Data Preprocessing

Financial market data for dates and currencies

The representation and quality of data is essential before running an analysis. Financial data is often in formats that require conversion to standard formats. This toolbox provides a suite of tools to organize and transform financial data for analysis.

Functions

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Date and Time Component Formats

`now`	Current date and time as serial date number
`today`	Current date
`datefind`	Indices of dates in matrix
`datevec`	Convert date and time to vector of components
`datetime`	Arrays that represent points in time
`day`	Day of month
`eomdate`	Last date of month
`hour`	Hour of date or time
`lweekdate`	Date of last occurrence of weekday in month
`second`	Seconds of date or time
`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
`weeknum`	Week in year
`year`	Year of date
`yeardays`	Number of days in year

Date Conversion

`date2time`	Time and frequency from dates
`datedisp`	Display date entries
`datenum`	Convert date and time to serial date number
`datestr`	Convert date and time to string format
`m2xdate`	MATLAB date to Excel serial date number
`time2date`	Dates from time and frequency
`uicalendar`	Graphical calendar
`x2mdate`	Excel serial date number to MATLAB serial date number or datetime format

Business Days

`busdate`	Next or previous business day
`busdays`	Business days for given period
`datemnth`	Date of day in future or past month
`datewrkdy`	Date of future or past workday
`days252bus`	Number of business days between dates
`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 for any day-count basis
`fbusdate`	First business date of month
`isbusday`	True for dates that are business days
`lbusdate`	Last business date of month
`quarter`	Returns the quarter of given date
`thirdwednesday`	Find third Wednesday of month
`wrkdydif`	Number of working days between dates
`yearfrac`	Fraction of year between dates

Trading Calendar

`createholidays`	Create trading calendars
`holidays`	Holidays and nontrading days
`nyseclosures`	New York Stock Exchange closures from 1885 to 2070
`addBusinessCalendar`	Add business calendar awareness to timetables

Coupon Bond Dates

`accrfrac`	Fraction of coupon period before settlement
`cpncount`	Coupon payments remaining until maturity
`cpndaten`	Next coupon date for fixed-income security
`cpndatenq`	Next quasi-coupon date for fixed-income security
`cpndatepq`	Previous quasi-coupon date for fixed-income security
`cpndatep`	Previous 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 Conversion

`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

Topics

Handle and Convert Dates

Handle and convert date character vectors and serial date numbers, holidays, and cash-flow dates.

Trading Calendars User Interface

Using the Trading Calendars user interface to manage holidays.

UICalendar User Interface

Using uicalendar to manage dates.

Related Information

Automated Data Cleaning and Preparation in MATLAB (43 min)

Financial Toolbox Documentation

Support

A Practical Guide to Modeling Financial Risk with MATLAB

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