CalcMethod | CumSum | Returns the cumulative sum of the values within
each week. Data for missing dates are given the value 0. |
| Exact | Returns the exact value at the end-of-week
dates. No data manipulation occurs. |
| Nearest | (Default) Returns the values located at the
end-of-week dates. If there is missing data, Nearest returns
the nearest data point preceding the end-of-week date. |
| SimpAvg | Returns an averaged weekly value that only
takes into account dates with data (nonNaN) within
each week. |
| v21x | This mode is compatible with previous versions
of this function (Version 2.1.x and earlier). It returns an averaged
end-of-weekly value using a previous toquarterly algorithm.
This algorithm takes into account all dates and data. For dates that
do not contain any data, the data is assumed to be 0. |
| Note
If you set CalcMethod to v21x,
settings for all of the following parameter name/parameter value pairs
are not supported. |
|
BusDays | 0 | Generates a financial time series that ranges
from (or between) the first date to the last date in oldfts (includes
NYSE nonbusiness days and holidays). |
| 1 | (Default) Generates a financial time series
that ranges from the first date to the last date in oldfts (excludes
NYSE nonbusiness days and holidays and weekends based on AltHolidays and Weekend).
If an end-of-quarter date falls on a nonbusiness day or NYSE holiday,
returns the last business day of the quarter. NYSE market
closures, holidays, and weekends are observed if AltHolidays and Weekend are
not supplied or empty ([]). |
DateFilter | Absolute | (Default) Returns all weekly dates between
the start and end dates of oldfts. Some dates may
be disregarded if BusDays = 1. Note
The default is to create a time series with every date at the
specified periodicity, which is with DateFilter = Absolute.
If you use DateFilter = Relative,
the endpoint effects do not apply since only your data defines which
dates will appear in the output time series object. |
|
| Relative | Returns only end-of-week dates that exist
in oldfts. Some dates may be disregarded if BusDays = 1. |
EndPtTol | [Begin, End] | Denotes the minimum number of days that constitute
a odd week at the endpoints of the time series (before the first whole
period and after the last whole period). Begin and End must
be -1 or any positive integer greater than or equal
to 0. A single value input for EndPtTol is
the same as specifying that single value for Begin and End. -1 Do not include odd
week dates and data in calculations. 0 (Default) Include
all odd week dates and data in calculations. n Number of days (any
positive integer) that constitute an odd week. If there are insufficient
days for a complete week, the odd week dates and data are ignored. |
The
following diagram is a general depiction of the factors involved in
the determination of endpoints for this function.
 |
EOW | 0 - 6 | Specifies the end-of-week day: 0 Friday (default) 1 Saturday 2 Sunday 3 Monday 4 Tuesday 5 Wednesday 6 Thursday
|
TimeSpec | First | Returns only the observation that occurs at
the first (earliest) time for a specific date. |
| Last | (Default) Returns only the observation that
occurs at the last (latest) time for a specific date. |
AltHolidays | | Vector of dates specifying an alternate set
of market closure dates. |
| -1 | Excludes all holidays. |
Weekend | | Vector of length 7 containing 0's and 1's.
The value 1 indicates a weekend day. The first element of this vector
corresponds to Sunday. For example, when Saturday and Sunday are weekend
days (default) then Weekend
= [1 0 0 0 0 0 1]. |
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