gs_quant.timeseries.datetime.interpolate¶

interpolate(x, dates=None, method=Interpolate.INTERSECT)[source]¶

Interpolate over specified dates or times

Parameters:

x (Series) – timeseries to interpolate
dates (Union[List[date], List[time], Series, None]) – array of dates/times or another series to interpolate
method (Interpolate) – interpolation method (default: intersect)

Return type:

Series

Returns:

timeseries with specified dates

Usage

Interpolate the series X over the dates specified by the dates parameter. This can be an array of dates or another series, in which case the index of the series will be used to specify dates

Interpolation methods:

Type	Behavior
intersect	Resultant series only has values on the intersection of dates /times. Will only contain intersection of valid dates / times in the series
nan	Resultant series only has values on the intersection of dates /times. Value will be NaN for dates not present in the series
zero	Resultant series has values on all requested dates / times. The series will have a value of zero where the requested date or time was not present in the series
step	Resultant series has values on all requested dates / times. The 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

Examples

Stepwize interpolation of series based on dates in second series:

>>> a = generate_series(100)
>>> b = generate_series(100)
>>> interpolate(a, b, Interpolate.INTERSECT)

See also

sub()