Mercurial > forge
changeset 12010:34572b7b7450 octave-forge
financial: moved to a separate mercurial repo
| author | carandraug |
|---|---|
| date | Sun, 25 Aug 2013 05:36:15 +0000 |
| parents | b890b4d73ca7 |
| children | 6a2cf3614a1b |
| files | main/financial/COPYING main/financial/DESCRIPTION main/financial/INDEX main/financial/NEWS main/financial/inst/bolling.m main/financial/inst/busdate.m main/financial/inst/busdays.m main/financial/inst/cfconv.m main/financial/inst/cfdur.m main/financial/inst/corr2cov.m main/financial/inst/cov2corr.m main/financial/inst/dateaxis.m main/financial/inst/datefind.m main/financial/inst/datesplit.m main/financial/inst/day.m main/financial/inst/daysact.m main/financial/inst/easter.m main/financial/inst/effrr.m main/financial/inst/eomdate.m main/financial/inst/fbusdate.m main/financial/inst/fetch.m main/financial/inst/fv.m main/financial/inst/fvl.m main/financial/inst/google.m main/financial/inst/hhigh.m main/financial/inst/highlow.m main/financial/inst/holidays.m main/financial/inst/hour.m main/financial/inst/irr.m main/financial/inst/isbusday.m main/financial/inst/lbusdate.m main/financial/inst/llow.m main/financial/inst/lweekdate.m main/financial/inst/m2xdate.m main/financial/inst/minute.m main/financial/inst/mirr.m main/financial/inst/month.m main/financial/inst/months.m main/financial/inst/movavg.m main/financial/inst/negvolidx.m main/financial/inst/nomrr.m main/financial/inst/nper.m main/financial/inst/npv.m main/financial/inst/nweekdate.m main/financial/inst/onbalvol.m main/financial/inst/pmt.m main/financial/inst/pointfig.m main/financial/inst/posvolidx.m main/financial/inst/private/fetch_google.m main/financial/inst/private/fetch_yahoo.m main/financial/inst/pv.m main/financial/inst/pvl.m main/financial/inst/rate.m main/financial/inst/rsindex.m main/financial/inst/second.m main/financial/inst/taxedrr.m main/financial/inst/thirdwednesday.m main/financial/inst/today.m main/financial/inst/vol.m main/financial/inst/x2mdate.m main/financial/inst/yahoo.m main/financial/inst/year.m main/financial/inst/yeardays.m |
| diffstat | 63 files changed, 0 insertions(+), 5241 deletions(-) [+] |
line wrap: on
line diff
--- a/main/financial/COPYING Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,674 +0,0 @@ - GNU GENERAL PUBLIC LICENSE - Version 3, 29 June 2007 - - Copyright (C) 2007 Free Software Foundation, Inc. <http://fsf.org/> - Everyone is permitted to copy and distribute verbatim copies - of this license document, but changing it is not allowed. - - Preamble - - The GNU General Public License is a free, copyleft license for -software and other kinds of works. - - The licenses for most software and other practical works are designed -to take away your freedom to share and change the works. By contrast, -the GNU General Public License is intended to guarantee your freedom to -share and change all versions of a program--to make sure it remains free -software for all its users. We, the Free Software Foundation, use the -GNU General Public License for most of our software; it applies also to -any other work released this way by its authors. You can apply it to -your programs, too. - - When we speak of free software, we are referring to freedom, not -price. Our General Public Licenses are designed to make sure that you -have the freedom to distribute copies of free software (and charge for -them if you wish), that you receive source code or can get it if you -want it, that you can change the software or use pieces of it in new -free programs, and that you know you can do these things. - - To protect your rights, we need to prevent others from denying you -these rights or asking you to surrender the rights. Therefore, you have -certain responsibilities if you distribute copies of the software, or if -you modify it: responsibilities to respect the freedom of others. - - For example, if you distribute copies of such a program, whether -gratis or for a fee, you must pass on to the recipients the same -freedoms that you received. You must make sure that they, too, receive -or can get the source code. And you must show them these terms so they -know their rights. - - Developers that use the GNU GPL protect your rights with two steps: -(1) assert copyright on the software, and (2) offer you this License -giving you legal permission to copy, distribute and/or modify it. - - For the developers' and authors' protection, the GPL clearly explains -that there is no warranty for this free software. For both users' and -authors' sake, the GPL requires that modified versions be marked as -changed, so that their problems will not be attributed erroneously to -authors of previous versions. - - Some devices are designed to deny users access to install or run -modified versions of the software inside them, although the manufacturer -can do so. This is fundamentally incompatible with the aim of -protecting users' freedom to change the software. The systematic -pattern of such abuse occurs in the area of products for individuals to -use, which is precisely where it is most unacceptable. Therefore, we -have designed this version of the GPL to prohibit the practice for those -products. If such problems arise substantially in other domains, we -stand ready to extend this provision to those domains in future versions -of the GPL, as needed to protect the freedom of users. - - Finally, every program is threatened constantly by software patents. -States should not allow patents to restrict development and use of -software on general-purpose computers, but in those that do, we wish to -avoid the special danger that patents applied to a free program could -make it effectively proprietary. To