gs_quant.timeseries.statistics.percentile¶

percentile(x, n, w=None)[source]¶

Returns the nth percentile of a series.

Parameters:

x (Series) – series
n (float) – percentile
w (Union[Window, int, str, None]) – Window or int: size of window and ramp up to use. e.g. Window(22, 10) where 22 is the window size and 10 the ramp up value. If w is a string, it should be a relative date like ‘1m’, ‘1d’, etc.

Return type:

Union[Series, float]

Returns:

nth percentile

Usage

Calculates the nth percentile rank of \(x\). Rolling nth percentile is returned if a window is specified, else a scalar for nth percentile over the entire series.

Example

Compute the 90th percentile of a series.

>>> a = generate_series(100)
>>> percentile(a, 90)