function dfdb_port_opt(varargin)
% DF_PORT_OPT Datafeed Portfolio Optimizer - Graphical User Interface.
% DF_PORT_OPT imports security time series data from Yahoo or a database,
% plots it, and then computes the efficient frontier of a portfolio made up of
% the securities.
%
% Selecting Data Inport Method
% ------------------------------------------------------------------------------
% Pull down the File menu, select Preferences, then Data Source. Once inside
% Data Source, select either Datafeed or Database.
%
% Importing Time Series Data
% ------------------------------------------------------------------------------
% Type the symbols of securities you wish to use in the editable text box,
% labeled "Enter Symbols Separated by Commas." Enter as many securities as you
% wish. Symbols need to be separated by commas.
%
% Example:
% ibm,msft,csco
%
% If using the Datafeed option:
% Select a starting date for the time series to be imported. If on a PC, an
% ActiveX calendar may be brought up to view and select a date. The time series
% ends with the yesterday's closing price.
%
% If using the Database option:
% Use the "Select Data" window to select the Data Source and fields from the
% database. Clicking the "Apply" button will send the Date and Asset choices
% for importing.
%
% The database option does not allow setting the startdate. Also, database set
% up to work with this tool is DFDBsample. The time series date range stored in
% DFDBsample is from January 2, 1997 to December 8, 2000.
%
% To import the time series data and plot it, press the button labeled,
% "Get Time Series."
%
% To Scale the time series data to one, select the checkbox labelled "Scale
% Time Series."
%
% Plotting Efficient Frontier
% ------------------------------------------------------------------------------
% Press the button, "Generate Frontier." Make sure that the data has been loaded
% before attempting to generate the frontier.
%
% Find the Security Distribution Given a Desired Rate of Return or Risk
% ------------------------------------------------------------------------------
% Enter the desired rate of return or desired risk in the appropriate editable
% text box. The number entered needs to be within the upper and lower bounds
% shown in red. The fraction of each security in your portfolio needed to reach
% the desired rate of return or risk will then be shown underneath. This can
% also be done graphically by dragging the green lines along the efficient
% frontier.
%
% Note: The default rate of return shown is one that minimizes risk.
%
% Toolboxes Needed: Financial, Optimization, Database, Datafeed
% Author: Brian Kiernan
setdbprefs('DataReturnFormat', 'cellarray');
if nargin == 0
call = 'Setup';
shh = get(0,'ShowHiddenHandles');
set(0,'ShowHiddenHandles','on')
F1 = findobj(0,'tag','dfdbportopt');
set(0,'ShowHiddenHandles',shh);
if ~isempty(F1)
figure(F1)
return
end
else
call = varargin{1};
end
if ~ispref('DFDBpref','datainput')
setpref('DFDBpref','datainput','df')
end
if ~ispref('DFDBpref','scaling')
setpref('DFDBpref','scaling','on')
end
persistent cal
switch call
case 'Setup'
% Create GUI
screenRect = get(0,'screensize');
F1=hgload('mymenufile.fig');
fpos = get(F1,'pos');
set(F1,'pos',[20 screenRect(4)-fpos(4)-50 fpos(3) fpos(4)],'defaultaxesunits','norm', ...
'defaultuicontrolunits','norm','defaultuicontrolfontsize',9,'defaulttextfontsize',9, ...
'defaulttextcolor','b','menubar','none','numbertitle','off','name', ...
'Data Input Portfolio Optimization','tag','dfdbportopt','closerequestfcn', ...
'dfdb_port_opt(''Closecall'')');
prefmenu = uimenu(F1,'label','&Preferences','separator','on');
datasourcemenu = uimenu(prefmenu,'label','&Data Source');
dataf=uimenu(datasourcemenu,'label','datafeed','tag','dfmen','callback', ...
'setpref(''DFDBpref'',''datainput'',''df''); dfdb_port_opt(''Datasource'');');
datab=uimenu(datasourcemenu,'label','database','tag','dbmen','callback', ...
'setpref(''DFDBpref'',''datainput'',''db''); dfdb_port_opt(''Datasource'')');
pref = getpref('DFDBpref','datainput');
if strcmp(pref,'df')
set(findobj(gcf,'tag','dfmen'),'checked','on')
set(findobj(gcf,'tag','dbmen'),'checked','off')
elseif strcmp(pref,'db')
set(findobj(gcf,'tag','dbmen'),'checked','on')
set(findobj(gcf,'tag','dfmen'),'checked','off')
end
helpmenu = uimenu(F1,'label','Help');
toolhelp = uimenu(helpmenu,'label','&DFDB_Port_Opt Help','callback', ...
'dfdb_port_opt(''Helppage'')');
symlookup = uimenu(helpmenu,'label','Symbol Lookup','callback','dfdb_port_opt(''Yahoosym'')');
% C = yahoo;
% if ~isconnection(C)
% set(symlookup,'enable','off')
% end
% clear C
closemenu = uimenu(findobj(F1,'label','&File'),'label','Close', ...
'callback','dfdb_port_opt(''Closecall'')');
Tseries = axes('pos',[.4 .57 .52 .39],'tag','tsax');
set(Tseries,'xtick',0:.2:1,'ytick',0:.2:1);
set(gca,'fontsize',8,'xticklabel','','yticklabel','')
xlabel('Time')
ylabel('Price')
title('Time Series','color','k')
grid on
Effront = axes('units','norm','pos',[.4 .07 .52 .39],'tag','efax');
set(Effront,'xtick',0:.2:1,'ytick',0:.2:1);
set(gca,'fontsize',8,'xticklabel','','yticklabel','')
xlabel('Volatility (\sigma)')
ylabel('Rate of Return')
title('Efficient Frontier','color','k')
grid on
axes(Tseries)
Symbolprompt = uicontrol('style','text','pos',[.01 .95 .33 .03],'fontsize',9, ...
