Financial Time Series Toolbox

Financial Time Series Object Structure

A financial time series object always contains three component names: desc (description field), freq (frequency indicator field), and dates (date vector). If you build the object using the constructor fints, the default value for the description field is a blank string (''). If you build the object from a text data file using ascii2fts, the default is the name of the text data file. The default for the frequency indicator field is 0 (Unknown frequency). Objects created from operations may default the setting to 0. For example, if you decide to pick out values selectively from an object, the frequency of the new object may not be the same as that of object from which it came.

The date vector dates does not have a default set of values. When you create an object, you have to supply the date vector. You can change the date vector afterwards but, at object creation time, you must provide a set of dates.

The final component of a financial time series object is one or more data series vectors. If you do not supply a name for the data series, the default name is series1. If you have multiple data series in an object and do not supply the names, the default is the name series followed by a number, for example, series1, series2, and series3.

Working with Financial Time Series Objects

Data Extraction