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Data Transformation

Transform data, including conversions for constraints, covariance, and holdings

Functions

abs2active Convert constraints from absolute to active format
active2abs Convert constraints from active to absolute format
arith2geom Arithmetic to geometric moments of asset returns
corr2cov Convert standard deviation and correlation to covariance
cov2corr Convert covariance to standard deviation and correlation coefficient
geom2arith Geometric to arithmetic moments of asset returns
holdings2weights Portfolio holdings into weights
ret2tick Convert return series to price series
tick2ret Convert price series to return series
weights2holdings Portfolio values and weights into holdings
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