Using todaily() without holidays
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I am trying to convert a monthly series to daily returns by rolling the monthly return forward until the next available data point. With a fints object I am using todaily() but it is automatically including holidays, i.e.
dailyTS = todaily(monthlyTS,'CalcMethod','v21x')
I dug through the source code but was unable to find an easy way to override this? I would like data to be populated for all weekdays, including holidays. Is this possible with this or another built-in function?
1 个评论
Oleg Komarov
2012-8-10
I would know how to do it without fints obj, but it's not a builtin function.
采纳的回答
Oleg Komarov
2012-8-11
% Sample data
data = [datenum(2012,10:13,1)',(1:4)'];
% Retrieve all days
dates = (data(1):data(end,1))';
% Remove weekends and holidays
dates = dates(isbusday(dates));
% Map longer ts to short
[tf,loc] = ismember([year(dates) month(dates)],...
[year(data(:,1)) month(data(:,1))],'rows');
% create fints
out = fints(dates,data(loc,2))
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