| Financial Toolbox™ | |
Convert price series to return series for time series object
returnFts = tick2ret(priceFts) returnFts = tick2ret(priceFts, 'PARAM1', VALUE1, 'PARAM2', VALUE2', ...)
priceFts | Financial time series object of prices. |
'PARAM1' | (Optional) Method is a character string indicating the method to convert asset returns to prices. The value must be defined as 'Simple' (default) or 'Continuous'. If Method is 'Simple', tick2ret uses simple periodic returns. If Method is 'Continuous', the function uses continuously compounded returns. Case is ignored for Method. |
returnFts = tick2ret(priceFts, 'PARAM1', VALUE1, 'PARAM2', VALUE2', ...) generates a financial time series object of returns.
Note The i'th return is quoted for the period PriceSeries(i) to PriceSeries(i+1) and is not normalized by the time increment between successive price observations. |
If Method is unspecified or 'Simple', the prices are
ReturnSeries(i) = PriceSeries(i+1)/PriceSeries(i)-1
If Method is 'Continuous', the prices are
ReturnSeries(i) = log[PriceSeries(i+1)/PriceSeries(i)]
Compute the return series from the following price series:
PriceSeries = [100.0000 100.0000 110.0000 112.0000 115.5000 116.4800 109.7250 122.3040]
Use the following dates:
Dates = {'18-Dec-2000'
'18-Jun-2001'
'17-Sep-2001'
'18-Dec-2001'}
where
p = fints(Dates, PriceSeries)
returnFtS is computed as:
returnFts = tick2ret(p) returnFts = desc: (none) freq: Unknown (0) 'dates: (3)' 'series1: (3)' 'series2: (3)' '18-Jun-2001' [ 0.1000] [ 0.1200] '17-Sep-2001' [ 0.0500] [ 0.0400] '18-Dec-2001' [ -0.0500] [ 0.0500]
| tick2ret | time2date | |
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