prevent this, the GPL assures that -patents cannot be used to render the program non-free. - - The precise terms and conditions for copying, distribution and -modification follow. - - TERMS AND CONDITIONS - - 0. Definitions. - - "This License" refers to version 3 of the GNU General Public License. - - "Copyright" also means copyright-like laws that apply to other kinds of -works, such as semiconductor masks. - - "The Program" refers to any copyrightable work licensed under this -License. Each licensee is addressed as "you". "Licensees" and -"recipients" may be individuals or organizations. - - To "modify" a work means to copy from or adapt all or part of the work -in a fashion requiring copyright permission, other than the making of an -exact copy. The resulting work is called a "modified version" of the -earlier work or a work "based on" the earlier work. - - A "covered work" means either the unmodified Program or a work based -on the Program. - - To "propagate" a work means to do anything with it that, without -permission, would make you directly or secondarily liable for -infringement under applicable copyright law, except executing it on a -computer or modifying a private copy. Propagation includes copying, -distribution (with or without modification), making available to the -public, and in some countries other activities as well. - - To "convey" a work means any kind of propagation that enables other -parties to make or receive copies. Mere interaction with a user through -a computer network, with no transfer of a copy, is not conveying. - - An interactive user interface displays "Appropriate Legal Notices" -to the extent that it includes a convenient and prominently visible -feature that (1) displays an appropriate copyright notice, and (2) -tells the user that there is no warranty for the work (except to the -extent that warranties are provided), that licensees may convey the -work under this License, and how to view a copy of this License. If -the interface presents a list of user commands or options, such as a -menu, a prominent item in the list meets this criterion. - - 1. Source Code. - - The "source code" for a work means the preferred form of the work -for making modifications to it. "Object code" means any non-source -form of a work. - - A "Standard Interface" means an interface that either is an official -standard defined by a recognized standards body, or, in the case of -interfaces specified for a particular programming language, one that -is widely used among developers working in that language. - - The "System Libraries" of an executable work include anything, other -than the work as a whole, that (a) is included in the normal form of -packaging a Major Component, but which is not part of that Major -Component, and (b) serves only to enable use of the work with that -Major Component, or to implement a Standard Interface for which an -implementation is available to the public in source code form. A -"Major Component", in this context, means a major essential component -(kernel, window system, and so on) of the specific operating system -(if any) on which the executable work runs, or a compiler used to -produce the work, or an object code interpreter used to run it. - - The "Corresponding Source" for a work in object code form means all -the source code needed to generate, install, and (for an executable -work) run the object code and to modify the work, including scripts to -control those activities. However, it does not include the work's -System Libraries, or general-purpose tools or generally available free -programs which are used unmodified in performing those activities but -which are not part of the work. For example, Corresponding Source -includes interface definition files associated with source files for -the work, and the source code for shared libraries and dynamically -linked subprograms that the work is specifically designed to require, -such as by intimate data communication or control flow between those -subprograms and other parts of the work. - - The Corresponding Source need not include anything that users -can regenerate automatically from other parts of the Corresponding -Source. - - The Corresponding Source for a work in source code form is that -same work. - - 2. Basic Permissions. - - All rights granted under this License are granted for the term of -copyright on the Program, and are irrevocable provided the stated -conditions are met. This License explicitly affirms your unlimited -permission to run the unmodified Program. The output from running a -covered work is covered by this License only if the output, given its -content, constitutes a covered work. This License acknowledges your -rights of fair use or other equivalent, as provided by copyright law. - - You may make, run and propagate covered works that you do not -convey, without conditions so long as your license otherwise remains -in force. You may convey covered works to others for the sole purpose -of having them make modifications exclusively for you, or provide you -with facilities for running those works, provided that you comply with -the terms of this License in conveying all material for which you do -not control copyright. Those thus making or running the covered works -for you must do so exclusively on your behalf, under your direction -and control, on terms that prohibit them from making any copies of -your copyrighted material outside their relationship with you. - - Conveying under any other circumstances is permitted solely under -the conditions stated below. Sublicensing is not allowed; section 10 -makes it unnecessary. - - 3. Protecting Users' Legal Rights From Anti-Circumvention