todaily

Convert to daily

todaily is not recommended. Use convert2daily instead.

Syntax

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

Arguments

oldfts

Financial time series object

Description

newfts = todaily(oldfts) converts a financial time series of any frequency to a daily frequency. todaily 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 todaily trigger the use of the defaults.

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

Parameter Name	Parameter Value	Description
CalcMethod	Exact	Returns the value at specific dates/times. No data manipulation occurs.
CalcMethod	v21x	This mode is compatible with previous versions of this function (Version 2.1.x and earlier). It returns a five-day business week that starts on Monday and ends on Friday.
Note If you set CalcMethod to v21x, settings for all the following parameter name/parameter value pairs are not supported.
BusDays	0	Generates a financial time series that ranges from (or between) the first date to the last date in oldfts (includes NYSE nonbusiness days and holidays).
BusDays	1	(Default) Generates a daily 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). NYSE market closures, holidays, and weekends are observed if AltHolidays and Weekend are not supplied or empty ([]).
DateFilter	Absolute	(Default) Displays all daily 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 appear in the output time series object.
DateFilter	Relative	Displays only dates that exist in oldfts. Some dates may be disregarded if BusDays = 1.
TimeSpec	First	Returns only the observation that occurs at the first (earliest) time for a specific date.
TimeSpec	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.
AltHolidays	-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

Transform Time Series Object from Weekly to Daily 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')

Warning: FINTS is not recommended. Use TIMETABLE instead. For more information, see <a href="matlab:web(fullfile(docroot, 'finance/convert-from-fints-to-timetables.html'))">Convert Financial Time Series Objects (fints) to Timetables</a>.

 
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 todaily to obtain the daily aggregate for the x0 times series.

x1 = todaily(x0)

Warning: FINTS is not recommended. Use convert2daily instead.

 
x1 = 
 
    desc:  TODAILY: Index
    freq:  Daily (1)

