Financial Toolbox™

Function Reference

Dates

Current Time and Date	Work with current date and time
Date and Time Components	Compute dates and times
Date Conversion	Convert dates
Financial Dates	Compute financial dates
Coupon Bond Dates	Compute coupon bond dates

Current Time and Date

now	Current date and time
today	Current date

Date and Time Components

datefind	Indices of date numbers in matrix
datevec	Date components
day	Day of month
eomdate	Last date of month
eomday	Last day of month
hour	Hour of date or time
lweekdate	Date of last occurrence of weekday in month
minute	Minute of date or time
month	Month of date
months	Number of whole months between dates
nweekdate	Date of specific occurrence of weekday in month
second	Seconds of date or time
weekday	Day of week
year	Year of date
yeardays	Number of days in year

Date Conversion

date2time	Time and frequency from dates
datedisp	Display date entries
datenum	Create date number
datestr	Create date string
dec2thirtytwo	Decimal to thirty-second quotation
m2xdate	MATLAB serial date number to Excel serial date number
thirtytwo2dec	Thirty-second quotation to decimal
time2date	Dates from time and frequency
uicalendar	Graphical calendar
x2mdate	Excel serial date number to MATLAB serial date number

Financial Dates

busdate	Next or previous business day
busdays	Business days in serial date format
createholidays	Create trading calendars
datemnth	Date of day in future or past month
datewrkdy	Date of future or past workday
days360	Days between dates based on 360-day year
days360e	Days between dates based on 360-day year (European)
days360isda	Days between dates based on 360-day year (International Swap Dealer Association (ISDA) compliant)
days360psa	Days between dates based on 360-day year (Public Securities Association (PSA) compliant)
days365	Days between dates based on 365-day year
daysact	Actual number of days between dates
daysadd	Date away from starting date for any day-count basis
daysdif	Days between dates for any day-count basis
fbusdate	First business date of month
holidays	Holidays and nontrading days
isbusday	True for dates that are business days
lbusdate	Last business date of month
thirdwednesday	Find third Wednesday of month
wrkdydif	Number of working days between dates
yearfrac	Fraction of year between dates

Coupon Bond Dates

accrfrac	Fraction of coupon period before settlement
cfamounts	Cash flow and time mapping for bond portfolio
cfdates	Cash flow dates for fixed-income security
cfport	Portfolio form of cash flow amounts
cftimes	Time factors corresponding to bond cash flow dates
cpncount	Coupon payments remaining until maturity
cpndaten	Next coupon date for fixed-income security
cpndatenq	Next quasi coupon date for fixed income security
cpndatep	Previous coupon date for fixed-income security
cpndatepq	Previous quasi coupon date for fixed income security
cpndaysn	Number of days to next coupon date
cpndaysp	Number of days since previous coupon date
cpnpersz	Number of days in coupon period

Currency and Price

cur2frac	Decimal currency values to fractional values
cur2str	Bank-formatted text
dec2thirtytwo	Decimal to thirty-second quotation
frac2cur	Fractional currency value to decimal value
thirtytwo2dec	Thirty-second quotation to decimal

Financial Data Charts

bar, barh	Bar chart
bar3, bar3h	3-D bar chart
bolling	Bollinger band chart
candle	Candlestick chart
candle (fts)	Time series candle plot
chartfts	Interactive display
dateaxis	Convert serial-date axis labels to calendar-date axis labels
highlow	High, low, open, close chart
highlow (fts)	Time series High-Low plot
kagi	Kagi chart
linebreak	Line break chart
movavg	Leading and lagging moving averages chart
plot	Plot data series
pointfig	Point and figure chart
priceandvol	Price and volume chart
renko	Renko chart
volarea	Price and volume chart

Cash Flows

Annuities	Work with annuities
Amortization and Depreciation	Work with amortization and depreciation
Present Value	Work with present values
Future Value	Work with future values
Payment Calculations	Work with payment calculations
Rates of Return	Work with rates of return
Cash Flow Sensitivities	Work with cash flow sensitivities

Annuities

annurate	Periodic interest rate of annuity
annuterm	Number of periods to obtain value

