Functions — Alphabetical List

Function Reference  Class Reference

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abs2active	Convert constraints from absolute to active format
AbstractPortfolio	Abstract portfolio object for portfolio optimization and analysis
accrfrac	Fraction of coupon period before settlement
acrubond	Accrued interest of security with periodic interest payments
acrudisc	Accrued interest of discount security paying at maturity
active2abs	Convert constraints from active to absolute format
addEquality
Portfolio method	Add linear equality constraints for portfolio weights to existing constraints
addGroupRatio
Portfolio method	Add group ratio constraints for portfolio weights to existing group ratio constraints
addGroups
Portfolio method	Add group constraints for portfolio weights to existing group constraints
addInequality
Portfolio method	Add linear inequality constraints for portfolio weights to existing constraints
adline	Accumulation/Distribution line
adosc	Accumulation/Distribution oscillator
amortize	Amortization schedule
annurate	Periodic interest rate of annuity
annuterm	Number of periods to obtain value
arith2geom	Arithmetic to geometric moments of asset returns
ascii2fts	Create financial time series object from ASCII data file
bar, barh	Bar chart
bar3, bar3h	3-D bar chart
beytbill	Bond equivalent yield for Treasury bill
binprice	Binomial put and call pricing
blkimpv	Implied volatility for futures options from Black's model
blkprice	Black's model for pricing futures options
blsdelta	Black-Scholes sensitivity to underlying price change
blsgamma	Black-Scholes sensitivity to underlying delta change
blsimpv	Black-Scholes implied volatility
blslambda	Black-Scholes elasticity
blsprice	Black-Scholes put and call option pricing
blsrho	Black-Scholes sensitivity to interest rate change
blstheta	Black-Scholes sensitivity to time-until-maturity change
blsvega	Black-Scholes sensitivity to underlying price volatility
bndconvp	Bond convexity given price
bndconvy	Bond convexity given yield
bnddurp	Bond duration given price
bnddury	Bond duration given yield
bndkrdur	Bond key rate duration given zero curve
bndprice	Price fixed income security from yield to maturity
bndspread	Static spread over spot curve
bndyield	Yield to maturity for fixed income security
bolling	Bollinger band chart
bollinger	Time series Bollinger band
boxcox	Box-Cox transformation
busdate	Next or previous business day
busdays	Business days in serial date format
candle	Candlestick chart
candle (fts)	Time series candle plot
cfamounts	Cash flow and time mapping for bond portfolio
cfconv	Cash flow convexity
cfdates	Cash flow dates for fixed-income security
cfdur	Cash-flow duration and modified duration
cfport	Portfolio form of cash flow amounts
cfprice	Compute price for cash flow given yield to maturity
cfspread	Compute spread over yield curve for cash flow
cftimes	Time factors corresponding to bond cash flow dates
cfyield	Compute yield to maturity for cash flow given price
chaikosc	Chaikin oscillator
chaikvolat	Chaikin volatility
chartfts	Interactive display
checkFeasibility
Portfolio method	Check feasibility of input portfolios against a portfolio object
chfield	Change data series name
convert2sur	Convert multivariate normal regression model to seemingly unrelated regression (SUR) model
convertto	Convert to specified frequency
corr2cov	Convert standard deviation and correlation to covariance
corrcoef	Correlation coefficients
cov	Covariance matrix
cov2corr	Convert covariance to standard deviation and correlation coefficient
cpncount	Coupon payments remaining until maturity
cpndaten	Next coupon date for fixed-income security
cpndatenq	Next quasi coupon date for fixed income security
cpndatep	Previous coupon date for fixed-income security
cpndatepq	Previous quasi coupon date for fixed income security
cpndaysn	Number of days to next coupon date
cpndaysp	Number of days since previous coupon date
cpnpersz	Number of days in coupon period
createholidays	Create trading calendars
cumsum	Cumulative sum
cur2frac	Decimal currency values to fractional values
cur2str	Bank-formatted text
date2time	Time and frequency from dates
dateaxis	Convert serial-date axis labels to calendar-date axis labels
datedisp	Display date entries
datefind	Indices of date numbers in matrix
datemnth	Date of day in future or past month
datenum	Create date number
datestr	Create date string
datevec	Date components
datewrkdy	Date of future or past workday
day	Day of month
days252bus	Number of business days between dates
days360	Days between dates based on 360-day year
