ret2tick (fts)

Convert return series to price series for time series object


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



Financial time series object of returns.


(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.


(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 are scaled based on the StartPrice, even if StartTime is not supplied.


(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.


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)]


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'}


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]

Related Examples

See Also


Introduced before R2006a

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