gs_quant.timeseries.algebra.weighted_sum¶
-
weighted_sum
(series, weights)[source]¶ Calculate a weighted sum.
- Parameters
series (
List
[Series
]) – list of time seriesweights (
list
) – list of weights
- Return type
Series
- Returns
time series of weighted average
Usage
Calculate a weighted sum e.g. for a basket.
Examples
Generate price series and get a sum (weights 70%/30%).
>>> prices1 = generate_series(100) >>> prices2 = generate_series(100) >>> mybasket = weighted_sum([prices1, prices2], [0.7, 0.3])
See also
basket()