Law. - - No covered work shall be deemed part of an effective technological -measure under any applicable law fulfilling obligations under article -11 of the WIPO copyright treaty adopted on 20 December 1996, or -similar laws prohibiting or restricting circumvention of such -measures. - - When you convey a covered work, you waive any legal power to forbid -circumvention of technological measures to the extent such circumvention -is effected by exercising rights under this License with respect to -the covered work, and you disclaim any intention to limit operation or -modification of the work as a means of enforcing, against the work's -users, your or third parties' legal rights to forbid circumvention of -technological measures. - - 4. Conveying Verbatim Copies. - - You may convey verbatim copies of the Program's source code as you -receive it, in any medium, provided that you conspicuously and -appropriately publish on each copy an appropriate copyright notice; -keep intact all notices stating that this License and any -non-permissive terms added in accord with section 7 apply to the code; -keep intact all notices of the absence of any warranty; and give all -recipients a copy of this License along with the Program. - - You may charge any price or no price for each copy that you convey, -and you may offer support or warranty protection for a fee. - - 5. Conveying Modified Source Versions. - - You may convey a work based on the Program, or the modifications to -produce it from the Program, in the form of source code under the -terms of section 4, provided that you also meet all of these conditions: - - a) The work must carry prominent notices stating that you modified - it, and giving a relevant date. - - b) The work must carry prominent notices stating that it is - released under this License and any conditions added under section - 7. This requirement modifies the requirement in section 4 to - "keep intact all notices". - - c) You must license the entire work, as a whole, under this - License to anyone who comes into possession of a copy. This - License will therefore apply, along with any applicable section 7 - additional terms, to the whole of the work, and all its parts, - regardless of how they are packaged. This License gives no - permission to license the work in any other way, but it does not - invalidate such permission if you have separately received it. - - d) If the work has interactive user interfaces, each must display - Appropriate Legal Notices; however, if the Program has interactive - interfaces that do not display Appropriate Legal Notices, your - work need not make them do so. - - A compilation of a covered work with other separate and independent -works, which are not by their nature extensions of the covered work, -and which are not combined with it such as to form a larger program, -in or on a volume of a storage or distribution medium, is called an -"aggregate" if the compilation and its resulting copyright are not -used to limit the access or legal rights of the compilation's users -beyond what the individual works permit. Inclusion of a covered work -in an aggregate does not cause this License to apply to the other -parts of the aggregate. - - 6. Conveying Non-Source Forms. - - You may convey a covered work in object code form under the terms -of sections 4 and 5, provided that you also convey the -machine-readable Corresponding Source under the terms of this License, -in one of these ways: - - a) Convey the object code in, or embodied in, a physical product - (including a physical distribution medium), accompanied by the - Corresponding Source fixed on a durable physical medium - customarily used for software interchange. - - b) Convey the object code in, or embodied in, a physical product - (including a physical distribution medium), accompanied by a - written offer, valid for at least three years and valid for as - long as you offer spare parts or customer support for that product - model, to give anyone who possesses the object code either (1) a - copy of the Corresponding Source for all the software in the - product that is covered by this License, on a durable physical - medium customarily used for software interchange, for a price no - more than your reasonable cost of physically performing this - conveying of source, or (2) access to copy the - Corresponding Source from a network server at no charge. - - c) Convey individual copies of the object code with a copy of the - written offer to provide the Corresponding Source. This - alternative is allowed only occasionally and noncommercially, and - only if you received the object code with such an offer, in accord - with subsection 6b. - - d) Convey the object code by offering access from a designated - place (gratis or for a charge), and offer equivalent access to the - Corresponding Source in the same way through the same place at no - further charge. You need not require recipients to copy the - Corresponding Source along with the object code. If the place to - copy the object code is a network server, the Corresponding Source - may be on a different server (operated by you or a third party) - that supports equivalent copying facilities, provided you maintain - clear directions next to the object code saying where to find the - Corresponding Source. Regardless of what server hosts the - Corresponding Source, you remain obligated to ensure that it is - available for as long as needed to satisfy these requirements. - - e) Convey the object code using peer-to-peer transmission, provided - you inform other peers where the object code and Corresponding - Source of the work are being offered to the general