gs_quant.timeseries.econometrics.returns

returns(series, obs=1, type=Returns.SIMPLE)

Calculate returns from price series

Parameters:

• series (Series) – time series of prices

• obs (Union[Window, int, str]) – number of observations or relative date e.g. 3d, 1w, 1m

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

Return type:

Series

Returns:

date-based time series of return

Usage

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

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

Simple

Simple geometric change in asset prices, which can be aggregated across assets

\(Y_t = \frac{X_t}{X_{t-obs}} - 1\)

where \(X_t\) is the asset price at time \(t\)

Logarithmic

Natural logarithm of asset price changes, which can be aggregated through time

\(Y_t = log(X_t) - log(X_{t-obs})\)

where \(X_t\) is the asset price at time \(t\)

Absolute

Absolute change in asset prices

\(Y_t = X_t - X_{t-obs}\)

where \(X_t\) is the asset price at time \(t\)

Examples

Generate price series and take compute returns

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

See also

prices()