Hello, I have a daily time series data in an array of 81(rows) by 4748 (columns), the 81 rows represents the points at which the data (in their respective corresponding column) was measured (daily). Then I have another arrey of the Time, which is 4748 by 1 (a column matrix) consisting the dates, from January 1, 2005. I need guidance on how to turn these daily time series into monthly. Thank you.
MATLAB: How to change these daily time series data to monthly
monthly_filter
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John, I'll assume you have the Financial Toolbox. I think what you're looking to do is to calculate mean price, by ticker and week, with the exemplar date for each week being the last business day. There are several ways you could do that. Since you already have a table, varfun is one easy way.
First cook up some fake data.
>> Date = datetime(2016,3,[22;23;24;28;29;21;22;23;24;28;29],'Format','eee dd-MMM-yyyy');>> Ticker = categorical({'A'; 'A'; 'A'; 'A'; 'A'; 'B'; 'B'; 'B'; 'B'; 'B'; 'B'});>> Price = rand(size(Ticker));>> TS = table(Date,Ticker,Price)TS = Date Ticker Price _______________ ______ ________ Tue 22-Mar-2016 A 0.13197 Wed 23-Mar-2016 A 0.94205 Thu 24-Mar-2016 A 0.95613 Mon 28-Mar-2016 A 0.57521 Tue 29-Mar-2016 A 0.05978 Mon 21-Mar-2016 B 0.23478 Tue 22-Mar-2016 B 0.35316 Wed 23-Mar-2016 B 0.82119 Thu 24-Mar-2016 B 0.015403 Mon 28-Mar-2016 B 0.043024 Tue 29-Mar-2016 B 0.16899Now find the last business day in each week, by first finding the end of the week and then stepping back.
>> hol = holidays(datetime(2016,1,1),datetime(2016,12,31))>> EOWDate = dateshift(TS.Date,'end','week');>> TS.BusDate = busdate(EOWDate,'previous',hol);>> TS.BusDate.Format = ['eee ' TS.BusDate.Format]TS = Date Ticker Price BusDate _______________ ______ _______ ___________________ Tue 22-Mar-2016 A 0.64912 Thu Thu 24-Mar-2016 Wed 23-Mar-2016 A 0.73172 Thu Thu 24-Mar-2016 Thu 24-Mar-2016 A 0.64775 Thu Thu 24-Mar-2016 Mon 28-Mar-2016 A 0.45092 Fri Fri 01-Apr-2016 Tue 29-Mar-2016 A 0.54701 Fri Fri 01-Apr-2016 Mon 21-Mar-2016 B 0.29632 Thu Thu 24-Mar-2016 Tue 22-Mar-2016 B 0.74469 Thu Thu 24-Mar-2016 Wed 23-Mar-2016 B 0.18896 Thu Thu 24-Mar-2016 Thu 24-Mar-2016 B 0.68678 Thu Thu 24-Mar-2016 Mon 28-Mar-2016 B 0.18351 Fri Fri 01-Apr-2016 Tue 29-Mar-2016 B 0.36848 Fri Fri 01-Apr-2016Finally, apply mean to the prices, grouping by ticker and week.
>> varfun(@mean,TS,'GroupingVariables',{'Ticker' 'BusDate'},'InputVariables','Price')ans = Ticker BusDate GroupCount mean_Price ______ ___________ __________ __________ A 24-Mar-2016 3 0.67672 A 01-Apr-2016 2 0.31749 B 24-Mar-2016 4 0.35613 B 01-Apr-2016 2 0.10601The following code uses the FLOATBYZERO function to meet the bond specification:
Spread = 50;Maturity = '12-31-2010';Settle = '04-05-2005';RateData = [datenum('12/31/2004') datenum('6/30/2005') 2.78 datenum( '4/5/2005') datenum('10/5/2005') 3.38 datenum( '4/5/2005') datenum( '4/5/2006') 3.79 datenum( '4/5/2005') datenum( '4/5/2007') 4.16 datenum( '4/5/2005') datenum( '4/5/2008') 4.36 datenum( '4/5/2005') datenum( '4/5/2010') 4.59 datenum( '4/5/2005') datenum( '4/5/2012') 4.76 datenum( '4/5/2005') datenum( '4/5/2015') 4.94];StartDates = RateData(:,1);EndDates = RateData(:,2);Rates = RateData(:,3) / 100;RateSpec = intenvset('ValuationDate', '12-31-2004', 'StartDates',StartDates, 'EndDates', EndDates, 'Rates', Rates)Price = floatbyzero(RateSpec, Spread, Settle, Maturity, 2)
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