public at no - charge under subsection 6d. - - A separable portion of the object code, whose source code is excluded -from the Corresponding Source as a System Library, need not be -included in conveying the object code work. - - A "User Product" is either (1) a "consumer product", which means any -tangible personal property which is normally used for personal, family, -or household purposes, or (2) anything designed or sold for incorporation -into a dwelling. In determining whether a product is a consumer product, -doubtful cases shall be resolved in favor of coverage. For a particular -product received by a particular user, "normally used" refers to a -typical or common use of that class of product, regardless of the status -of the particular user or of the way in which the particular user -actually uses, or expects or is expected to use, the product. A product -is a consumer product regardless of whether the product has substantial -commercial, industrial or non-consumer uses, unless such uses represent -the only significant mode of use of the product. - - "Installation Information" for a User Product means any methods, -procedures, authorization keys, or other information required to install -and execute modified versions of a covered work in that User Product from -a modified version of its Corresponding Source. The information must -suffice to ensure that the continued functioning of the modified object -code is in no case prevented or interfered with solely because -modification has been made. - - If you convey an object code work under this section in, or with, or -specifically for use in, a User Product, and the conveying occurs as -part of a transaction in which the right of possession and use of the -User Product is transferred to the recipient in perpetuity or for a -fixed term (regardless of how the transaction is characterized), the -Corresponding Source conveyed under this section must be accompanied -by the Installation Information. But this requirement does not apply -if neither you nor any third party retains the ability to install -modified object code on the User Product (for example, the work has -been installed in ROM). - - The requirement to provide Installation Information does not include a -requirement to continue to provide support service, warranty, or updates -for a work that has been modified or installed by the recipient, or for -the User Product in which it has been modified or installed. Access to a -network may be denied when the modification itself materially and -adversely affects the operation of the network or violates the rules and -protocols for communication across the network. - - Corresponding Source conveyed, and Installation Information provided, -in accord with this section must be in a format that is publicly -documented (and with an implementation available to the public in -source code form), and must require no special password or key for -unpacking, reading or copying. - - 7. Additional Terms. - - "Additional permissions" are terms that supplement the terms of this -License by making exceptions from one or more of its conditions. -Additional permissions that are applicable to the entire Program shall -be treated as though they were included in this License, to the extent -that they are valid under applicable law. If additional permissions -apply only to part of the Program, that part may be used separately -under those permissions, but the entire Program remains governed by -this License without regard to the additional permissions. - - When you convey a copy of a covered work, you may at your option -remove any additional permissions from that copy, or from any part of -it. (Additional permissions may be written to require their own -removal in certain cases when you modify the work.) You may place -additional permissions on material, added by you to a covered work, -for which you have or can give appropriate copyright permission. - - Notwithstanding any other provision of this License, for material you -add to a covered work, you may (if authorized by the copyright holders of -that material) supplement the terms of this License with terms: - - a) Disclaiming warranty or limiting liability differently from the - terms of sections 15 and 16 of this License; or - - b) Requiring preservation of specified reasonable legal notices or - author attributions in that material or in the Appropriate Legal - Notices displayed by works containing it; or - - c) Prohibiting misrepresentation of the origin of that material, or - requiring that modified versions of such material be marked in - reasonable ways as different from the original version; or - - d) Limiting the use for publicity purposes of names of licensors or - authors of the material; or - - e) Declining to grant rights under trademark law for use of some - trade names, trademarks, or service marks; or - - f) Requiring indemnification of licensors and authors of that - material by anyone who conveys the material (or modified versions of - it) with contractual assumptions of liability to the recipient, for - any liability that these contractual assumptions directly impose on - those licensors and authors. - - All other non-permissive additional terms are considered "further -restrictions" within the meaning of section 10. If the Program as you -received it, or any part of it, contains a notice stating that it is -governed by this License along with a term that is a further -restriction, you may remove that term. If a license document contains -a further restriction but permits relicensing or conveying under this -License, you may add to a covered work material governed by the terms -of that license