清空筛选条件
清空筛选条件

Calculate 10y returns out of monthly data

1 次查看（过去 30 天）
Markus
Markus 2014-10-23
编辑： Andrei Bobrov 2014-10-24
hey guys,
i have monthly returns (1mil. simulations). Now i want to calculate corresponding 10 year returns. for example vextor x: 0.05 0.02 0.03 0.4 -0.21 ...
what matlab should do now is to calculate: ((1+r(1))*(1+r(2))*...(1+r(120)))-1 and ((1+r(121))*(1+r(122))*...(1+r(240)))-1 and so on...
thx for your help

请先登录，再回答此问题。

采纳的回答

Andrei Bobrov
Andrei Bobrov 2014-10-24
编辑：Andrei Bobrov 2014-10-24
out = prod(1 + reshape(x,120,[])) - 1;
or
out = accumarray(ceil((1:numel(x))'/120),x(:),[],@(x)prod(1+x)-1);

更多回答（1 个）

Roger Wohlwend
Roger Wohlwend 2014-10-24
y = exp(filter(ones(120,1),1,log(1+r)))-1;
y = y(120:end);
  2 个评论
Markus
Markus 2014-10-24
thx thats what i wanted, but now it calculates: ((1+r(1))*(1+r(2))*...(1+r(120)))-1 and ((1+r(2))*(1+r(3))*...(1+r(121)))-1 and so on. what i wanted was: ((1+r(1))*(1+r(2))*...(1+r(120)))-1 and ((1+r(121))*(1+r(122))*...(1+r(240)))-1 and so on..
Roger Wohlwend
Roger Wohlwend 2014-10-24
Oh, my mistake.
y = exp(filter(ones(120,1),1,log(1+r)))-1;
y = y(120:120:end);

请先登录，再进行评论。

类别

在 Help Center 和 File Exchange 中查找有关 Statistics and Machine Learning Toolbox 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by