    {'dates:  (252)'}    {'Metric:  (252)'}
    {'04-Jan-1999'  }    {[           NaN]}
    {'05-Jan-1999'  }    {[           NaN]}
    {'06-Jan-1999'  }    {[           NaN]}
    {'07-Jan-1999'  }    {[           NaN]}
    {'08-Jan-1999'  }    {[       97.0847]}
    {'11-Jan-1999'  }    {[           NaN]}
    {'12-Jan-1999'  }    {[           NaN]}
    {'13-Jan-1999'  }    {[           NaN]}
    {'14-Jan-1999'  }    {[           NaN]}
    {'15-Jan-1999'  }    {[      109.6312]}
    {'19-Jan-1999'  }    {[           NaN]}
    {'20-Jan-1999'  }    {[           NaN]}
    {'21-Jan-1999'  }    {[           NaN]}
    {'22-Jan-1999'  }    {[      105.5743]}
    {'25-Jan-1999'  }    {[           NaN]}
    {'26-Jan-1999'  }    {[           NaN]}
    {'27-Jan-1999'  }    {[           NaN]}
    {'28-Jan-1999'  }    {[           NaN]}
    {'29-Jan-1999'  }    {[      108.4028]}
    {'01-Feb-1999'  }    {[           NaN]}
    {'02-Feb-1999'  }    {[           NaN]}
    {'03-Feb-1999'  }    {[           NaN]}
    {'04-Feb-1999'  }    {[           NaN]}
    {'05-Feb-1999'  }    {[      134.4882]}
    {'08-Feb-1999'  }    {[           NaN]}
    {'09-Feb-1999'  }    {[           NaN]}
    {'10-Feb-1999'  }    {[           NaN]}
    {'11-Feb-1999'  }    {[           NaN]}
    {'12-Feb-1999'  }    {[      117.5581]}
    {'16-Feb-1999'  }    {[           NaN]}
    {'17-Feb-1999'  }    {[           NaN]}
    {'18-Feb-1999'  }    {[           NaN]}
    {'19-Feb-1999'  }    {[      106.6683]}
    {'22-Feb-1999'  }    {[           NaN]}
    {'23-Feb-1999'  }    {[           NaN]}
    {'24-Feb-1999'  }    {[           NaN]}
    {'25-Feb-1999'  }    {[           NaN]}
    {'26-Feb-1999'  }    {[      118.2912]}
    {'01-Mar-1999'  }    {[           NaN]}
    {'02-Mar-1999'  }    {[           NaN]}
    {'03-Mar-1999'  }    {[           NaN]}
    {'04-Mar-1999'  }    {[           NaN]}
    {'05-Mar-1999'  }    {[      105.6835]}
    {'08-Mar-1999'  }    {[           NaN]}
    {'09-Mar-1999'  }    {[           NaN]}
    {'10-Mar-1999'  }    {[           NaN]}
    {'11-Mar-1999'  }    {[           NaN]}
    {'12-Mar-1999'  }    {[      128.5836]}
    {'15-Mar-1999'  }    {[           NaN]}
    {'16-Mar-1999'  }    {[           NaN]}
    {'17-Mar-1999'  }    {[           NaN]}
    {'18-Mar-1999'  }    {[           NaN]}
    {'19-Mar-1999'  }    {[      115.1746]}
    {'22-Mar-1999'  }    {[           NaN]}
    {'23-Mar-1999'  }    {[           NaN]}
    {'24-Mar-1999'  }    {[           NaN]}
    {'25-Mar-1999'  }    {[           NaN]}
    {'26-Mar-1999'  }    {[      131.2854]}
    {'29-Mar-1999'  }    {[           NaN]}
    {'30-Mar-1999'  }    {[           NaN]}
    {'31-Mar-1999'  }    {[           NaN]}
    {'01-Apr-1999'  }    {[           NaN]}
    {'05-Apr-1999'  }    {[           NaN]}
    {'06-Apr-1999'  }    {[           NaN]}
    {'07-Apr-1999'  }    {[           NaN]}
    {'08-Apr-1999'  }    {[           NaN]}
    {'09-Apr-1999'  }    {[      123.1684]}
    {'12-Apr-1999'  }    {[           NaN]}
    {'13-Apr-1999'  }    {[           NaN]}
    {'14-Apr-1999'  }    {[           NaN]}
    {'15-Apr-1999'  }    {[           NaN]}
    {'16-Apr-1999'  }    {[      107.2975]}
    {'19-Apr-1999'  }    {[           NaN]}
    {'20-Apr-1999'  }    {[           NaN]}
    {'21-Apr-1999'  }    {[           NaN]}
    {'22-Apr-1999'  }    {[           NaN]}
    {'23-Apr-1999'  }    {[       91.5625]}
    {'26-Apr-1999'  }    {[           NaN]}
    {'27-Apr-1999'  }    {[           NaN]}
    {'28-Apr-1999'  }    {[           NaN]}
    {'29-Apr-1999'  }    {[           NaN]}
    {'30-Apr-1999'  }    {[       78.5738]}
    {'03-May-1999'  }    {[           NaN]}
