ret2tick (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.

`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