days360e	Days between dates based on 360-day year (European)
days360isda	Days between dates based on 360-day year (International Swap Dealer Association (ISDA) compliant)
days360psa	Days between dates based on 360-day year (Public Securities Association (PSA) compliant)
days365	Days between dates based on 365-day year
daysact	Actual number of days between dates
daysadd	Date away from starting date for any day-count basis
daysdif	Days between dates for any day-count basis
dec2thirtytwo	Decimal to thirty-second quotation
depfixdb	Fixed declining-balance depreciation schedule
depgendb	General declining-balance depreciation schedule
deprdv	Remaining depreciable value
depsoyd	Sum of years' digits depreciation
depstln	Straight-line depreciation schedule
diff	Differencing
disc2zero	Zero curve given discount curve
discrate	Bank discount rate of money market security
ecmlsrmle	Least-squares regression with missing data
ecmlsrobj	Log-likelihood function for least-squares regression with missing data
ecmmvnrfish	Fisher information matrix for multivariate normal regression model
ecmmvnrmle	Multivariate normal regression with missing data
ecmmvnrobj	Log-likelihood function for multivariate normal regression with missing data
ecmmvnrstd	Evaluate standard errors for multivariate normal regression model
ecmnfish	Fisher information matrix
ecmnhess	Hessian of negative log-likelihood function
ecmninit	Initial mean and covariance
ecmnmle	Mean and covariance of incomplete multivariate normal data
ecmnobj	Multivariate normal negative log-likelihood function
ecmnstd	Standard errors for mean and covariance of incomplete data
effrr	Effective rate of return
elpm	Compute expected lower partial moments for normal asset returns
emaxdrawdown	Compute expected maximum drawdown for Brownian motion
end	Last date entry
eomdate	Last date of month
eomday	Last day of month
eq (fts)	Multiple financial times series object equality
estimateAssetMoments
Portfolio method	Estimate mean and covariance of asset returns from data
estimateBounds
Portfolio method	Estimate global lower and upper bounds for set of portfolios
estimateFrontier
Portfolio method	Estimate specified number of optimal portfolios over entire efficient frontier
estimateFrontierByReturn
Portfolio method	Estimate optimal portfolios with targeted portfolio returns
estimateFrontierByRisk
Portfolio method	Estimate optimal portfolios with targeted portfolio risks
estimateFrontierLimits
Portfolio method	Estimate optimal portfolios at endpoints of efficient frontier
estimateMaxSharpeRatio
Portfolio method	Estimate efficient portfolio to maximize Sharpe ratio
estimatePortMoments
Portfolio method	Estimate moments of portfolio returns
estimatePortReturn
Portfolio method	Estimate mean of portfolio returns (portfolio return)
estimatePortRisk
Portfolio method	Estimate standard deviation of portfolio returns (portfolio risk)
ewstats	Expected return and covariance from return time series
exp	Exponential values
extfield	Data series extraction
fbusdate	First business date of month
fetch	Data from financial time series object
fieldnames	Get names of fields
fillts	Fill missing values in time series
filter	Linear filtering
fints	Construct financial time series object
fpctkd	Fast stochastics
frac2cur	Fractional currency value to decimal value
freqnum	Convert string frequency indicator to numeric frequency indicator
freqstr	Convert numeric frequency indicator to string representation
frontcon	Mean-variance efficient frontier
frontier	Rolling efficient frontier
fts2ascii	Write elements of time-series data into ASCII file
fts2mat	Convert to matrix
ftsbound	Start and end dates
ftsgui	Financial time series GUI
ftsinfo	Financial time series object information
ftstool	Financial time series tool
ftsuniq	Determine uniqueness
fvdisc	Future value of discounted security
fvfix	Future value with fixed periodic payments
fvvar	Future value of varying cash flow
fwd2zero	Zero curve given forward curve
geom2arith	Geometric to arithmetic moments of asset returns
getAssetMoments
Portfolio method	Obtain mean and covariance of asset returns from portfolio object
getBounds
Portfolio method	Obtain bounds for portfolio weights from portfolio object
getBudget
Portfolio method	Obtain budget constraint bounds from portfolio object
getCosts
Portfolio method	Obtain buy and sell transaction costs from portfolio object
getEquality
Portfolio method	Obtain equality constraint arrays from portfolio object
getfield	Content of specific field
getGroupRatio
Portfolio method	Obtain group ratio constraint arrays from portfolio object
getGroups
Portfolio method	Obtain group constraint arrays from portfolio object
