Financial Toolbox

ret2tick

Price tick series from incremental returns and initial price

Syntax

• [TickSeries, TickTimes] = ret2tick(RetSeries, StartPrice, 
  RetIntervals, StartTime)
  

Arguments

RetSeries	Number of observations (NUMOBS) by number of assets (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.
StartPrice	(Optional) 1-by-NASSETS vector of initial asset prices. Prices start at 1 if StartPrice is not specified.
RetIntervals	(Optional) Scalar or NUMOBS-by-1 vector of interval times between observations. If not specified, all intervals are assumed to have length 1.
StartTime	(Optional) Starting time for first observation.

Description

ret2tick generates price values from the starting prices of NASSETS investments and NUMOBS incremental return observations.

TickSeries is a NUMOBS+1-by-NASSETS matrix of prices of equity assets. The first row is the starting price of the assets.

TickTimes is a NUMOBS+1-by-1 vector of tick observation times. The initial time is zero unless specified in StartTime.

Examples

Compute the price increase of two stocks over a year's time based on three incremental return observations.

• RetSeries = [0.10 0.12
               0.05 0.04
              -0.05 0.05];
  
  RetIntervals = [182 
                   91
                   92];
  
  StartTime = datenum('18-Dec-2000');
  
  [TickSeries,TickTimes] = ret2tick(RetSeries,[],RetIntervals,... 
  StartTime)
  
  TickSeries =
  
      1.0000    1.0000
      1.1000    1.1200
      1.1550    1.1648
      1.0973    1.2230
  
  TickTimes =
  
        730838
        731020
        731111
        731203
  
  datestr(TickTimes)
  
  ans =
  
  18-Dec-2000
  18-Jun-2001
  17-Sep-2001
  18-Dec-2001
  

See Also

portsim, tick2ret

pyld2zero

second