How to compute excess returns for several companies and dates?
2 次查看(过去 30 天)
显示 更早的评论
Hello,
I have the set of data below (For about 6000 companies and not only 3, and daily data until 2004).
What I need to do is, for each company at a time, set a new column - say column D - with Returns (col.C) minus the risk free rate (col.G) for the correspondent dates.
So for example, for company B it would be B8-G2, B9-G3 and so on. For company C it would be B14-G2 and etc.
Is there a simple way to do this? For example search, while the company code is the same, matching dates between column B and F and set a new array with the subtracted values?
Thank you so much in advance (I'm new to matlab)!
![](https://www.mathworks.com/matlabcentral/answers/uploaded_files/161719/image.bmp)
0 个评论
回答(1 个)
Andrei Bobrov
2014-4-25
ABC = {'A','B','C'}';
DATES = num2cell((19630101:100:19630601)');
ii = fullfact([3 6]);
Df = [ABC(ii(:,1)),DATES(ii(:,2))];
p = [1 2 1 0 1 1 ]'*.01;
[~,i0] = ismember(cell2mat(Df(:,2)), cell2mat(DATES));
pc = num2cell(p);
out = [Df,pc(i0)];
0 个评论
另请参阅
类别
在 Help Center 和 File Exchange 中查找有关 Develop Apps Using App Designer 的更多信息
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!