tick2ret (fts) - Convert price series to return series for time series object

Syntax

returnFts = tick2ret(priceFts)
returnFts = tick2ret(priceFts, 'PARAM1', VALUE1, 
'PARAM2', VALUE2', ...)

Arguments

`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`.

Description

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)]

Examples

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 (fts) - Convert price series to return series for time series object

Syntax

Arguments

Description

Examples

See Also