arbitragelab.hedge_ratios.spread_construction
Utility functions used to construct spreads.
Module Contents
Functions
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Construct spread from price_data and hedge_ratios. If a user sets dependent_variable it means that a |
- construct_spread(price_data: pandas.DataFrame, hedge_ratios: pandas.Series, dependent_variable: str = None) pandas.Series
Construct spread from price_data and hedge_ratios. If a user sets dependent_variable it means that a spread will be:
hedge_ratio_dependent_variable * dependent_variable - sum(hedge_ratios * other variables). Otherwise, spread is: hedge_ratio_0 * variable_0 - sum(hedge ratios * variables[1:]).
- Parameters:
price_data – (pd.DataFrame) Asset prices data frame.
hedge_ratios – (pd.Series) Hedge ratios series (index-tickers, values-hedge ratios).
dependent_variable – (str) Dependent variable to use. Set None for dependent variable being equal to 0 column.
- Returns:
(pd.Series) Spread series.