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`	(Not recommended; use `datetime`) Current date and time as serial date number
`datefind`	Indices of dates in matrix
`datevec`	Convert date and time to vector of components
`datetim`	Arrays that represent points in time
`yeardays`	Number of days in year

Date Conversion

`date2time`	Time and frequency from dates
`datedisp`	Display date entries
`datenum`	(Not recommended; use `datetime` or `duration`) Convert date and time to serial date number
`datestr`	(Not recommended; use `string` or `char`) Convert date and time to string format
`time2date`	Dates from time and frequency
`uicalendar`	Graphical calendar

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
`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)