gs_quant.timeseries.econometrics.index

index(x, initial=1)[source]

Geometric series normalization

Parameters:

  • x (Series) – time series

  • initial (int) – initial value

Return type:

Series

Returns:

normalized time series

Usage

Divides every value in x by the initial value of x:

\(Y_t = initial * X_t / X_0\)

where \(X_0\) is the first value in the series

Examples

Normalize series to 1:

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

See also

returns()