Documentation

This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

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 vector 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

collapse all

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]
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'}
Dates = 4x1 cell array
    {'18-Dec-2000'}
    {'18-Jun-2001'}
    {'17-Sep-2001'}
    {'18-Dec-2001'}

The fints object is:

p = fints(Dates, PriceSeries)
 
p = 
 
    desc:  (none)
    freq:  Unknown (0)

    'dates:  (4)'    'series1:  (4)'    'series2:  (4)'
    '18-Dec-2000'    [          100]    [          100]
    '18-Jun-2001'    [          110]    [          112]
    '17-Sep-2001'    [     115.5000]    [     116.4800]
    '18-Dec-2001'    [     109.7250]    [     122.3040]

returnFts is computed as:

 tick2ret(p)
 
ans = 
 
    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]

Note that for n dates in the original time series, there are ( n-1) dates returned for returnFts from tick2ret. The formula for the date output dates is described as: RetDate(i) = PriceDate (i+1).

Introduced before R2006a

Was this topic helpful?