prices¶
-
prices
(series, initial=1, type=<Returns.SIMPLE: 'simple'>)[source]¶ Calculate price levels from returns series
- Parameters
series (
Series
) – time series of returnsinitial (
int
) – initial price leveltype (
Returns
) – returns type (simple, log)
- 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
log
Logarithmic 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 \(Y_0 = initial\)
Examples
Generate price series and take compute returns
>>> series = generate_series(100) >>> returns = prices(returns(series))
See also
returns()
product()
exp()