Matlab counting syntax problem

jalko · #1 $Old$ October 22nd, 2009, 04:54 AM

Hi there,

I'm new to Matlab language and I need some help to complete one script. It's about computing continuous compounded returns from data as:

Code:

function z=brm(x)
[n,m]=size(x);
c=m-1;
for l=0:c
    for k=l+1:m-1
        z((l+1),k)=log(x(m-l))-log(x(m-k))
    end
end

My problem is that i need to constrain it to compute returns only within selected period of time. I have dada matrix arranged as(Date format=d.m):

Code:

Date, Time, Value
1.1, 1430, 1
1.1, 1431, 2
1.1, 1432, 5
...
1.1, 2259, 3
2.1, 1430, 8
2.1, 1431, 4
...

I do not know how to set condition such will constrain it to prevent compute returns from lag higher than highest possible remaining lag within current day.

Can someone help and show me way?

Thanks for reading,
Tom.

elbarto · #2 $Old$ October 23rd, 2009, 12:30 AM

Try "datenum". In the example below I assumed your date data was a string and all from the same year (2009).

Code:

mydate = '8.5';%8th of May
A = regexp('8.5','\.','split');%spit string
D = [str2num(A{2}) str2num(A{1}) 2009];%[month  day  year]
sD = datenum(D);%convert to serial date number

%test with date serial 
sD < datenum([5 9 2009])%before 9th of May
sD > datenum([5 7 2009])%after 7th of May

Code:

ans =

     1


ans =

     1

EDU>>

Regards Elbarto

jalko · #3 $Old$ October 23rd, 2009, 02:02 AM

Thanks for help and example mate. That function should do the work.

elbarto · #4 $Old$ October 23rd, 2009, 07:25 AM

No worries. Glad I could help you out. Good luck with the rest of your program.

Regards Elbarto