'string','Enter Symbols Separated by Commas','backgroundcolor',[.8 .8 .8], ...
'foregroundcolor','b','tag','symp');
Symbols = uicontrol('style','edit','string','','pos',[.02 .9 .18 .04], ...
'horizontalalignment','left','backgroundcolor','w','tag','symstr');
Dscall = uicontrol('pos',[.21 .9 .12 .04],'string','Select Data','tag','dsbut', ...
'callback','dfdb_port_opt(''SelectData'')');
% Starting date of time series
axes(Tseries)
Startdateprompt = uicontrol('style','text','pos',[.05 .8 .25 .03],'fontsize',9, ...
'string','Enter Starting Date (m/d/yyyy)','backgroundcolor',[.8 .8 .8], ...
'foregroundcolor','b','tag','sdp');
if ispc
Startdatecal = uicontrol('string','View Calendar','pos',[.045 .73 .13 .05], ...
'callback','dfdb_port_opt(''Calendar'')','tag','calbut');
Startdatebox = uicontrol('style','edit','string','','pos',[.185 .735 .12 .04], ...
'backgroundcolor','w','tag','sdstr','callback','dfdb_port_opt(''Datecheck'')');
if isequal(getpref('DFDBpref','datainput'),'db')
set(Startdatecal,'enable','off')
end
else
Startdatebox = uicontrol('style','edit','string','','pos',[.09 .753 .12 .04], ...
'backgroundcolor','w','tag','sdstr');
end
if isequal(getpref('DFDBpref','datainput'),'db')
set(Startdateprompt,'enable','off')
set(Startdatebox,'string','1/2/1997','enable','off')
else
set(Dscall,'enable','off')
end
% scale time series checkbox
TSscale = uicontrol('style','check','string','Scale Time Series','pos',[.09 .66 .18 .02], ...
'backgroundcolor',[.8 .8 .8],'callback','dfdb_port_opt(''ScaleTS'')','tag','scalechk', ...
'foregroundcolor','b');
if strcmp(getpref('DFDBpref','scaling'),'on') == 1
set(TSscale,'value',1)
else
set(TSscale,'value',0)
end
% time series generator button
TScall = uicontrol('string','Get Time Series','pos',[.07 .57 .2 .05], ...
'callback','dfdb_port_opt(''GetData'')','tag','tsbut');
% efficient frontier generator button
Frontiercall = uicontrol('string','Generate Frontier','pos',[.07 .41 .2 .05], ...
'callback','dfdb_port_opt(''EffFront'')','tag','efbut','enable','off');
% Rate of Return
axes(Effront);
Rateofreturnprompt = uicontrol('style','text','pos',[.005 .37 .13 .03],'string', ...
'Rate of Return','foregroundcolor','b','backgroundcolor',[.8 .8 .8],'tag', ...
'rorp','enable','off');
Rateofreturn = uicontrol('style','edit','string','','pos',[.03 .33 .08 .04], ...
'callback','dfdb_port_opt(''WeightCalcRoR'')','backgroundcolor','w','tag','rorstr', ...
'enable','off');
Riskprompt = uicontrol('style','text','pos',[.235 .37 .05 .03],'string', ...
'Risk','foregroundcolor','b','backgroundcolor',[.8 .8 .8],'tag', ...
'riskp','enable','off');
Risk = uicontrol('style','edit','string','','pos',[.22 .33 .08 .04], ...
'callback','dfdb_port_opt(''WeightCalcRisk'')','backgroundcolor','w','tag','riskstr', ...
'enable','off');
% Securites list with corresponding weights
Securtext = uicontrol('style','text','backgroundcolor',[.8 .8 .8],'foregroundcolor',[.66 0 .11], ...
'pos',[.06 .295 .1 .028],'string','Securites','fontsize',9,'tag','securtxt','enable','off');
Securweights = uicontrol('style','text','backgroundcolor',[.8 .8 .8],'foregroundcolor',[.66 0 .11], ...
'pos',[.17 .295 .1 .028],'string','Weights','fontsize',9,'tag','securwts','enable','off');
set(F1,'handlevis','callback');
pref = getpref('DFDBpref','datainput');
if strcmp(pref,'db')
dfdb_port_opt('SelectData','start')
end
case 'Datecheck'
% check for correct date format
Startdatebox = findobj(gcf,'tag','sdstr');
startdate = get(Startdatebox,'string');
slash = find(startdate == '/');
if length(startdate(slash(end)+1:end)) ~= 4
err = errordlg('Invalid Date','Enter Starting Date');
set(err,'windowstyle','modal')
return
end
try
datenum(startdate);
catch
err = errordlg('Invalid Date','Enter Starting Date');
set(err,'windowstyle','modal')
return
end
case 'GetData'
% Retrieve time series from the Yahoo server or from local database.