document, provided that the further restriction does -not survive such relicensing or conveying. - - If you add terms to a covered work in accord with this section, you -must place, in the relevant source files, a statement of the -additional terms that apply to those files, or a notice indicating -where to find the applicable terms. - - Additional terms, permissive or non-permissive, may be stated in the -form of a separately written license, or stated as exceptions; -the above requirements apply either way. - - 8. Termination. - - You may not propagate or modify a covered work except as expressly -provided under this License. Any attempt otherwise to propagate or -modify it is void, and will automatically terminate your rights under -this License (including any patent licenses granted under the third -paragraph of section 11). - - However, if you cease all violation of this License, then your -license from a particular copyright holder is reinstated (a) -provisionally, unless and until the copyright holder explicitly and -finally terminates your license, and (b) permanently, if the copyright -holder fails to notify you of the violation by some reasonable means -prior to 60 days after the cessation. - - Moreover, your license from a particular copyright holder is -reinstated permanently if the copyright holder notifies you of the -violation by some reasonable means, this is the first time you have -received notice of violation of this License (for any work) from that -copyright holder, and you cure the violation prior to 30 days after -your receipt of the notice. - - Termination of your rights under this section does not terminate the -licenses of parties who have received copies or rights from you under -this License. If your rights have been terminated and not permanently -reinstated, you do not qualify to receive new licenses for the same -material under section 10. - - 9. Acceptance Not Required for Having Copies. - - You are not required to accept this License in order to receive or -run a copy of the Program. Ancillary propagation of a covered work -occurring solely as a consequence of using peer-to-peer transmission -to receive a copy likewise does not require acceptance. However, -nothing other than this License grants you permission to propagate or -modify any covered work. These actions infringe copyright if you do -not accept this License. Therefore, by modifying or propagating a -covered work, you indicate your acceptance of this License to do so. - - 10. Automatic Licensing of Downstream Recipients. - - Each time you convey a covered work, the recipient automatically -receives a license from the original licensors, to run, modify and -propagate that work, subject to this License. You are not responsible -for enforcing compliance by third parties with this License. - - An "entity transaction" is a transaction transferring control of an -organization, or substantially all assets of one, or subdividing an -organization, or merging organizations. If propagation of a covered -work results from an entity transaction, each party to that -transaction who receives a copy of the work also receives whatever -licenses to the work the party's predecessor in interest had or could -give under the previous paragraph, plus a right to possession of the -Corresponding Source of the work from the predecessor in interest, if -the predecessor has it or can get it with reasonable efforts. - - You may not impose any further restrictions on the exercise of the -rights granted or affirmed under this License. For example, you may -not impose a license fee, royalty, or other charge for exercise of -rights granted under this License, and you may not initiate litigation -(including a cross-claim or counterclaim in a lawsuit) alleging that -any patent claim is infringed by making, using, selling, offering for -sale, or importing the Program or any portion of it. - - 11. Patents. - - A "contributor" is a copyright holder who authorizes use under this -License of the Program or a work on which the Program is based. The -work thus licensed is called the contributor's "contributor version". - - A contributor's "essential patent claims" are all patent claims -owned or controlled by the contributor, whether already acquired or -hereafter acquired, that would be infringed by some manner, permitted -by this License, of making, using, or selling its contributor version, -but do not include claims that would be infringed only as a -consequence of further modification of the contributor version. For -purposes of this definition, "control" includes the right to grant -patent sublicenses in a manner consistent with the requirements of -this License. - - Each contributor grants you a non-exclusive, worldwide, royalty-free -patent license under the contributor's essential patent claims, to -make, use, sell, offer for sale, import and otherwise run, modify and -propagate the contents of its contributor version. - - In the following three paragraphs, a "patent license" is any express -agreement or commitment, however denominated, not to enforce a patent -(such as an express permission to practice a patent or covenant not to -sue for patent infringement). To "grant" such a patent license to a -party means to make such an agreement or commitment not to enforce a -patent against the party. - - If you convey a covered work, knowingly relying on a patent license, -and the Corresponding Source of the work is not available for anyone -to copy, free of charge and under the terms of this License, through a -publicly available network server or other readily accessible means, -then you must either (1) cause the Corresponding Source