Amortization and Depreciation

amortize	Amortization schedule
depfixdb	Fixed declining-balance depreciation schedule
depgendb	General declining-balance depreciation schedule
deprdv	Remaining depreciable value
depsoyd	Sum of years' digits depreciation
depstln	Straight-line depreciation schedule

Present Value

pvfix	Present value with fixed periodic payments
pvvar	Present value of varying cash flow

Future Value

fvdisc	Future value of discounted security
fvfix	Future value with fixed periodic payments
fvvar	Future value of varying cash flow

Payment Calculations

payadv	Periodic payment given number of advance payments
payodd	Payment of loan or annuity with odd first period
payper	Periodic payment of loan or annuity
payuni	Uniform payment equal to varying cash flow

Rates of Return

effrr	Effective rate of return
elpm	Compute expected lower partial moments for normal asset returns
irr	Internal rate of return
mirr	Modified internal rate of return
nomrr	Nominal rate of return
taxedrr	After-tax rate of return
xirr	Internal rate of return for nonperiodic cash flow

Cash Flow Sensitivities

cfconv	Cash flow convexity
cfdur	Cash-flow duration and modified duration

Fixed-Income Securities

Accrued Interest	Work with accrued interest
Prices	Work with prices
Term Structure of Interest Rates	Work with term structure of interest rates
Yields	Work with yields
Spreads	Work with spreads
Interest Rate Sensitivities	Work with interest rate sensitivities

Accrued Interest

acrubond	Accrued interest of security with periodic interest payments
acrudisc	Accrued interest of discount security paying at maturity

Prices

bndprice	Price fixed income security from yield to maturity
prdisc	Price of discounted security
prmat	Price with interest at maturity
prtbill	Price of Treasury bill

Term Structure of Interest Rates

disc2zero	Zero curve given discount curve
fwd2zero	Zero curve given forward curve
prbyzero	Price bonds in portfolio by set of zero curves
pyld2zero	Zero curve given par yield curve
tbl2bond	Treasury bond parameters given Treasury bill parameters
tr2bonds	Term-structure parameters given Treasury bond parameters
zbtprice	Zero curve bootstrapping from coupon bond data given price
zbtyield	Zero curve bootstrapping from coupon bond data given yield
zero2disc	Discount curve given zero curve
zero2fwd	Forward curve given zero curve
zero2pyld	Par yield curve given zero curve

Yields

beytbill	Bond equivalent yield for Treasury bill
bndyield	Yield to maturity for fixed income security
discrate	Bank discount rate of money market security
ylddisc	Yield of discounted security
yldmat	Yield with interest at maturity
yldtbill	Yield of Treasury bill

Spreads

bndspread

Static spread over spot curve

Interest Rate Sensitivities

bndconvp	Bond convexity given price
bndconvy	Bond convexity given yield
bnddurp	Bond duration given price
bnddury	Bond duration given yield

Portfolios

Portfolio Analysis	Perform portfolio analysis
Performance Metrics	Calculate performance metrics

Portfolio Analysis

abs2active	Convert constraints from absolute to active format
active2abs	Convert constraints from active to absolute format
arith2geom	Arithmetic to geometric moments of asset returns
corr2cov	Convert standard deviation and correlation to covariance
cov2corr	Convert covariance to standard deviation and correlation coefficient
ewstats	Expected return and covariance from return time series
frontcon	Mean-variance efficient frontier
frontier	Rolling efficient frontier
geom2arith	Geometric to arithmetic moments of asset returns
holdings2weights	Portfolio holdings into weights
pcalims	Linear inequalities for individual asset allocation
pcgcomp	Linear inequalities for asset group comparison constraints
pcglims	Linear inequalities for asset group minimum and maximum allocation
pcpval	Linear inequalities for fixing total portfolio value
periodicreturns	Periodic total returns from total return prices
portalloc	Optimal capital allocation to efficient frontier portfolios
portcons	Portfolio constraints
portopt	Portfolios on constrained efficient frontier
portrand	Randomized portfolio risks, returns, and weights
portror	Portfolio expected rate of return
portsim	Monte Carlo simulation of correlated asset returns
portstats	Portfolio expected return and risk
portvar	Variance for a portfolio of assets
portvrisk	Portfolio value at risk
ret2tick	Convert return series to price series
ret2tick (fts)	Convert return series to price series for time series object
selectreturn	Portfolio configurations from 3-D efficient frontier
targetreturn	Portfolio weight accuracy
tick2ret	Convert price series to return series
tick2ret (fts)	Convert price series to return series for time series object
totalreturnprice	Total return price time series
weights2holdings	Portfolio values and weights into holdings