    {'04-May-1999'  }    {[           NaN]}
    {'05-May-1999'  }    {[           NaN]}
    {'06-May-1999'  }    {[           NaN]}
    {'07-May-1999'  }    {[       65.2904]}
    {'10-May-1999'  }    {[           NaN]}
    {'11-May-1999'  }    {[           NaN]}
    {'12-May-1999'  }    {[           NaN]}
    {'13-May-1999'  }    {[           NaN]}
    {'14-May-1999'  }    {[       70.8581]}
    {'17-May-1999'  }    {[           NaN]}
    {'18-May-1999'  }    {[           NaN]}
    {'19-May-1999'  }    {[           NaN]}
    {'20-May-1999'  }    {[           NaN]}
    {'21-May-1999'  }    {[       72.4807]}
    {'24-May-1999'  }    {[           NaN]}
    {'25-May-1999'  }    {[           NaN]}
    {'26-May-1999'  }    {[           NaN]}
    {'27-May-1999'  }    {[           NaN]}
    {'28-May-1999'  }    {[       72.9190]}
    {'01-Jun-1999'  }    {[           NaN]}
    {'02-Jun-1999'  }    {[           NaN]}
    {'03-Jun-1999'  }    {[           NaN]}
    {'04-Jun-1999'  }    {[       64.3460]}
    {'07-Jun-1999'  }    {[           NaN]}
    {'08-Jun-1999'  }    {[           NaN]}
    {'09-Jun-1999'  }    {[           NaN]}
    {'10-Jun-1999'  }    {[           NaN]}
    {'11-Jun-1999'  }    {[       59.8743]}
    {'14-Jun-1999'  }    {[           NaN]}
    {'15-Jun-1999'  }    {[           NaN]}
    {'16-Jun-1999'  }    {[           NaN]}
    {'17-Jun-1999'  }    {[           NaN]}
    {'18-Jun-1999'  }    {[       55.0026]}
    {'21-Jun-1999'  }    {[           NaN]}
    {'22-Jun-1999'  }    {[           NaN]}
    {'23-Jun-1999'  }    {[           NaN]}
    {'24-Jun-1999'  }    {[           NaN]}
    {'25-Jun-1999'  }    {[       49.4032]}
    {'28-Jun-1999'  }    {[           NaN]}
    {'29-Jun-1999'  }    {[           NaN]}
    {'30-Jun-1999'  }    {[           NaN]}
    {'01-Jul-1999'  }    {[           NaN]}
    {'02-Jul-1999'  }    {[       49.9485]}
    {'06-Jul-1999'  }    {[           NaN]}
    {'07-Jul-1999'  }    {[           NaN]}
    {'08-Jul-1999'  }    {[           NaN]}
    {'09-Jul-1999'  }    {[       47.8061]}
    {'12-Jul-1999'  }    {[           NaN]}
    {'13-Jul-1999'  }    {[           NaN]}
    {'14-Jul-1999'  }    {[           NaN]}
    {'15-Jul-1999'  }    {[           NaN]}
    {'16-Jul-1999'  }    {[       61.0517]}
    {'19-Jul-1999'  }    {[           NaN]}
    {'20-Jul-1999'  }    {[           NaN]}
    {'21-Jul-1999'  }    {[           NaN]}
    {'22-Jul-1999'  }    {[           NaN]}
    {'23-Jul-1999'  }    {[       58.9313]}
    {'26-Jul-1999'  }    {[           NaN]}
    {'27-Jul-1999'  }    {[           NaN]}
    {'28-Jul-1999'  }    {[           NaN]}
    {'29-Jul-1999'  }    {[           NaN]}
    {'30-Jul-1999'  }    {[       53.9584]}
    {'02-Aug-1999'  }    {[           NaN]}
    {'03-Aug-1999'  }    {[           NaN]}
    {'04-Aug-1999'  }    {[           NaN]}
    {'05-Aug-1999'  }    {[           NaN]}
    {'06-Aug-1999'  }    {[       44.8472]}
    {'09-Aug-1999'  }    {[           NaN]}
    {'10-Aug-1999'  }    {[           NaN]}
    {'11-Aug-1999'  }    {[           NaN]}
    {'12-Aug-1999'  }    {[           NaN]}
    {'13-Aug-1999'  }    {[       45.0463]}
    {'16-Aug-1999'  }    {[           NaN]}
    {'17-Aug-1999'  }    {[           NaN]}
    {'18-Aug-1999'  }    {[           NaN]}
    {'19-Aug-1999'  }    {[           NaN]}
    {'20-Aug-1999'  }    {[       45.1088]}
    {'23-Aug-1999'  }    {[           NaN]}
    {'24-Aug-1999'  }    {[           NaN]}
    {'25-Aug-1999'  }    {[           NaN]}
    {'26-Aug-1999'  }    {[           NaN]}
    {'27-Aug-1999'  }    {[       56.4897]}
    {'30-Aug-1999'  }    {[           NaN]}
    {'31-Aug-1999'  }    {[           NaN]}
    {'01-Sep-1999'  }    {[           NaN]}