% clear plots and data from of earlier runs
%%%%%%%%%%
Tseries = findobj(gcf,'tag','tsax');
Effront = findobj(gcf,'tag','efax');
axes(Effront)
cla(Effront)
axes(Tseries)
cla(Tseries)
drawnow
Rateofreturn = findobj(gcf,'tag','rorstr');
Rateofreturnprompt = findobj(gcf,'tag','rorp');
Risk = findobj(gcf,'tag','riskstr');
Riskprompt = findobj(gcf,'tag','riskp');
Frontiercall = findobj(gcf,'tag','efbut');
Securtext = findobj(gcf,'tag','securtxt');
Securweights = findobj(gcf,'tag','securwts');
WtText = findobj(gcf,'tag','wttxt');
WtWeight = findobj(gcf,'tag','wtwt');
leg = findobj(gcf,'tag','legend');
Frontleg = findobj(gcf,'tag','frleg');
set(Rateofreturn,'string','')
set(Risk,'string','')
delete(WtText)
delete(WtWeight)
delete(leg)
delete(Frontleg)
clear WtText WtWeight leg Frontleg
drawnow
%%%%%%%%%
pref=getpref('DFDBpref','datainput');
% try
% Read in time series data for entered symbols and separate
%%%%%%%%%
Symbols = findobj(gcf,'tag','symstr');
Strings = get(Symbols,'string');
wtspace = find(Strings == ' ');
Strings(wtspace) = [];
commas = find(Strings == ',');
commas = [0, commas, length(Strings)+1];
symcell = cell(length(commas)-1,1);
data = cell(length(symcell),1);
for i=1:length(commas)-1
symcell{i}=Strings(commas(i)+1:commas(i+1)-1);
end
%%%%%%%%%
Startdatebox = findobj(gcf,'tag','sdstr');
% test for data source
if strcmp(pref,'df')
%
% Datafeed data input option
%
try
C=yahoo;
catch
err = errordlg('Connection to Yahoo Failed','Datafeed Connection');
set(err,'windowstyle','modal')
return
end
setappdata(Tseries,'Connection',C);
yesterday = datestr(datenum(date)-1);
startdate = get(Startdatebox,'string');
if isempty(get(Symbols,'string'))
err = errordlg('First enter symbols','Get Time Series');
set(err,'windowstyle','modal')
return
end
if isempty(startdate)
err = errordlg('First enter starting date.','Get Time Series');
set(err,'windowstyle','modal')
return
end
quitcase = 'no';
Wtbardf = waitbar(0,'Retrieving Data From Yahoo');
for i=1:length(symcell)
try
data{i} = fetch(C,symcell(i),'Close',startdate,yesterday);
catch
err = errordlg('Invalid Symbol','Symbol Selection');
set(err,'windowstyle','modal')
quitcase = 'yes';
break
end
waitbar(i/length(symcell),Wtbardf)
end
close(Wtbardf)
if strcmp(quitcase,'yes')
return
end
% Preprocess data for plotting
maxlength = max(cellfun('length',data));
for i=1:length(data)
if length(data{i}(:,1)) == maxlength
timevector = data{i}(:,1);
break
end
end
pricearray = ones(maxlength,length(data));
for k=1:length(data)
if cellfun('length',data(k)) == maxlength
pricearray(:,k) = data{k}(:,2);
else
pricearray(:,k) = [data{k}(:,2);NaN*ones(diff([cellfun('length',data(k)),maxlength]),1)];
end
end
else
%
% database data input option
%
% try
conn = getappdata(Symbols,'connection');
if isempty('conn')
err = errordlg('First Select Data Source','Get Time Series');
set(err,'windowstyle','modal')
return
end
% conn = getappdata(Symbols,'connection');
dates = getappdata(Symbols,'dates');
tablelist = getappdata(Symbols,'Tables');
% conn = database('DFDBsample','','');
cursorA=exec(conn,['select ',dates,' from ', tablelist{1}]);
% cursorA=exec(conn,['select ',dates,' from ', tablelist]);
cursorA=fetch(cursorA);
Dates=cursorA.data;
% Dates=datenum(Dates);
Wtbardb = waitbar(0,'Retrieving Data From Database');
for j=1:length(symcell)
selectstring = ['select ',symcell{j},' from ', tablelist{1}];
cursor = exec(conn,selectstring);
cursor = fetch(cursor);
data{j} = cursor.data;
waitbar(i/length(symcell),Wtbardb)
end
close(Wtbardb)
timevector = cat(1,Dates{:});
pricearray = ones(length(Dates),length(data));
for k = 1:length(data)
for m=1:length(data{k})
pricearray(m,k)=data{k}{m};
end
end
startdate = [];
% catch
% err = errordlg('Invalid Date and/or Asset','Get Time Series');
% set(err,'windowstyle','modal')
% return
% end
end
% Plot time series
axes(Tseries)
hold off
if strcmp(getpref('DFDBpref','scaling'),'off') == 1
plot(timevector,pricearray)
xlabel('Time','fontsize',8)
ylabel('Price','fontsize',8)
title('Time Series','color','k')
set(Tseries,'tag','tsax')
dateaxis('x',12);
leg = legend(symcell,2);
set(leg,'tag','legend')
grid on
else
[m,n]=size(pricearray);
scaledpricearray = ones(size(pricearray));
pref=getpref('DFDBpref','datainput');
if strcmp(pref,'db') == 1
for i = 1:n
scaledpricearray(:,i) = pricearray(:,i)./pricearray(1,i);
end
else
indivprices = ones(m,1);
for i = 1:n
indivprices = pricearray(:,i);
scaledpricearray(:,i) = pricearray(:,i)./indivprices(max(find(~isnan(indivprices))));
end
clear indivprices
end
axes(Tseries)
hold off
plot(timevector,scaledpricearray)
xlabel('Time','fontsize',8)
ylabel('Worth of $1 Invested','fontsize',8)
title('Time Series','color','k')
set(Tseries,'tag','tsax')
dateaxis('x',12);
leg = legend(symcell,2);
set(leg,'tag','legend')
grid on
end
% Set appdata to be used later in the code
setappdata(Effront,'data',data);
setappdata(Effront,'symcell',symcell);
setappdata(Tseries,'TickTimes',timevector);
setappdata(Tseries,'TickSeries',pricearray);
setappdata(Tseries,'SymCell',symcell);
setappdata(Startdatebox,'startdate',startdate);
