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pmorissette / ffn

ffn - a financial function library for Python
pmorissette.github.io/ffn
MIT License
2.03k stars 300 forks source link

Return stats in absolute instead of % terms for fixed income strategies #51

Closed jiangzhou87 closed 6 years ago

jiangzhou87 commented 6 years ago

I have been writing some strategies for fixed income products which generally look at absolute returns in terms of basis points (with 0 starting capital) instead of % points with a starting capital of 1. Is there a way to calculate all the return metrics in FFN using absolute returns?

JordanPlatts commented 6 years ago

Not easily. You could rewrite some of the code in core to do it.

jiangzhou87 commented 6 years ago

I see. Thanks!