addBusinessCalendar
Description
sets additional options specified by one or more name-value arguments, using any of
the input arguments in the previous syntax. For example, TT
= addBusinessCalendar(___,Name=Value
)TT =
addBusinessCalendar(TT,Holidays=H)
replaces the default holidays
stored in Data_NYSE_Closures.mat
with the list of holidays
H
.
Examples
Add Business Calendar for Calculating Period-Over-Period Rolling Returns
This example shows how to add a business calendar when you calculate period-over-period (PoP) rolling differences for 5 years of simulated daily prices. For each date in timetable TT
, the difference represents the PoP difference of the corresponding price compared to the price one period earlier.
Use holidays
to indicate the holidays in holidays.m
for the simulation period.
H = holidays(datetime(2014,1,1),datetime(2018,12,31));
Simulate daily prices for three assets.
t = (datetime(2014,1,1):caldays:datetime(2018,12,31))';
rng(200,"twister")
Price = 100 + 0.1*(0:numel(t) - 1)'.*cumsum(randn(numel(t),1)/100);
Price = round(Price*100)/100;
Price2 = round(Price*94)/100;
Price3 = round(Price*88)/100;
TT = timetable(Price,Price2,Price3,RowTimes=t);
head(TT,15)
Time Price Price2 Price3 ___________ ______ ______ ______ 01-Jan-2014 100 94 88 02-Jan-2014 100 94 88 03-Jan-2014 100 94 88 04-Jan-2014 100 94 88 05-Jan-2014 100.01 94.01 88.01 06-Jan-2014 100.01 94.01 88.01 07-Jan-2014 100.02 94.02 88.02 08-Jan-2014 100.02 94.02 88.02 09-Jan-2014 100.04 94.04 88.04 10-Jan-2014 100.06 94.06 88.05 11-Jan-2014 100.08 94.08 88.07 12-Jan-2014 100.11 94.1 88.1 13-Jan-2014 100.11 94.1 88.1 14-Jan-2014 100.12 94.11 88.11 15-Jan-2014 100.12 94.11 88.11
Use addBusinessCalendar
to indicate the holidays for the simulation period in the timetable TT.
TT = addBusinessCalendar(TT,Holidays=H);
Use rollingreturns
with the 'Method'
name-value pair argument set to "difference"
to compute the differences, that is, the period-over-period changes.
deltas = rollingreturns(TT,Period=calweeks(1),Method="difference");
head(deltas,15)
Time Price_Difference_1w Price2_Difference_1w Price3_Difference_1w ___________ ___________________ ____________________ ____________________ 01-Jan-2014 NaN NaN NaN 02-Jan-2014 NaN NaN NaN 03-Jan-2014 NaN NaN NaN 04-Jan-2014 NaN NaN NaN 05-Jan-2014 NaN NaN NaN 06-Jan-2014 NaN NaN NaN 07-Jan-2014 NaN NaN NaN 08-Jan-2014 NaN NaN NaN 09-Jan-2014 0.04 0.04 0.04 10-Jan-2014 0.06 0.06 0.05 11-Jan-2014 0.08 0.08 0.07 12-Jan-2014 0.11 0.1 0.1 13-Jan-2014 0.1 0.09 0.09 14-Jan-2014 0.1 0.09 0.09 15-Jan-2014 0.1 0.09 0.09
Input Arguments
TT
— Input timetable to update with business calendar awareness
timetable
Input timetable to update with business calendar awareness, specified as a
timetable
.
Data Types: timetable
Name-Value Arguments
Specify optional pairs of arguments as
Name1=Value1,...,NameN=ValueN
, where Name
is
the argument name and Value
is the corresponding value.
Name-value arguments must appear after other arguments, but the order of the
pairs does not matter.
Before R2021a, use commas to separate each name and value, and enclose
Name
in quotes.
Example: TT = addBusinessCalendar(TT,Holidays=H)
replaces the
default holidays stored in Data_NYSE_Closures.mat
with the list
of holidays H
Holidays
— Alternate holidays and market closure dates
datetime vector
Alternate holidays and market closure dates, specified as a datetime
vector. The dates in Holidays
must be whole dates
without HH:MM:SS
components. No business is conducted
on the dates in Holidays
.
By default, Holidays
is the New York Stock
Exchange (NYSE) holidays and market closure dates. For more details,
load the default holidays in Data_NYSE_Closures.mat
and inspect the NYSE
variable, or, if you have a
Financial Toolbox™ license, see holidays
and isbusday
.
Tip
If you have a Financial Toolbox license, you can generate alternate holiday schedules
by using the createholidays
function and performing this procedure:
Generate a new
holidays
function usingcreateholidays
.Call the new
holidays
function to get the list of holidays.Specify the alternate holidays to
addBusinessCalendar
by using theHolidays
name-value argument.
Data Types: datetime
Weekends
— Alternate weekend days on which no business is conducted
[1 0 0 0 0 0 1]
or
["Sunday" "Saturday"]
(default) | logical vector | string vector
Alternate weekend days on which no business is conducted, specified as a length 7 logical vector or a string vector.
For a logical vector, true
(1
)
entries indicate a weekend day and false
(0
) entries indicate a weekday, where entries
correspond to Sunday, Monday, Tuesday, Wednesday, Thursday, Friday, and
Saturday.
Example: Weekends=[1 0 0 0 0 1 1]
specifies that
business is not conducted on Fridays through Sundays.
For a string vector, entries explicitly list the weekend days.
Example: Weekends=["Friday" "Saturday"
"Sunday"]
Tip
If business is conducted seven days per week, set
Weekends
to [0 0 0 0 0 0
0]
.
Data Types: logical
Output Arguments
TT
— Updated timetable TT
with added business calendar awareness by a custom property
timetable
Updated timetable TT
with added business calendar
awareness by the custom property BusinessCalendar
,
returned as a timetable
.
The custom property BusinessCalendar
contains a data
structure that contains a field IsBusinessDay
that stores
a callable function (F
). The function
F
accepts a datetime matrix (D
)
and returns a logical indicator matrix (I
) of the same
size: I = F(D)
. true
(1
) elements of I
indicate that
the corresponding element of D
occurs on a business day;
false
(0
) elements of
I
indicate otherwise.
Access the callable function F
by using F =
TT.Properties.CustomProperties.BusinessCalendar.IsBusinessDay
.
Version History
Introduced in R2020b
See Also
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