set(Rateofreturn,'enable','on')
set(Rateofreturnprompt,'enable','on')
set(Risk,'enable','on')
set(Riskprompt,'enable','on')
set(Frontiercall,'enable','on')
set(Securtext,'enable','on')
set(Securweights,'enable','on')
axes(Effront)
percent = text('units','norm','pos',[-.55 .72 0],'string','%','color','b');
sigma = text('units','norm','pos',[-.18 .72 0],'string','\sigma','color','b');
% catch
% err = errordlg('Invalid Symbol','Symbol Selection');
% set(err,'windowstyle','modal')
% return
% end
case 'ScaleTS'
Tseries = findobj(gcf,'tag','tsax');
timevector = getappdata(Tseries,'TickTimes');
pricearray = getappdata(Tseries,'TickSeries');
symcell = getappdata(Tseries,'SymCell');
TSscale = findobj(gcf,'tag','scalechk');
if get(TSscale,'value') == 1
setpref('DFDBpref','scaling','on')
[m,n]=size(pricearray);
scaledpricearray = ones(size(pricearray));
pref=getpref('DFDBpref','datainput');
if strcmp(pref,'db') == 1
for i = 1:n
scaledpricearray(:,i) = pricearray(:,i)./pricearray(1,i);
end
else
indivprices = ones(m,1);
for i = 1:n
indivprices = pricearray(:,i);
scaledpricearray(:,i) = pricearray(:,i)./indivprices(max(find(~isnan(indivprices))));
end
clear indivprices
end
axes(Tseries)
hold off
plot(timevector,scaledpricearray)
xlabel('Time','fontsize',8)
ylabel('Worth of $1 Invested','fontsize',8)
title('Time Series','color','k')
set(Tseries,'tag','tsax')
dateaxis('x',12);
leg = legend(symcell,2);
set(leg,'tag','legend')
grid on
else
setpref('DFDBpref','scaling','off')
axes(Tseries)
hold off
plot(timevector,pricearray)
xlabel('Time','fontsize',8)
ylabel('Price','fontsize',8)
title('Time Series','color','k')
set(Tseries,'tag','tsax')
dateaxis('x',12);
leg = legend(symcell,2);
set(leg,'tag','legend')
grid on
end
case 'EffFront'
% Calculate and plot efficient frontier of a portfolio of given securities
Effront=findobj(gcf,'tag','efax');
tempdat = getappdata(Effront);
Tseries = findobj(gcf,'tag','tsax');
symcell = tempdat.symcell;
data = tempdat.data;
warning off
% check for time series data first
if isempty(data)
err = errordlg('Get time series first');
set(err,'windowstyle','modal')
return
end
% test for Data Source
if isequal(getpref('DFDBpref','datainput'),'df') % Datafeed scenario
% Put times and prices of securities into the order of oldest to most recent,
% and make the length of all time series (TS) vectors equal to the TS length
% of the security with the minimum amount of data.
%%%%%%%%
secur=cell(1,length(data));
for i=1:length(data)
secur{i} = data{i}(:,2);
end
lengths = cellfun('length',data);
minlength = min(lengths);
maxlength = max(lengths);
for i=1:length(data)
if length(data{i}(:,1)) == minlength
[TickTimes, index]=sort(data{i}(:,1));
break
end
end
for k=1:length(data)
empty = rem(lengths(k),minlength);
if empty ~= 0
secur{k}(1:empty) = [];
end
secur{k} = secur{k}(index);
end
%%%%%%%%%
TickSeries = ones(length(secur{1}),length(data));
for j=1:length(data)
TickSeries(:,j) = secur{j};
end
else %Database scenario
TickSeries = getappdata(Tseries,'TickSeries');
TickTimes = getappdata(Tseries,'TickTimes');
end
% Generate expected return of each security and the covariance matrix
RetSeries=tick2ret(TickSeries, TickTimes);
[ExpReturn, ExpCovariance]=ewstats(RetSeries);
% Convert daily rate of return to annual by
% assuming number of business days per year is 253
ExpReturn=ExpReturn*253;
% Generate Efficient Frontier
[PortRisk,PortReturn,PortWts]=portopt(ExpReturn,ExpCovariance,30);
axes(Effront)
frontierline = plot(PortRisk,PortReturn,'tag','frontline');
xlabel('Volatility (\sigma)','fontsize',8)
ylabel('Annual Rate of Return (%)','fontsize',8)
% ticks = get(gca,'yticklabel');
% nticks=num2str(100*str2num(ticks));
% set(gca,'yticklabel',nticks)
title('Efficient Frontier','color','k')
grid on
% Display rate of return corresponding to minimun risk, and place weights of
% each security needed to reach that rate next to the security name.
%%%%%%%%%
[MinRisk,idx] = min(PortRisk);
RoR = PortReturn(idx);
Rateofreturn = findobj(gcf,'tag','rorstr');
Risk = findobj(gcf,'tag','riskstr');
maxRoR = max(PortReturn);
minRoR = min(PortReturn);
maxRisk = max(PortRisk);
minRisk = min(PortRisk);
plotrisk = minRisk + 0.5*(maxRisk - minRisk);
plotror = interp1(PortRisk,PortReturn,plotrisk);
set(Rateofreturn,'string',sprintf('%1.2f',100*plotror));
set(Risk,'string',sprintf('%1.4f',plotrisk));
PortReturn = round(PortReturn*10000)/10000;
% PortWts = str2num(sprintf('%1.4f',PortWts));
% PortRisk = str2num(sprintf('%1.4f',PortRisk));
setappdata(Rateofreturn,'PortReturn',PortReturn);
setappdata(Rateofreturn,'PortWts',PortWts);
setappdata(Rateofreturn,'PortRisk',PortRisk);
Securtext = findobj(gcf,'tag','securtxt');
Securweights = findobj(gcf,'tag','securwts');
Securtextpos = get(Securtext,'pos');
Securweightspos = get(Securweights,'pos');
WtText = findobj(gcf,'tag','wttxt');
WtWeight = findobj(gcf,'tag','wtwt');
delete(WtText)
delete(WtWeight)
clear WtText WtWeight
for i=1:length(data)
WtText(i) = uicontrol('style','text','pos',[Securtextpos(1) Securtextpos(2)-.03*i .1 .03], ...
