gs_quant.timeseries.econometrics.excess_returns_¶
- excess_returns_(price_series, currency=RiskFreeRateCurrency.USD)[source]¶
Calculate excess returns
- Parameters:
price_series (
Series) – price seriescurrency (
RiskFreeRateCurrency) – currency for risk-free rate, defaults to USD
- Return type:
Series- Returns:
excess returns
Usage
Given a price series P and risk-free rate R, excess returns E are defined as:
\(E_t = E_{t-1} + P_t - P_{t-1} * (1 + R * (D_t - D_{t-1}) / 360)\)
The Actual/360 day count convention is used.
Examples
Get excess returns from a price series.
>>> er = excess_returns(generate_series(100), USD)