ret2tick (Financial Toolbox)

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`	`1`-by-`NASSETS` vector of initial asset prices. Prices start at 1 if `StartPrice` is not specified. (Optional)
`RetIntervals`	Scalar or `NUMOBS`-by-`1` vector of interval times between observations. If not specified, all intervals are assumed to have length 1. (Optional)
`StartTime`	Starting time for first observation. (Optional)
`StartTime`	Starting time for first observation. (Optional)

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.

Example

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-1998')                
[TickSeries,TickTimes] = ret2tick(RetSeries,[],RetIntervals,... 
StartTime)
TickSeries =
    1.0000    1.0000
    1.1000    1.1200
    1.1550    1.1648
    1.0973    1.2230
datestr(TickTimes)
ans =
18-Dec-1998
18-Jun-1999
17-Sep-1999
18-Dec-1999