'string',symcell(i),'backgroundcolor',[.8 .8 .8],'tag','wttxt');
WtWeight(i) = uicontrol('style','text','pos',[Securweightspos(1) Securweightspos(2)-.03*i .1 .03], ...
'string',sprintf('%1.4f',PortWts(idx,i)),'backgroundcolor',[.8 .8 .8],'tag','wtwt');
end
%%%%%%%%%%
% Display maximum and minimum possible rates of return and plot red line
% corresponding to these values
hold on
xaxislims = get(gca,'xlim');
yaxislims = get(gca,'ylim');
plot(xaxislims,[maxRoR maxRoR],'r--',xaxislims,[minRoR minRoR],'r--','linewidth',.1)
plot([minRisk,minRisk],yaxislims,'r--',[maxRisk, maxRisk],yaxislims,'r--','linewidth',.1)
set(gca,'xlim',xaxislims)
set(gca,'ylim',yaxislims)
ticks = get(gca,'yticklabel');
nticks=num2str(100*str2num(ticks));
set(gca,'yticklabel',nticks)
maxRoRtxt = text(xaxislims(2),maxRoR,[' ',sprintf('%1.2f',100*maxRoR)],'color','r', ...
'tag','mxRotxt');
minRoRtxt = text(xaxislims(2),minRoR,[' ',sprintf('%1.2f',100*minRoR)],'color','r', ...
'tag','mnRotxt');
minRisktxt = text(minRisk,yaxislims(1) - 0.12*diff(yaxislims),sprintf('%1.4f',minRisk), ...
'tag','mnRitxt','color','r');
maxRisktxt = text(maxRisk,yaxislims(1) - 0.12*diff(yaxislims),sprintf('%1.4f',maxRisk), ...
'tag','mxRitxt','color','r');
vert = plot([plotrisk plotrisk],[yaxislims(1) plotror],'g','tag','vertlin','ButtonDownFcn', ...
'dfdb_port_opt(''Animatevline'',''start'')','erasemode','xor','linewidth',2);
horz = plot([xaxislims(1),plotrisk],[plotror plotror],'g','tag','horzlin','ButtonDownFcn', ...
'dfdb_port_opt(''Animatehline'',''start'')','erasemode','xor','linewidth',2);
Frontleg = legend('Frontier','Min/Max Risk/Return',2);
set(Frontleg,'tag','frleg');
hold off
set(Effront,'tag','efax')
percent = text('units','norm','pos',[-.55 .72 0],'string','%','color','b');
sigma = text('units','norm','pos',[-.18 .72 0],'string','\sigma','color','b');
if length(data) > 10
err = errordlg('Warning: Only 10 asset weights can be viewed','Generate Frontier');
set(err,'windowstyle','modal')
end
case 'Animatevline'
F1 = findobj('tag','dfdbportopt');
Rateofreturn = findobj(gcf,'tag','rorstr');
Risk = findobj(gcf,'tag','riskstr');
vert = findobj(gcf,'tag','vertlin');
horz = findobj(gcf,'tag','horzlin');
frontierline = findobj(gcf,'tag','frontline');
x = get(frontierline,'xdata');
y = get(frontierline,'ydata');
xaxislims = get(gca,'xlim');
yaxislims = get(gca,'ylim');
switch varargin{2}
case 'start'
set(F1,'WindowButtonMotionFcn','dfdb_port_opt(''Animatevline'',''move'')')
set(F1,'WindowButtonUpFcn','dfdb_port_opt(''Animatevline'',''stop'')')
case 'move'
currPt = get(gca,'CurrentPoint');
if currPt(1,1) - min(x) < -0.000001
currPt(1,1) = min(x);
end
if currPt(1,1) - max(x) > 0.000001
currPt(1,1) = max(x);
end
newRisk = currPt(1,1);
newRoR = interp1(x,y,currPt(1,1));
set(vert,'xdata',[newRisk newRisk],'ydata',[yaxislims(1) newRoR],'tag','vertlin','linewidth',2)
set(horz,'xdata',[xaxislims(1) newRisk],'ydata',[newRoR newRoR],'tag','horzlin','linewidth',2)
set(Rateofreturn,'string',sprintf('%1.2f',100*newRoR));
set(Risk,'string',sprintf('%1.4f',newRisk));
case 'stop'
set(F1,'WindowButtonMotionFcn','')
set(F1,'WindowButtonUpFcn','')
dfdb_port_opt('WeightCalcRoR')
end
case 'Animatehline'
F1 = findobj('tag','dfdbportopt');
Rateofreturn = findobj(gcf,'tag','rorstr');
Risk = findobj(gcf,'tag','riskstr');
vert = findobj(gcf,'tag','vertlin');
horz = findobj(gcf,'tag','horzlin');
frontierline = findobj(gcf,'tag','frontline');
x = get(frontierline,'xdata');
y = get(frontierline,'ydata');
xaxislims = get(gca,'xlim');
yaxislims = get(gca,'ylim');
switch varargin{2}
case 'start'
set(F1,'WindowButtonMotionFcn','dfdb_port_opt(''Animatehline'',''move'')')
set(F1,'WindowButtonUpFcn','dfdb_port_opt(''Animatehline'',''stop'')')
case 'move'
currPt = get(gca,'CurrentPoint');
if currPt(1,2) - y(find(x==min(x))) < -0.000001
currPt(1,2) = y(find(x==min(x)));
end
if currPt(1,2) - y(find(x==max(x))) > 0.000001
currPt(1,2) = y(find(x==max(x)));
end
newRoR = currPt(1,2);
newRisk = interp1(y,x,currPt(1,2));
set(vert,'xdata',[newRisk newRisk],'ydata',[yaxislims(1) newRoR],'tag','vertlin','linewidth',2)
set(horz,'xdata',[xaxislims(1) newRisk],'ydata',[newRoR newRoR],'tag','horzlin','linewidth',2)
set(Rateofreturn,'string',sprintf('%1.2f',100*newRoR));
set(Risk,'string',sprintf('%1.4f',newRisk));
case 'stop'
set(F1,'WindowButtonMotionFcn','')
set(F1,'WindowButtonUpFcn','')
dfdb_port_opt('WeightCalcRoR')
end
case 'WeightCalcRoR'
% Find and display the fraction of each asset needed to reach a desired
% rate of return of a portfolio of the entered assets.