getInequality
Portfolio method	Obtain inequality constraint arrays from portfolio object
getnameidx	Find name in list
getOneWayTurnover
Portfolio method	Obtain one-way turnover constraints from portfolio object
hhigh	Highest high
highlow	High, low, open, close chart
highlow (fts)	Time series High-Low plot
hist	Histogram
holdings2weights	Portfolio holdings into weights
holidays	Holidays and nontrading days
horzcat	Concatenate financial time series objects horizontally
hour	Hour of date or time
inforatio	Calculate information ratio for one or more assets
irr	Internal rate of return
isbusday	True for dates that are business days
iscompatible	Structural equality
isempty	True for empty financial time series objects
isequal	Multiple object equality
isfield	Check whether string is field name
issorted	Check whether dates and times are monotonically increasing
kagi	Kagi chart
lagts	Lag time series object
lbusdate	Last business date of month
leadts	Lead time series object
length	Get number of dates (rows)
linebreak	Line break chart
llow	Lowest low
log	Natural logarithm
log10	Common logarithm
log2	Base 2 logarithm
lpm	Compute sample lower partial moments of data
lweekdate	Date of last occurrence of weekday in month
m2xdate	MATLAB serial date number to Excel serial date number
macd	Moving Average Convergence/Divergence (MACD)
max	Maximum value
maxdrawdown	Compute maximum drawdown for one or more price series
mean	Arithmetic average
medprice	Median price
merge	Merge multiple financial time series objects
min	Minimum value
minus	Financial time series subtraction
minute	Minute of date or time
mirr	Modified internal rate of return
month	Month of date
months	Number of whole months between dates
movavg	Leading and lagging moving averages chart
mrdivide	Financial time series matrix division
mtimes	Financial time series matrix multiplication
mvnrfish	Fisher information matrix for multivariate normal or least-squares regression
mvnrmle	Multivariate normal regression (ignore missing data)
mvnrobj	Log-likelihood function for multivariate normal regression without missing data
mvnrstd	Evaluate standard errors for multivariate normal regression model
nancov	Covariance ignoring NaNs
nanmax	Maximum ignoring NaNs
nanmean	Mean ignoring NaNs
nanmedian	Median ignoring NaNs
nanmin	Minimum ignoring NaNs
nanstd	Standard deviation ignoring NaNs
nansum	Sum ignoring NaNs
nanvar	Variance ignoring NaNs
negvolidx	Negative volume index
nomrr	Nominal rate of return
now	Current date and time
nweekdate	Date of specific occurrence of weekday in month
nyseclosures	New York Stock Exchange closures from 1885 to 2050
onbalvol	On-Balance Volume (OBV)
opprofit	Option profit
payadv	Periodic payment given number of advance payments
payodd	Payment of loan or annuity with odd first period
payper	Periodic payment of loan or annuity
payuni	Uniform payment equal to varying cash flow
pcalims	Linear inequalities for individual asset allocation
pcgcomp	Linear inequalities for asset group comparison constraints
pcglims	Linear inequalities for asset group minimum and maximum allocation
pcpval	Linear inequalities for fixing total portfolio value
peravg	Periodic average of FINTS object
periodicreturns	Periodic total returns from total return prices
plot	Plot data series
plotFrontier
Portfolio method	Plot efficient frontier
plus	Financial time series addition
pointfig	Point and figure chart
portalloc	Optimal capital allocation to efficient frontier portfolios
portalpha	Compute risk-adjusted alphas and returns for one or more assets
portcons	Portfolio constraints
Portfolio	Portfolio object for mean-variance portfolio optimization and analysis
portopt	Portfolios on constrained efficient frontier
portrand	Randomized portfolio risks, returns, and weights
portror	Portfolio expected rate of return
portsim	Monte Carlo simulation of correlated asset returns
portstats	Portfolio expected return and risk
portvar	Variance for portfolio of assets
portvrisk	Portfolio value at risk (VaR)
posvolidx	Positive volume index
power	Financial time series power
prbyzero	Price bonds in portfolio by set of zero curves
prcroc	Price rate of change
prdisc	Price of discounted security
priceandvol	Price and volume chart
prmat	Price with interest at maturity
prtbill	Price of Treasury bill
pvfix	Present value with fixed periodic payments
pvtrend	Price and Volume Trend (PVT)
pvvar	Present value of varying cash flow
pyld2zero	Zero curve given par yield curve
rdivide	Financial time series division
renko	Renko chart
resamplets	Downsample data
ret2tick	Convert return series to price series
