gs_quant.timeseries.econometrics.change¶
- change(x)[source]¶
Arithmetic series normalization
- Parameters:
x (
Series) – time series- Return type:
Series- Returns:
normalized time series
Usage
Compute difference of every value from the initial value of x:
\(Y_t = X_t - X_0\)
where \(X_0\) is the first value in the series
Examples
Change in level from initial value:
>>> series = generate_series(100) >>> returns = change(series)
See also