Rateofreturn = findobj(gcf,'tag','rorstr');
Risk = findobj(gcf,'tag','riskstr');
Effront=findobj(gcf,'tag','efax');
Frontleg = findobj(gcf,'tag','frleg');
minRoRtxt = findobj(gcf,'tag','mnRotxt');
maxRoRtxt = findobj(gcf,'tag','mxRotxt');
if isempty(findobj(Effront,'type','line'))
err = errordlg('First generate frontier','Rate of Return');
set(err,'windowstyle','modal')
set(Rateofreturn','string','')
return
end
% Keep weights from displaying as NANs and keep green lines on plot
desiredRoR=str2num(get(Rateofreturn,'string'))/100;
F1 = findobj(0,'tag','dfdbportopt');
Portdata = getappdata(Rateofreturn);
if (isequal([' ',num2str(desiredRoR*100)],get(minRoRtxt,'string'))) & (desiredRoR < min(Portdata.PortReturn))
desiredRoR = min(Portdata.PortReturn);
end
if (isequal([' ',num2str(desiredRoR*100)],get(maxRoRtxt,'string'))) & (desiredRoR > max(Portdata.PortReturn))
desiredRoR = max(Portdata.PortReturn);
end
if (desiredRoR - max(Portdata.PortReturn) > 0.000001) | (desiredRoR - min(Portdata.PortReturn) < -0.000001)
err = errordlg('Desired return is outside the range of possible values.');
set(err,'windowstyle','modal')
return
end
weights = interp1(Portdata.PortReturn,Portdata.PortWts,desiredRoR);
risk = interp1(Portdata.PortReturn,Portdata.PortRisk,desiredRoR);
set(Risk,'string',sprintf('%1.4f',risk));
WtWeight=sort(findobj(gcf,'tag','wtwt'));
for i=1:length(weights)
set(WtWeight(i),'string',sprintf('%1.4f',weights(i)));
end
axes(Effront)
RRlines = findobj(gcf,'type','line','color','g');
hold on
delete(RRlines)
clear RRlines
xaxislims = get(gca,'xlim');
yaxislims = get(gca,'ylim');
vert = plot([risk risk],[yaxislims(1) desiredRoR],'g','tag','vertlin','ButtonDownFcn', ...
'dfdb_port_opt(''Animatevline'',''start'')','erasemode','xor','linewidth',2);
horz = plot([xaxislims(1),risk],[desiredRoR desiredRoR],'g','tag','horzlin','ButtonDownFcn', ...
'dfdb_port_opt(''Animatehline'',''start'')','erasemode','xor','linewidth',2);
hold off
axes(Frontleg)
set(Effront,'tag','efax')
case 'WeightCalcRisk'
% Find and display the fraction of each asset needed to assume a desired
% risk given the entered assets.
Rateofreturn = findobj(gcf,'tag','rorstr');
Risk = findobj(gcf,'tag','riskstr');
Effront=findobj(gcf,'tag','efax');
Frontleg = findobj(gcf,'tag','frleg');
minRisktxt = findobj(gcf,'tag','mnRitxt');
maxRisktxt = findobj(gcf,'tag','mxRitxt');
if isempty(findobj(Effront,'type','line'))
err = errordlg('First generate frontier','Risk');
set(err,'windowstyle','modal')
set(Rateofreturn','string','')
return
end
desiredRisk=str2num(get(Risk,'string'));
F1 = findobj(0,'tag','dfdbportopt');
Portdata = getappdata(Rateofreturn);
if (isequal(num2str(desiredRisk),get(minRisktxt,'string'))) & (desiredRisk < min(Portdata.PortRisk))
desiredRisk = min(Portdata.PortRisk);
end
if (isequal(num2str(desiredRisk),get(maxRisktxt,'string'))) & (desiredRisk > max(Portdata.PortRisk))
desiredRisk = max(Portdata.PortRisk);
end
if (desiredRisk - max(Portdata.PortRisk) > 0.000001) | (desiredRisk - min(Portdata.PortRisk) < -0.000001)
err = errordlg('Desired return is outside the range of possible values.');
set(err,'windowstyle','modal')
return
end
weights = interp1(Portdata.PortRisk,Portdata.PortWts,desiredRisk);
RoR = interp1(Portdata.PortRisk,Portdata.PortReturn,desiredRisk);
set(Rateofreturn,'string',sprintf('%1.2f',100*RoR));
WtWeight=sort(findobj(gcf,'tag','wtwt'));
for i=1:length(weights)
set(WtWeight(i),'string',sprintf('%1.4f',weights(i)));
end
axes(Effront)
RRlines = findobj(gcf,'type','line','color','g');
hold on
delete(RRlines)
clear RRlines
xaxislims = get(gca,'xlim');
yaxislims = get(gca,'ylim');
vert = plot([desiredRisk desiredRisk],[yaxislims(1) RoR],'g','tag','vertlin','ButtonDownFcn', ...
