MATLAB: Write a date loop in matlab

loop date means time series

Hello all,

I am very new to Matlab so I hope you guys can help me out.

The thing is,

I have to create a loop which calculate portfolio means on an annual basis. The assets in the portfolio are mkt, hml and mom. The starting date is 19261103(yyyymmdd), ending date is 20121231 (yyyymmdd). So from 19271103 onwards, I need to retrieve the means per asset.

My problem is that I am just not able to create a loop that proceeds onwards, because not every year November 3rd, is a trading day (it can be a Saturday or a Sunday). How can I avoid this problem and retrieve annual 1×3 matrices from 1927 till 2012?

Hope I formulated this problem well.

Thank you very much in advance.

Kevin

Best Answer

d1=datenum('1926-11-03','yyyy-mm-dd'),
d2=datenum('2012-12-31','yyyy-mm-dd'),
d=d1:d2
for k=1:numel(d)
  %do
end

Related Solutions

MATLAB: Inverse of a covariance matrix (loop)

Try this is code:

d = [19261103; 20121231];  
ddte = datenum(num2str(d),'yyyymmdd');
ndte = (ddte(1):ddte(2))';
t = weekday(ndte);
ndte = ndte(t ~= 1 & t ~= 7);
yourdata = [ndte,mkt,hml,mom];
[yy,mm,dd] = datevec(yourdata(:,1));
ymd = [yy,mm,dd];
im = mm == 11 & dd >= 3;
ii = strfind([~im(1),im(:)'],[0 1]);
sb = zeros(size(yourdata,1),1);
sb(ii) = 1;
sbc = cumsum(sb);
t = sbc > 0 & sbc ~= max(sbc);
sb1 = diff(find([sb(t);1]));
wdta = yourdata(t,:);
s = size(wdta,2) - 1;
ydcell = mat2cell(wdta(:,2:end),sb1,s);
out = cellfun(@(x)cov(x)\eye(s),ydcell,'un',0);

MATLAB: Find the Monday preceding the third Friday of the month

If you have the Financial Toolbox, you can do this with nweekdate which will do both aspects, finding third Friday, and finding the Monday in the same week as the third Friday.

Without Financial Tbx, this can be done with some grouping. Here is an example for 2015:

% 2015
Time = (datetime(2015,1,1):days(1):datetime(2015,12,31)).';
% Day of Month and whether it's a Friday
mt = month(Time);
idxFriday = strcmp(day(Time,'shortname'),'Fri');
% One to number of days
oneToN = (1:numel(Time))';
% Group Fridays by month
Fridays = accumarray(mt(idxFriday),oneToN(idxFriday),[],@(x){sort(x)});
% Keep third index and subtract four days for Monday
idxMonday = cellfun(@(x)x(3),Fridays)-4;
% Extract from Time
Time(idxTime)

Yields:

   12-Jan-2015
   16-Feb-2015
   16-Mar-2015
   13-Apr-2015
   11-May-2015
   15-Jun-2015
   13-Jul-2015
   17-Aug-2015
   14-Sep-2015
   12-Oct-2015
   16-Nov-2015
   14-Dec-2015

Best Answer

Related Solutions

MATLAB: Inverse of a covariance matrix (loop)

MATLAB: Find the Monday preceding the third Friday of the month

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