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Data Transformation

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

Functions

abs2activeConvert constraints from absolute to active format
active2absConvert constraints from active to absolute format
arith2geomArithmetic to geometric moments of asset returns
corr2covConvert standard deviation and correlation to covariance
cov2corrConvert covariance to standard deviation and correlation coefficient
geom2arithGeometric to arithmetic moments of asset returns
holdings2weightsPortfolio holdings into weights
ret2tickConvert return series to price series
tick2retConvert price series to return series
weights2holdingsPortfolio values and weights into holdings

Topics

Data Transformation and Frequency Conversion

Data transformation and frequency conversion functions convert a data series into a different format.

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