'dfdb_port_opt(''Animatevline'',''start'')','erasemode','xor','linewidth',2);
horz = plot([xaxislims(1),desiredRisk],[RoR RoR],'g','tag','horzlin','ButtonDownFcn', ...
'dfdb_port_opt(''Animatehline'',''start'')','erasemode','xor','linewidth',2);
hold off
axes(Frontleg)
set(Effront,'tag','efax')
case 'Calendar'
% Bring up an ActiveX calendar to view and select a starting date for time series
if ~exist('cal') | isempty(cal)
F1 = findobj(0,'tag','dfdbportopt');
mainfigpos = get(F1,'pos');
calfig=figure('pos',[mainfigpos(1)+300 mainfigpos(2)+300 200 185],'menubar','none', ...
'name','Calendar','numbertitle','off','tag','calenfig','closerequestfcn', ...
'dfdb_port_opt(''Calclosereqfcn'')');
cal=actxcontrol('MSCAL.Calendar.7',[0 35 200 150],calfig);
drawnow
set(cal,'showtitle',0);
OKbut = uicontrol('pos',[6 4 93 27],'string','OK','callback','dfdb_port_opt(''CalClose'')');
Cancelbut = uicontrol('pos',[104 4 93 27],'string','Cancel','callback', ...
'dfdb_port_opt(''Calcancel'')');
else
calfig = findobj(0,'tag','calenfig');
figure(calfig)
end
case 'Calcancel'
delete(get(0,'CurrentFigure'));
clear cal
case 'CalClose'
% Close ActiveX calendar
F1 = findobj(0,'tag','dfdbportopt');
Startdatebox = findobj(F1,'tag','sdstr');
if get(cal,'day') == 0
close(findobj('tag','calenfig'))
err = errordlg('A day has to be selected','Date Selection');
close(findobj(0,'tag','calenfig'))
clear cal
dfdb_port_opt('Calendar')
set(err,'windowstyle','modal')
figure(err)
else
m = get(cal,'month');
y = get(cal,'year');
d = get(cal,'day');
startdate = [num2str(double(m)),'/',num2str(double(d)),'/',num2str(double(y))];
%startdate = get(cal,'value');
if datenum(startdate) > datenum(date)-2
err = errordlg('Starting Date must be at least two days ago.','Date Selection');
close(findobj(0,'tag','calenfig'))
clear cal
dfdb_port_opt('Calendar')
set(err,'windowstyle','modal')
figure(err)
else
set(Startdatebox,'string',startdate);
close(findobj('tag','calenfig'))
clear cal
end
end
setappdata(Startdatebox,'startdate',startdate);
case 'Calclosereqfcn'
shh = get(0,'ShowHiddenHandles');
set(0,'ShowHiddenHandles','on');
currFig = get(0,'CurrentFigure');
set(0,'ShowHiddenHandles',shh);
clear cal
delete(currFig);
case 'Helppage'
% Open help page for DFDB_PORT_OPT in the MATLAB Help Browser
HelpPath = which('dfdbportopthelp.html');
web(HelpPath);
case 'Yahoosym'
% Open the Yahoo symbol lookup web page in the MATLAB Help Browser
web('http://finance.yahoo.com/l');
case 'Closecall'
% Close function of DFDB_PORT_OPT figure
FF1 = findobj('type','figure','tag','calenfig');
shh=get(0,'ShowHiddenHandles');
set(0,'ShowHiddenHandles','on');
currFig=get(0,'CurrentFigure');
datafigure = findobj('type','figure','tag','datfig');
set(0,'ShowHiddenHandles',shh);
% if isruntime
if 0
FF1 = findobj('type','figure','tag','calenfig');
if ishandle(FF1)
delete(FF1)
end
if ishandle(datafigure)
delete(datafigure)
end
delete(currFig)
quit force
else
if ishandle(FF1)
delete(FF1)
end
if ishandle(datafigure)
delete(datafigure)
end
delete(currFig);
clear datafigure FF1 currFig
end
case 'Datasource'
% Date Source preferences menu code.
pref = getpref('DFDBpref','datainput');
Startdatecal = findobj(gcf,'tag','calbut');
Startdatebox = findobj(gcf,'tag','sdstr');
Startdateprompt = findobj(gcf,'tag','sdp');
DScall = findobj(gcf,'tag','dsbut');
Symbols = findobj(gcf,'tag','symstr');
datafigure = findobj('type','fig','tag','datfig');
if strcmp(pref,'df')
set(findobj(gcf,'tag','dfmen'),'checked','on')
set(findobj(gcf,'tag','dbmen'),'checked','off')
set(Startdatecal,'enable','on')
set(Startdateprompt,'enable','on')
set(Startdatebox,'enable','on','string','')
set(DScall,'enable','off')
set(Symbols,'string','')
if ishandle(datafigure)
delete(datafigure)
end
clear datafigure
elseif strcmp(pref,'db')
set(findobj(gcf,'tag','dbmen'),'checked','on')
set(findobj(gcf,'tag','dfmen'),'checked','off')
set(Startdatecal,'enable','off')
set(Startdateprompt,'enable','off')
set(Startdatebox,'string','01/02/97','enable','off')
set(DScall,'enable','on')
dfdb_port_opt('SelectData','start')
set(Symbols,'string','')
end
if isequal(getpref('DFDBpref','datainput'),'db')
end
case 'SelectData'
datas = getdatasources;
if nargin == 1 | (nargin > 1 & strcmp(varargin{2},'start'))
option = 'start';
shh = get(0,'ShowHiddenHandles');
set(0,'ShowHiddenHandles','on')
datafigure = findobj(0,'tag','datfig');
set(0,'ShowHiddenHandles',shh);
if ~isempty(datafigure)
figure(datafigure)
return
end
else
option = varargin{2};
end
F1=findobj('type','fig','tag','dfdbportopt');
switch option
case 'start'
datafigure = figure('name','Select Data','numbertitle','off','tag','datfig','menubar','none');
frame = uicontrol('style','frame','units','norm','pos',[.05 .12 .9 .82]);
DBselectprompt = uicontrol('style','text','units','norm','pos',[.07 .905 .28 .03],'string', ...
