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ret2tick (fts)

Convert return series to price series for time series object

Syntax

priceFts = ret2tick(returnFts)
priceFts = ret2tick(returnFts, 'PARAM1', VALUE1,
'PARAM2', VALUE2', ...)

Arguments

returnFts

Financial time series object of returns.

'PARAM1'

(Optional) StartPrice is a Numeric value and is a scalar or 1-by-N vector of initial prices for each asset. If StartPrice is unspecified or empty, the initial price of all assets is 1.

'PARAM2'

(Optional) StartTime is Date value for a scalar date number or a single date string specifying the starting time for the first observation. This date is applied to the price series of all assets.

    Note:   The first period price value of the resulting price series will not be reported if StartTime is not specified. The resulting price series will be scaled based on the StartPrice, even if StartTime is not supplied.

'PARAM3'

(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', ret2tick uses simple periodic returns. If Method is 'Continuous', the function uses continuously compounded returns. Case is ignored for Method.

Description

priceFts = ret2tick(returnFts, 'PARAM1', VALUE1, 'PARAM2', VALUE2', ...) generates a financial time series object of prices.

If Method is unspecified or 'Simple', the prices are

PriceSeries(i+1) = PriceSeries(i)*[1 + ReturnSeries(i)]

If Method is 'Continuous', the prices are

PriceSeries(i+1) = PriceSeries(i)*exp[ReturnSeries(i)]

Examples

Compute the price series from the following return series:

RetSeries = [0.10 0.12 
             0.05 0.04 
            -0.05 0.05]

Use the following dates:

Dates = {'18-Jun-2001'; '17-Sep-2001'; '18-Dec-2001'}

where

ret = fints(Dates, RetSeries)
ret = 
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]

PriceFtS is computed as:

PriceFts = ret2tick(ret, 'StartPrice', 100, 'StartTime', '18-Dec-2000')
PriceFts = 

desc:  (none)
freq:  Unknown (0)

'dates:  (4)'    'series1:  (4)'    'series2:  (4)'
'18-Dec-2000'    [          100]    [          100]
'18-Jun-2001'    [     110.0000]    [     112.0000]
'17-Sep-2001'    [     115.5000]    [     116.4800]
'18-Dec-2001'    [     109.7250]    [     122.3040]

See Also

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