be used to intersect the dates of two series, union dates with a defined manner to compute missing values.

Interpolation methods:

Type	Behavior
intersect	Resultant series only have values on the intersection of dates /times.
nan	Resultant series have values on the union of dates /times. Values will be NaN for dates or times only present in the other series
zero	Resultant series have values on the union of dates / times. Values will be zero for dates or times only present in the other series
step	Resultant series have values on the union of dates / times. Each series will use the value of the previous valid point if requested date does not exist. Values prior to the first date will be equivalent to the first available value
time	Resultant series have values on the union of dates / times. Missing values surrounded by valid values will be interpolated given length of interval. Input series must use DateTimeIndex.

Examples

Stepwize interpolation of series based on dates in second series:

>>> a = generate_series(100)
>>> b = generate_series(100)
>>> align(a, b)

See also

sub()