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Incremental return series from a tick price series
Syntax
Arguments
Description
tick2ret
computes the asset returns realized between NUMOBS
observations of prices of NASSETS
assets.
RetSeries
is a (NUMOBS-1
)-by-NASSETS
matrix of incremental return observations. The i'th return is quoted for the period TickTimes(i)
to TickTimes(i+1)
and is not scaled to a yearly return.
RetIntervals
is a (NUMOBS-1
)-by-1 vector of interval times between observations. If TickTimes
is not specified, all intervals are assumed to have length 1.
Examples
Compute the periodic returns of two stocks observed in the first, second, third, and fourth quarters.
TickSeries = [100 80 110 90 115 88 110 91]; TickTimes = [0 6 9 12]; [RetSeries, RetIntervals] = tick2ret(TickSeries, TickTimes) RetSeries = 0.1000 0.1250 0.0455 -0.0222 -0.0435 0.0341 RetIntervals = 6 3 3
See Also
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