ret2tick (fts)	Convert return series to price series for time series object
rmfield	Remove data series
rsindex	Relative Strength Index (RSI)
second	Seconds of date or time
selectreturn	Portfolio configurations from 3-D efficient frontier
setAssetList
Portfolio method	Set up list of identifiers for assets
setAssetMoments
Portfolio method	Set moments (mean and covariance) of asset returns
setBounds
Portfolio method	Set up bounds for portfolio weights
setBudget
Portfolio method	Set up budget constraints
setCosts
Portfolio method	Set up proportional transaction costs
setDefaultConstraints
Portfolio method	Set up portfolio constraints with nonnegative weights that must sum to 1
setEquality
Portfolio method	Set up linear equality constraints for portfolio weights
setfield	Set content of specific field
setGroupRatio
Portfolio method	Set up group ratio constraints for portfolio weights
setGroups
Portfolio method	Set up group constraints for portfolio weights
setInequality
Portfolio method	Set up linear inequality constraints for portfolio weights
setInitPort
Portfolio method	Set up initial or current portfolio
setOneWayTurnover
Portfolio method	Set up one-way portfolio turnover constraints
setOptions
Portfolio method	Set hidden properties in portfolio object
setSolver
Portfolio method	Choose main solver and specify associated solver options for portfolio optimization
setTurnover
Portfolio method	Set up maximum portfolio turnover constraint
sharpe	Compute Sharpe ratio for one or more assets
size	Number of dates and data series
smoothts	Smooth data
sortfts	Sort financial time series
spctkd	Slow stochastics
std	Standard deviation
stochosc	Stochastic oscillator
subsasgn	Content assignment
subsref	Subscripted reference
targetreturn	Portfolio weight accuracy
taxedrr	After-tax rate of return
tbl2bond	Treasury bond parameters given Treasury bill parameters
thirdwednesday	Find third Wednesday of month
thirtytwo2dec	Thirty-second quotation to decimal
tick2ret	Convert price series to return series
tick2ret (fts)	Convert price series to return series for time series object
time2date	Dates from time and frequency
times	Financial time series multiplication
toannual	Convert to annual
todaily	Convert to daily
today	Current date
todecimal	Fractional to decimal conversion
tomonthly	Convert to monthly
toquarterly	Convert to quarterly
toquoted	Decimal to fractional conversion
tosemi	Convert to semiannual
totalreturnprice	Total return price time series
toweekly	Convert to weekly
tr2bonds	Term-structure parameters given Treasury bond parameters
transprob	Estimation of transition probabilities from credit ratings data
transprobbytotals	Estimate transition probabilities using totals structure input
transprobfromthresholds	Convert from credit quality thresholds to transition probabilities
transprobgrouptotals	Aggregate credit ratings information into fewer rating categories
transprobprep	Preprocess credit ratings data to estimate transition probabilities
transprobtothresholds	Convert from transition probabilities to credit quality thresholds
tsaccel	Acceleration between times
tsmom	Momentum between times
tsmovavg	Moving average
typprice	Typical price
ugarch	Univariate GARCH(P,Q) parameter estimation with Gaussian innovations
ugarchllf	Log-likelihood objective function of univariate GARCH(P,Q) processes with Gaussian innovations
ugarchpred	Forecast conditional variance of univariate GARCH(P,Q) processes
ugarchsim	Simulate univariate GARCH(P,Q) process with Gaussian innovations
uicalendar	Graphical calendar
uminus	Unary minus of financial time series object
uplus	Unary plus of financial time series object
var	Variance
vertcat	Concatenate financial time series objects vertically
volarea	Price and volume chart
volroc	Volume rate of change
wclose	Weighted close
weekday	Day of week
weeknum	Week in a year
weights2holdings	Portfolio values and weights into holdings
willad	Williams Accumulation/Distribution line
willpctr	Williams %R
wrkdydif	Number of working days between dates
x2mdate	Excel serial date number to MATLAB serial date number
xirr	Internal rate of return for nonperiodic cash flow
year	Year of date
yeardays	Number of days in year
yearfrac	Fraction of year between dates
ylddisc	Yield of discounted security
yldmat	Yield with interest at maturity
yldtbill	Yield of Treasury bill
zbtprice	Zero curve bootstrapping from coupon bond data given price
zbtyield	Zero curve bootstrapping from coupon bond data given yield
zero2disc	Discount curve given zero curve
zero2fwd	Forward curve given zero curve
zero2pyld	Par yield curve given zero curve

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