Financial Time Series

Data Extraction

Here is an exercise on how to extract data from a financial time series object. As mentioned before, you can think of the object as a MATLAB structure. Cut and paste each line in the exercise to the MATLAB command window and press Enter to execute it.

To begin create a financial time series object called myfts.

dates = (datenum('05/11/99'):datenum('05/11/99')+100)';
data_series1 = exp(randn(1, 101))';
data_series2 = exp(randn(1, 101))';
data = [data_series1 data_series2];
myfts = fints(dates, data);

The myfts object looks like

myfts = 

    desc:  (none)
    freq:  Unknown (0)

    'dates:  (101)'    'series1:  (101)'    'series2:  (101)'
    '11-May-1999'      [         2.8108]    [         0.9323]
    '12-May-1999'      [         0.2454]    [         0.5608]
    '13-May-1999'      [         0.3568]    [         1.5989]
    '14-May-1999'      [         0.5255]    [         3.6682]
    '15-May-1999'      [         1.1862]    [         5.1284]
    '16-May-1999'      [         3.8376]    [         0.4952]
    '17-May-1999'      [         6.9329]    [         2.2417]
    '18-May-1999'      [         2.0987]    [         0.3579]
    '19-May-1999'      [         2.2524]    [         3.6492]
    '20-May-1999'      [         0.8669]    [         1.0150]
    '21-May-1999'      [         0.9050]    [         1.2445]
    '22-May-1999'      [         0.4493]    [         5.5466]
    '23-May-1999'      [         1.6376]    [         0.1251]
    '24-May-1999'      [         3.4472]    [         1.1195]
    '25-May-1999'      [         3.6545]    [         0.3374]...

There are more dates in the object; only the first few lines are shown here.

Now create another object with only the values for series2.

srs2 = myfts.series2

srs2 = 

    desc:  (none)
    freq:  Unknown (0)

    'dates:  (101)'    'series2:  (101)'
    '11-May-1999'      [         0.9323]
    '12-May-1999'      [         0.5608]
    '13-May-1999'      [         1.5989]
    '14-May-1999'      [         3.6682]
    '15-May-1999'      [         5.1284]
    '16-May-1999'      [         0.4952]
    '17-May-1999'      [         2.2417]
    '18-May-1999'      [         0.3579]
    '19-May-1999'      [         3.6492]
    '20-May-1999'      [         1.0150]
    '21-May-1999'      [         1.2445]
    '22-May-1999'      [         5.5466]
    '23-May-1999'      [         0.1251]
    '24-May-1999'      [         1.1195]
    '25-May-1999'      [         0.3374]...

The new object srs2 contains all the dates in myfts, but the data series is only series2. The name of the data series retains its name from the original object, myfts.

Note    The output from referencing a data series field or indexing a financial time series object is always another financial time series object. The exceptions are referencing the description, frequency indicator, and dates fields, and indexing into the dates field.

Financial Time Series Object Structure

Object to Matrix Conversion