    {'02-Sep-1999'  }    {[           NaN]}
    {'03-Sep-1999'  }    {[       61.2449]}
    {'07-Sep-1999'  }    {[           NaN]}
    {'08-Sep-1999'  }    {[           NaN]}
    {'09-Sep-1999'  }    {[           NaN]}
    {'10-Sep-1999'  }    {[       58.1012]}
    {'13-Sep-1999'  }    {[           NaN]}
    {'14-Sep-1999'  }    {[           NaN]}
    {'15-Sep-1999'  }    {[           NaN]}
    {'16-Sep-1999'  }    {[           NaN]}
    {'17-Sep-1999'  }    {[       50.8974]}
    {'20-Sep-1999'  }    {[           NaN]}
    {'21-Sep-1999'  }    {[           NaN]}
    {'22-Sep-1999'  }    {[           NaN]}
    {'23-Sep-1999'  }    {[           NaN]}
    {'24-Sep-1999'  }    {[       46.5143]}
    {'27-Sep-1999'  }    {[           NaN]}
    {'28-Sep-1999'  }    {[           NaN]}
    {'29-Sep-1999'  }    {[           NaN]}
    {'30-Sep-1999'  }    {[           NaN]}
    {'01-Oct-1999'  }    {[       38.0806]}
    {'04-Oct-1999'  }    {[           NaN]}
    {'05-Oct-1999'  }    {[           NaN]}
    {'06-Oct-1999'  }    {[           NaN]}
    {'07-Oct-1999'  }    {[           NaN]}
    {'08-Oct-1999'  }    {[       33.6664]}
    {'11-Oct-1999'  }    {[           NaN]}
    {'12-Oct-1999'  }    {[           NaN]}
    {'13-Oct-1999'  }    {[           NaN]}
    {'14-Oct-1999'  }    {[           NaN]}
    {'15-Oct-1999'  }    {[       34.2992]}
    {'18-Oct-1999'  }    {[           NaN]}
    {'19-Oct-1999'  }    {[           NaN]}
    {'20-Oct-1999'  }    {[           NaN]}
    {'21-Oct-1999'  }    {[           NaN]}
    {'22-Oct-1999'  }    {[       33.4202]}
    {'25-Oct-1999'  }    {[           NaN]}
    {'26-Oct-1999'  }    {[           NaN]}
    {'27-Oct-1999'  }    {[           NaN]}
    {'28-Oct-1999'  }    {[           NaN]}
    {'29-Oct-1999'  }    {[       36.9287]}
    {'01-Nov-1999'  }    {[           NaN]}
    {'02-Nov-1999'  }    {[           NaN]}
    {'03-Nov-1999'  }    {[           NaN]}
    {'04-Nov-1999'  }    {[           NaN]}
    {'05-Nov-1999'  }    {[       35.1278]}
    {'08-Nov-1999'  }    {[           NaN]}
    {'09-Nov-1999'  }    {[           NaN]}
    {'10-Nov-1999'  }    {[           NaN]}
    {'11-Nov-1999'  }    {[           NaN]}
    {'12-Nov-1999'  }    {[       41.8128]}
    {'15-Nov-1999'  }    {[           NaN]}
    {'16-Nov-1999'  }    {[           NaN]}
    {'17-Nov-1999'  }    {[           NaN]}
    {'18-Nov-1999'  }    {[           NaN]}
    {'19-Nov-1999'  }    {[       35.8199]}
    {'22-Nov-1999'  }    {[           NaN]}
    {'23-Nov-1999'  }    {[           NaN]}
    {'24-Nov-1999'  }    {[           NaN]}
    {'26-Nov-1999'  }    {[       36.9495]}
    {'29-Nov-1999'  }    {[           NaN]}
    {'30-Nov-1999'  }    {[           NaN]}
    {'01-Dec-1999'  }    {[           NaN]}
    {'02-Dec-1999'  }    {[           NaN]}
    {'03-Dec-1999'  }    {[       36.2880]}
    {'06-Dec-1999'  }    {[           NaN]}
    {'07-Dec-1999'  }    {[           NaN]}
    {'08-Dec-1999'  }    {[           NaN]}
    {'09-Dec-1999'  }    {[           NaN]}
    {'10-Dec-1999'  }    {[       33.8457]}
    {'13-Dec-1999'  }    {[           NaN]}
    {'14-Dec-1999'  }    {[           NaN]}
    {'15-Dec-1999'  }    {[           NaN]}
    {'16-Dec-1999'  }    {[           NaN]}
    {'17-Dec-1999'  }    {[       33.3868]}
    {'20-Dec-1999'  }    {[           NaN]}
    {'21-Dec-1999'  }    {[           NaN]}
    {'22-Dec-1999'  }    {[           NaN]}
    {'23-Dec-1999'  }    {[           NaN]}
    {'27-Dec-1999'  }    {[           NaN]}
    {'28-Dec-1999'  }    {[           NaN]}
    {'29-Dec-1999'  }    {[           NaN]}
    {'30-Dec-1999'  }    {[           NaN]}
    {'31-Dec-1999'  }    {[       28.5665]}