MATLAB: Using todaily() without holidays

Financial Time Series Toolboxfintstodaily

I am trying to convert a monthly series to daily returns by rolling the monthly return forward until the next available data point. With a fints object I am using todaily() but it is automatically including holidays, i.e.

 dailyTS = todaily(monthlyTS,'CalcMethod','v21x')

I dug through the source code but was unable to find an easy way to override this? I would like data to be populated for all weekdays, including holidays. Is this possible with this or another built-in function?

Best Answer

% Sample data
data     = [datenum(2012,10:13,1)',(1:4)'];
% Retrieve all days
dates    = (data(1):data(end,1))';
% Remove weekends and holidays
dates    = dates(isbusday(dates));
% Map longer ts to short 
[tf,loc] = ismember([year(dates)     month(dates)],...
                    [year(data(:,1)) month(data(:,1))],'rows');
% create fints 
out      = fints(dates,data(loc,2))

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MATLAB: Using panel data, how can I create a new table with weekly price data based on a table with daily price data, for every stock

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          0.16899

Now 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-2016

Finally, 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             0.10601

MATLAB: How to use the TOMONTHLY (and other TO- ) function to work with another market besides the NYSE in Financial Toolbox 3.2 (R2007a)

This enhancement has been incorporated in Financial Toolbox 3.3 (R2007b). In R2007b, you can supply the holiday data from any region and generate a vector of holidays using the CREATEHOLIDAYS function. This vector can then be supplied to the TOMONTHLY function via the parameter "AltHolidays'".

For previous product releases, read below for possible workarounds:

In Financial Toolbox 3.2 (R2007a) and before, you will need to bypass the NYSE holidays by supplying your own holidays vector. This is fairly difficult because it requires modification of the functions you are using, TOMONTHLY and TODAILY. Within these two functions are calls to the ISBUSDAY and BUSDAYS functions which determine which days are business days. These two functions take an additional input argument, a 'holidays' vector, that can bypass the default NYSE 'holidays' vector. You will need to supply your own holidays to these functions.

Best Answer

Related Solutions

MATLAB: Using panel data, how can I create a new table with weekly price data based on a table with daily price data, for every stock

MATLAB: How to use the TOMONTHLY (and other TO- ) function to work with another market besides the NYSE in Financial Toolbox 3.2 (R2007a)

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