tomonthly

Convert to monthly

Syntax

newfts = tomonthly(oldfts)
newfts = tomonthly(oldfts, 'ParameterName', ParameterValue, ...)

Arguments

oldfts

Financial time series object.

Description

newfts = tomonthly(oldfts) converts a financial time series of any frequency to a monthly frequency. The default end-of-month day is the last business day of the month. tomonthly uses holidays.m to determine valid trading days.

    Note   If oldfts contains time-of-day information, newfts displays the time-of-day as 00:00 for those days that did not previously exist in oldfts.

    Empty ([ ]) passed as inputs for parameter pair values for tomonthly will trigger the use of the defaults.

newfts = tomonthly(oldfts, 'ParameterName', ParameterValue, ...) accepts parameter name/parameter value pairs as input, as specified in the following table.

Parameter Name

Parameter Value

Description

CalcMethod

CumSum

Returns the cumulative sum of the values within each month. Data for missing dates are given the value 0.

Exact

Returns the exact value at the end-of-month date. No data manipulation occurs.

Nearest

(Default) Returns the values located at the end-of-month date. If there is missing data, 'Nearest' returns the nearest data point preceding the end-of-month date.

SimpAvg

Returns an averaged monthly value that only takes into account dates with data (nonNaN) within each month.

v21x

This mode is compatible with previous versions of this function (Version 2.1.x and earlier). It returns an averaged end-of-month value using a previous tomonthly 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 monthly financial time series that ranges from the first date to the last date in oldfts (includes NYSE nonbusiness days and holidays).

1

(Default) Generates a monthly 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-month date falls on a nonbusiness day or NYSE holiday, returns the last business day of the month.

NYSE market closures, holidays, and weekends are observed if AltHolidays and Weekend are not supplied or empty ([]).

DateFilter

Absolute

(Default) Returns all monthly 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 monthly dates that exist in oldfts. Some dates may be disregarded if BusDays = 1.

ED

0

(Default) The end-of-month date is the last day (or last business day) of the month.

1 - 31

Returns values on the specified end-of-month day. Months that do not contain the specified end-of-month day return the last day of the month instead (for example, ED = 31 does not exist for February).

If end-of-month falls on a NYSE non-business day or holiday, the previous business day is returned if BusDays = 1.

EndPtTol

[Begin, End]

Denotes the minimum number of days that constitute an odd month at the end points 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 month dates and data in calculations.

0    (Default) Include all odd month dates and data in calculations.

n   Number of days that constitute an odd month. If the minimum number of days is not met, the odd month dates and data are ignored.

The following diagram is a general depiction of the factors involved in the determination of end points for this function.

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].

Examples

expand all

Transform Time Series Object from Weekly to Monthly Values

This example shows how to transform a time series object from weekly to monthly values.

Load the data from the file predict_ret_data.mat and use the fints function to create a time series object with a weekly frequency.

load predict_ret_data.mat
x0 = fints(expdates, expdata, {'Metric'}, 'w', 'Index')
 
x0 = 
 
    desc:  Index
    freq:  Weekly (2)

    'dates:  (53)'    'Metric:  (53)'
    '01-Jan-1999'     [      97.8872]
    '08-Jan-1999'     [      97.0847]
    '15-Jan-1999'     [     109.6312]
    '22-Jan-1999'     [     105.5743]
    '29-Jan-1999'     [     108.4028]
    '05-Feb-1999'     [     134.4882]
    '12-Feb-1999'     [     117.5581]
    '19-Feb-1999'     [     106.6683]
    '26-Feb-1999'     [     118.2912]
    '05-Mar-1999'     [     105.6835]
    '12-Mar-1999'     [     128.5836]
    '19-Mar-1999'     [     115.1746]
    '26-Mar-1999'     [     131.2854]
    '02-Apr-1999'     [     130.7116]
    '09-Apr-1999'     [     123.1684]
    '16-Apr-1999'     [     107.2975]
    '23-Apr-1999'     [      91.5625]
    '30-Apr-1999'     [      78.5738]
    '07-May-1999'     [      65.2904]
    '14-May-1999'     [      70.8581]
    '21-May-1999'     [      72.4807]
    '28-May-1999'     [      72.9190]
    '04-Jun-1999'     [      64.3460]
    '11-Jun-1999'     [      59.8743]
    '18-Jun-1999'     [      55.0026]
    '25-Jun-1999'     [      49.4032]
    '02-Jul-1999'     [      49.9485]
    '09-Jul-1999'     [      47.8061]
    '16-Jul-1999'     [      61.0517]
    '23-Jul-1999'     [      58.9313]
    '30-Jul-1999'     [      53.9584]
    '06-Aug-1999'     [      44.8472]
    '13-Aug-1999'     [      45.0463]
    '20-Aug-1999'     [      45.1088]
    '27-Aug-1999'     [      56.4897]
    '03-Sep-1999'     [      61.2449]
    '10-Sep-1999'     [      58.1012]
    '17-Sep-1999'     [      50.8974]
    '24-Sep-1999'     [      46.5143]
    '01-Oct-1999'     [      38.0806]
    '08-Oct-1999'     [      33.6664]
    '15-Oct-1999'     [      34.2992]
    '22-Oct-1999'     [      33.4202]
    '29-Oct-1999'     [      36.9287]
    '05-Nov-1999'     [      35.1278]
    '12-Nov-1999'     [      41.8128]
    '19-Nov-1999'     [      35.8199]
    '26-Nov-1999'     [      36.9495]
    '03-Dec-1999'     [      36.2880]
    '10-Dec-1999'     [      33.8457]
    '17-Dec-1999'     [      33.3868]
    '24-Dec-1999'     [      32.7737]
    '31-Dec-1999'     [      28.5665]

Use tomonthly to obtain the monthly aggregate for the x0 times series.

x1 = tomonthly(x0)
 
x1 = 
 
    desc:  TOMONTHLY: Index
    freq:  Monthly (3)

    'dates:  (12)'    'Metric:  (12)'
    '29-Jan-1999'     [     108.4028]
    '26-Feb-1999'     [     118.2912]
    '31-Mar-1999'     [     131.2854]
    '30-Apr-1999'     [      78.5738]
    '28-May-1999'     [      72.9190]
    '30-Jun-1999'     [      49.4032]
    '30-Jul-1999'     [      53.9584]
    '31-Aug-1999'     [      56.4897]
    '30-Sep-1999'     [      46.5143]
    '29-Oct-1999'     [      36.9287]
    '30-Nov-1999'     [      36.9495]
    '31-Dec-1999'     [      28.5665]

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