Performance Metrics

emaxdrawdown	Compute expected maximum drawdown for Brownian motion
inforatio	Calculate information ratio for one or more assets
lpm	Compute sample lower partial moments of data
maxdrawdown	Compute maximum drawdown for one or more price series
portalpha	Compute risk-adjusted alphas and returns for one or more assets
sharpe	Compute Sharpe ratio for one or more assets

Financial Statistics

Expectation Conditional Maximization	Work with expectation conditional maximization
Multivariate Normal Regression	Work with multivariate normal regression
Expectation Conditional Maximization – Multivariate Normal Regression	Work with expectation conditional maximization and multivariate normal regression
Expectation Conditional Maximization – Least-Squares Regression	Work with least-squares regression
Seemingly Unrelated Regression	Work with unrelated regression

Expectation Conditional Maximization

ecmnfish	Fisher information matrix
ecmnhess	Hessian of negative log-likelihood function
ecmninit	Initial mean and covariance
ecmnmle	Mean and covariance of incomplete multivariate normal data
ecmnobj	Multivariate normal negative log-likelihood function
ecmnstd	Standard errors for mean and covariance of incomplete data

Multivariate Normal Regression

mvnrfish	Fisher information matrix for multivariate normal or least-squares regression
mvnrmle	Multivariate normal regression (ignore missing data)
mvnrobj	Log-likelihood function for multivariate normal regression without missing data
mvnrstd	Evaluate standard errors for multivariate normal regression model

Expectation Conditional Maximization – Multivariate Normal Regression

ecmmvnrfish	Fisher information matrix for multivariate normal regression model
ecmmvnrmle	Multivariate normal regression with missing data
ecmmvnrobj	Log-likelihood function for multivariate normal regression with missing data
ecmmvnrstd	Evaluate standard errors for multivariate normal regression model

Expectation Conditional Maximization – Least-Squares Regression

ecmlsrmle	Least-squares regression with missing data
ecmlsrobj	Log-likelihood function for least-squares regression with missing data

Seemingly Unrelated Regression

convert2sur

Convert multivariate normal regression model to seemingly unrelated regression (SUR) model

Derivatives

Option Valuation and Sensitivity

Work with option valuation and sensitivity

Option Valuation and Sensitivity

binprice	Binomial put and call pricing
blkimpv	Implied volatility for futures options from Black's model
blkprice	Black's model for pricing futures options
blsdelta	Black-Scholes sensitivity to underlying price change
blsgamma	Black-Scholes sensitivity to underlying delta change
blsimpv	Black-Scholes implied volatility
blslambda	Black-Scholes elasticity
blsprice	Black-Scholes put and call option pricing
blsrho	Black-Scholes sensitivity to interest rate change
blstheta	Black-Scholes sensitivity to time-until-maturity change
blsvega	Black-Scholes sensitivity to underlying price volatility
opprofit	Option profit

GARCH Processes

Univariate GARCH Processes

Work with univariate GARCH processes

Univariate GARCH Processes

ugarch	Univariate GARCH(P,Q) parameter estimation with Gaussian innovations
ugarchllf	Log-likelihood objective function of univariate GARCH(P,Q) processes with Gaussian innovations
ugarchpred	Forecast conditional variance of univariate GARCH(P,Q) processes
ugarchsim	Simulate univariate GARCH(P,Q) process with Gaussian innovations

Financial Time Series Object and File Construction

ascii2fts	Create financial time series object from ASCII data file
fints	Construct financial time series object
fts2ascii	Write elements of time-series data into ASCII file
fts2mat	Convert to matrix
merge	Merge multiple financial time series objects

