gs_quant.timeseries.econometrics.prices

prices(series, initial=1, type=Returns.SIMPLE)

Calculate price levels from returns series

Parameters:

• series (Series) – time series of returns

• initial (int) – initial price level

• type (Returns) – returns type: simple, logarithmic or absolute

Return type:

Series

Returns:

date-based time series of return

Usage

Compute price levels from returns series, based on the value of type:

Type	Description
simple	Simple arithmetic returns
logarithmic	Logarithmic returns
absolute	Absolute returns

Simple

Compute asset price series from simple returns:

\(Y_t = (1 + X_{t-1}) Y_{t-1}\)

where \(X_t\) is the asset price at time \(t\) and \(Y_0 = initial\)

Logarithmic

Compute asset price series from logarithmic returns:

\(Y_t = e^{X_{t-1}} Y_{t-1}\)

where \(X_t\) is the asset price at time \(t\) and \(Y_0 = initial\)

Absolute

Compute asset price series from absolute returns:

\(Y_t = X_{t-1} + Y_{t-1}\)

where \(X_t\) is the asset price at time \(t\) and \(Y_0 = initial\)

Examples

Generate price series and take compute returns

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

See also

returns() product() exp()