MATLAB: How can i fill intermediate dates

datefunctionMATLAB

I have a matrix with dates and prices.(Nx2) I know there is a function that can create a new matrix that fills all the dates missing in the matrix using the last price available.

For example:

('05-20-2014' 800 ;'05-24-2014' 850) => ('05-20-2014' 800;'05-21-2014' 800 ;'05-22-2014' 800;'05-23-2014' 800;'05-24-2014' 850)

Best Regards

Best Answer

Use the interp1 function.

First, convert your date to date numbers with the datenum function. It gives days and decimal fractions-of-days, so you only need to specify integer date ranges for interpolation.

The interp1 function will interpolate all the columns in every row of your matrix you want to interpolate.

Related Solutions

MATLAB: Transform data from rows to columns

If you have variable 'data' like..

 data = {'company-----Date--------Price', 'ComA--------15/05/2015--20.5', 'ComA--------15/06/2015--30', 'Comb--------15/05/2015--15'}

then

following command give you the expected result in column..

 data = data';

output will be as follows:

 data = 
    'company-----Date--------Price'
    'ComA--------15/05/2015--20.5'
    'ComA--------15/06/2015--30'
    'Comb--------15/05/2015--15'

MATLAB: Find minimum difference in arrays from exact value

I've created this snippet for you with comments.

clear all;
close all;
%read in your xlsx file
T = readtable('Optionprices.xlsx');
%get unique dates
dates = unique(T.Date);
%loop over dates
for i = 1:numel(dates)
    %get the indices for rows of current date
    idx = ismember(T.Date, {datestr(dates(i))});
    currentTable = T(idx,:);
    
    %the amount of rows for each one
    aoe = size(currentTable,1);
    %get the absolute difference between price and strike and paste it into the field
    for j = 1:aoe
       currentTable.NearestPrice(j) = abs(currentTable.Price(j) - currentTable.Strike(j));
    end
    
    %get the smallest value for the difference and return index
    [~,I] = min(currentTable.NearestPrice);
    
    %create vector of zeros 
    vector = zeros(aoe,1); 
    %put in the strike value at the found index
    vector(I) = currentTable.Strike(I);
    currentTable.NearestPrice = vector;
    
    %replace the current values in your old table
    T(idx,:) = currentTable;
end
%save the table under new name
writetable(T,'OptionpricesV2.xlsx');

Because you're new to all this, I suggest reading some of the documentation and try to make your own snippets. The people here are glad to help but next time you should also provide a bit of code of what you've already tried.

Best Answer

Related Solutions

MATLAB: Transform data from rows to columns

MATLAB: Find minimum difference in arrays from exact value

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