Why does the cumulative sum of my financial time series change when I covert it from a daily to a monthly series in Financial Toolbox 3.6 (R2009a)?

I created a daily time series and converted it to monthly using the TOMONTHLY function with the 'cumsum' cumulative sum calculation method as follows:

fts2mat(tomonthly(fints(dates,data),'calcmethod','cumsum'))

I noticed that the sum of the monthly data is not equal to the sum of the daily data.

Answer 1

[MathWorks Support Team]

By default, the TOMONTHLY function skips non-business days. Therefore, values associated with non-business days are not included in the cumulative sum.

To include all days, add the 'BusDays' flag and set it to 0.

For example:

fts2mat(tomonthly(fints(dates,data),'calcmethod','cumsum','BusDays',0))