Financial Time Series Arithmetic

end	Last date entry
horzcat	Concatenate financial time series objects horizontally
length	Get number of dates (rows)
minus	Financial time series subtraction
mrdivide	Financial time series matrix division
mtimes	Financial time series matrix multiplication
plus	Financial time series addition
power	Financial time series power
rdivide	Financial time series division
size	Number of dates and data series
subsasgn	Content assignment
subsref	Subscripted reference
times	Financial time series multiplication
uminus	Unary minus of financial time series object
uplus	Unary plus of financial time series object
vertcat	Concatenate financial time series objects vertically

Financial Time Series Math

cumsum	Cumulative sum
exp	Exponential values
hist	Histogram
log	Natural logarithm
log10	Common logarithm
log2	Base 2 logarithm
max	Maximum value
mean	Arithmetic average
min	Minimum value
std	Standard deviation

Financial Time Series Descriptive Statistics

corrcoef	Correlation coefficients
cov	Covariance matrix
isempty	True for empty financial time series objects
nancov	Covariance ignoring `NaN`s
nanmax	Maximum ignoring `NaN`s
nanmean	Mean ignoring `NaN`s
nanmedian	Median ignoring `NaN`s
nanmin	Minimum ignoring `NaN`s
nanstd	Standard deviation ignoring `NaN`s
nansum	Sum ignoring `NaN`s
nanvar	Variance ignoring `NaN`s
var	Variance

Financial Time Series Utility

chfield	Change data series name
eq (fts)	Multiple financial times series object equality
extfield	Data series extraction
fetch	Data from financial time series object
fieldnames	Get names of fields
freqnum	Convert string frequency indicator to numeric frequency indicator
freqstr	Convert numeric frequency indicator to string representation
ftsbound	Start and end dates
ftsinfo	Financial time series object information
ftsuniq	Determine uniqueness
getfield	Content of specific field
getnameidx	Find name in list
iscompatible	Structural equality
isequal	Multiple object equality
isfield	Check whether string is field name
issorted	Check whether dates and times are monotonically increasing
rmfield	Remove data series
setfield	Set content of specific field
sortfts	Sort financial time series

Financial Time Series Data Transformation

boxcox	Box-Cox transformation
convert2sur	Convert multivariate normal regression model to seemingly unrelated regression (SUR) model
convertto	Convert to specified frequency
diff	Differencing
fillts	Fill missing values in time series
filter	Linear filtering
lagts	Lag time series object
leadts	Lead time series object
peravg	Periodic average of FINTS object
resamplets	Downsample data
smoothts	Smooth data
toannual	Convert to annual
todaily	Convert to daily
todecimal	Fractional to decimal conversion
tomonthly	Convert to monthly
toquarterly	Convert to quarterly
toquoted	Decimal to fractional conversion
tosemi	Convert to semiannual
toweekly	Convert to weekly
tsmovavg	Moving average

Financial Time Series Indicator

adline	Accumulation/Distribution line
adosc	Accumulation/Distribution oscillator
bollinger	Time series Bollinger band
chaikosc	Chaikin oscillator
chaikvolat	Chaikin volatility
fpctkd	Fast stochastics
hhigh	Highest high
llow	Lowest low
macd	Moving Average Convergence/Divergence (MACD)
medprice	Median price
negvolidx	Negative volume index
onbalvol	On-Balance Volume (OBV)
posvolidx	Positive volume index
prcroc	Price rate of change
pvtrend	Price and Volume Trend (PVT)
rsindex	Relative Strength Index (RSI)
spctkd	Slow stochastics
stochosc	Stochastic oscillator
tsaccel	Acceleration between periods
tsmom	Momentum between periods
typprice	Typical price
volroc	Volume rate of change
wclose	Weighted close
willad	Williams Accumulation/Distribution line
willpctr	Williams %R

Financial Time Series GUI

ftsgui

Financial time series GUI

Financial Time Series Tool

ftstool

Financial time series tool

Examples

Functions — Alphabetical List