rendimenti.m

统计工具软件

function [DX,DR,cambi,fattori,prezzi] = rendimenti(X,RF,RC,rendimento);

%RENDIMENTI	prices to returns.
%
%	[DX,DR,cambi,fattori,prezzi] = rendimenti(X,RF,RC,rendimento) trasform
%   prices in yields and extracts current exchange rates, risk factors and
%   prices. X is the matrix of asset prices, RF the matrix of risk factors
%   prices, RC the matrix of exchange rates. Exchange rates are expressed
%   in defined value (1$ = 1.22 Euro, 1Yen = 0.012 Euro, ...). If the
%   portfolio is with only one exchange rate put RC = 0. 
%	Rendimento = 0 aritmetic yields (p(t)-p(t-1))/p(t-1)
%	           = 1 logarithmic yields log(p(t)/p(t-1))
%	            	
%	All data must be in colums.
%
%	See SEMPLICECORR, EWMACORR
%

%	Copyright (c) 2004 by Flavio Bazzana
%   Department of Computer and Management Sciences
%   University of Trento
%   38100 - Trento ITALY
%   [e-mail]

if RC == 0
	R = RF;
	else R = [RF RC];
end
m = size(X,1);

% calculation of current exchange rates, risk factors, and prices

if RC == 0
	cambi=0;
	else cambi=RC(m,:)';
end
fattori=RF(m,:)';
prezzi=X(m,:)';

% transformation of X and R matrix of data ...

% ... in daily arithmetic returns 

if rendimento == 0
	X1 = X(1:m-1,:);
	R1 = R(1:m-1,:);
	DX = diff(X)./X1;
	DR = diff(R)./R1;
end

% ... in daly logaritmic returns 

if rendimento == 1
	X1 = X(2:m,:);
	R1 = R(2:m,:);
	DX = log(X1./X(1:m-1,:));
	DR = log(R1./R(1:m-1,:));
end