'Data Sources','foregroundcolor','b','fontsize',10);
DBlist=uicontrol('style','list','units','norm','pos',[.07 .14 .28 .76],'tag','dblist','max',1000, ...
'min',1,'string',datas,'backgroundcolor','w','callback','dfdb_port_opt(''SelectData'',''DBselect'')');
Tableprompt = uicontrol('style','text','units','norm','pos',[.36 .905 .28 .03],'string', ...
'Tables','foregroundcolor','b','fontsize',10);
Tablelist = uicontrol('style','list','units','norm','tag','tables','pos',[.36 .14 .28 .76], ...
'max',1000,'min',1,'callback','dfdb_port_opt(''SelectData'',''Tableselect'')','backgroundcolor','w');
Fieldprompt = uicontrol('style','text','units','norm','pos',[.65 .905 .28 .03],'string', ...
'Assets','foregroundcolor','b','fontsize',10);
Fieldlist = uicontrol('style','list','units','norm','pos',[.65 .14 .28 .76],'max',1000,'min', ...
1,'tag','fields','backgroundcolor','w','callback','dfdb_port_opt(''SelectData'',''Fieldselect'')');
Assettext = uicontrol('style','text','units','norm','pos',[.3 .005 .35 .052],'string', ...
'Send Symbols for Importing -->','fontsize',10,'backgroundcolor',[.8 .8 .8], ...
'foregroundcolor','b');
Applybut = uicontrol('string','Apply','units','norm','pos',[.65 .01 .3 .06], ...
'callback','dfdb_port_opt(''SelectData'',''Sendsymbols'')','fontsize',10);
set(datafigure,'handlevis','callback');
case 'DBselect'
DBlist = findobj(gcf,'tag','dblist');
Tablelist = findobj(gcf,'tag','tables');
Fieldlist = findobj(gcf,'tag','fields');
Symbols = findobj(F1,'tag','symstr');
dbnum = get(DBlist,'value');
selectedDB = datas{dbnum};
setappdata(DBlist,'database',selectedDB);
if ~isequal(selectedDB,'DFDBsample')
err = errordlg('Invalid Data Source','Source Selection');
set(err,'windowstyle','modal')
return
end
% conn = getappdata(Symbols,'connection');
if exist('conn')
close(conn)
clear conn
end
conn = database(selectedDB,'','');
Symbols = findobj(F1,'tag','symstr');
setappdata(Symbols,'connection',conn);
%setappdata(Tablelist,'connection',conn);
d = dmd(conn);
ctg = get(conn,'Catalog');
tinfo = tables(d,ctg,'');
tableType = tinfo(:,2);
tableName = tinfo(:,1);
%Table types of TABLE are desired tables
i = find(~(strcmp({'SYSTEM TABLE'},tableType) | ...
strcmp({'SYNONYM'},tableType)));
tbllist = tableName(i);
set(Tablelist,'string',tbllist,'value',[]);
set(Fieldlist,'string','');
case 'Tableselect'
Fieldlist = findobj(gcf,'tag','fields');
Tablelist = findobj(gcf,'tag','tables');
Symbols = findobj(F1,'tag','symstr');
conn = getappdata(Symbols,'connection');
%Get selected tables
tval = get(Tablelist,'value');
tbllist = get(Tablelist,'string');
tablez = tbllist(tval);
setappdata(Symbols,'Tables',tablez);
%Get metadata of connection and get column names
d = dmd(conn);
L = length(tablez);
fields = {};
for i = 1:L
table = tablez{i}; %Columns method returns more info, but is much slower
ex = exec(conn,['select * from ' table]);
ex = fetch(ex,1);
tmp = columnnames(ex);
eval(['tabfields = {' tmp '};'])
close(ex);
%Prepend tablename if JOIN operation
if length(tval) > 1
for j = 1:length(tabfields)
tabfields{j} = [table '.' tabfields{j}];
end
fields = [fields;tabfields'];
else
fields = tabfields';
end
end
fields(1)=[];
%Display fieldnames
set(Fieldlist,'String',fields,'value',[]);
case 'Fieldselect'
Fieldlist = findobj(gcf,'tag','fields');
Tablelist = findobj(gcf,'tag','tables');
Symbols = findobj(F1,'tag','symstr');
fields = get(Fieldlist,'string');
fval = get(Fieldlist,'value');
fieldcell = fields(fval);
fieldstr = fieldcell{1};
for i=2:length(fieldcell)
fieldstr=[fieldstr,', ',fieldcell{i}];
end
setappdata(Fieldlist,'symbols',fieldstr);
setappdata(Fieldlist,'symbolcell',fieldcell);
case 'Sendsymbols'
Symbols = findobj(F1,'tag','symstr');
Fieldlist = findobj(gcf,'tag','fields');
DBlist = findobj(gcf,'tag','dblist');
selectedDB = getappdata(DBlist,'database');
fieldcell = getappdata(Fieldlist,'symbolcell');
assets = getappdata(Fieldlist,'symbols');
if isempty(assets)
err = errordlg('No assets selected','Send symbols for Importing');
set(err,'windowstyle','modal')
return
end
dates = 'TS_Dates';
set(Symbols,'string',assets)
setappdata(Symbols,'dates',dates)
figure(F1)
end
otherwise
err = error('Invalid input argument. DFDB_PORT_OPT takes no inputs.');
set(err,'windowstyle','modal')
end