to be so -available, or (2) arrange to deprive yourself of the benefit of the -patent license for this particular work, or (3) arrange, in a manner -consistent with the requirements of this License, to extend the patent -license to downstream recipients. "Knowingly relying" means you have -actual knowledge that, but for the patent license, your conveying the -covered work in a country, or your recipient's use of the covered work -in a country, would infringe one or more identifiable patents in that -country that you have reason to believe are valid. - - If, pursuant to or in connection with a single transaction or -arrangement, you convey, or propagate by procuring conveyance of, a -covered work, and grant a patent license to some of the parties -receiving the covered work authorizing them to use, propagate, modify -or convey a specific copy of the covered work, then the patent license -you grant is automatically extended to all recipients of the covered -work and works based on it. - - A patent license is "discriminatory" if it does not include within -the scope of its coverage, prohibits the exercise of, or is -conditioned on the non-exercise of one or more of the rights that are -specifically granted under this License. You may not convey a covered -work if you are a party to an arrangement with a third party that is -in the business of distributing software, under which you make payment -to the third party based on the extent of your activity of conveying -the work, and under which the third party grants, to any of the -parties who would receive the covered work from you, a discriminatory -patent license (a) in connection with copies of the covered work -conveyed by you (or copies made from those copies), or (b) primarily -for and in connection with specific products or compilations that -contain the covered work, unless you entered into that arrangement, -or that patent license was granted, prior to 28 March 2007. - - Nothing in this License shall be construed as excluding or limiting -any implied license or other defenses to infringement that may -otherwise be available to you under applicable patent law. - - 12. No Surrender of Others' Freedom. - - If conditions are imposed on you (whether by court order, agreement or -otherwise) that contradict the conditions of this License, they do not -excuse you from the conditions of this License. If you cannot convey a -covered work so as to satisfy simultaneously your obligations under this -License and any other pertinent obligations, then as a consequence you may -not convey it at all. For example, if you agree to terms that obligate you -to collect a royalty for further conveying from those to whom you convey -the Program, the only way you could satisfy both those terms and this -License would be to refrain entirely from conveying the Program. - - 13. Use with the GNU Affero General Public License. - - Notwithstanding any other provision of this License, you have -permission to link or combine any covered work with a work licensed -under version 3 of the GNU Affero General Public License into a single -combined work, and to convey the resulting work. The terms of this -License will continue to apply to the part which is the covered work, -but the special requirements of the GNU Affero General Public License, -section 13, concerning interaction through a network will apply to the -combination as such. - - 14. Revised Versions of this License. - - The Free Software Foundation may publish revised and/or new versions of -the GNU General Public License from time to time. Such new versions will -be similar in spirit to the present version, but may differ in detail to -address new problems or concerns. - - Each version is given a distinguishing version number. If the -Program specifies that a certain numbered version of the GNU General -Public License "or any later version" applies to it, you have the -option of following the terms and conditions either of that numbered -version or of any later version published by the Free Software -Foundation. If the Program does not specify a version number of the -GNU General Public License, you may choose any version ever published -by the Free Software Foundation. - - If the Program specifies that a proxy can decide which future -versions of the GNU General Public License can be used, that proxy's -public statement of acceptance of a version permanently authorizes you -to choose that version for the Program. - - Later license versions may give you additional or different -permissions. However, no additional obligations are imposed on any -author or copyright holder as a result of your choosing to follow a -later version. - - 15. Disclaimer of Warranty. - - THERE IS NO WARRANTY FOR THE PROGRAM, TO THE EXTENT PERMITTED BY -APPLICABLE LAW. EXCEPT WHEN OTHERWISE STATED IN WRITING THE COPYRIGHT -HOLDERS AND/OR OTHER PARTIES PROVIDE THE PROGRAM "AS IS" WITHOUT WARRANTY -OF ANY KIND, EITHER EXPRESSED OR IMPLIED, INCLUDING, BUT NOT LIMITED TO, -THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR -PURPOSE. THE ENTIRE RISK AS TO THE QUALITY AND PERFORMANCE OF THE PROGRAM -IS WITH YOU. SHOULD THE PROGRAM PROVE DEFECTIVE, YOU ASSUME THE COST OF -ALL NECESSARY SERVICING, REPAIR OR CORRECTION. - - 16. Limitation of Liability. - - IN NO EVENT UNLESS REQUIRED BY APPLICABLE LAW OR AGREED TO IN WRITING -WILL ANY COPYRIGHT HOLDER, OR ANY OTHER PARTY WHO MODIFIES AND/OR CONVEYS -THE PROGRAM AS PERMITTED ABOVE, BE LIABLE TO YOU FOR DAMAGES, INCLUDING ANY -GENERAL, SPECIAL, INCIDENTAL OR CONSEQUENTIAL DAMAGES ARISING OUT OF THE -USE OR INABILITY TO USE THE PROGRAM (INCLUDING BUT NOT LIMITED TO LOSS OF -DATA OR DATA BEING RENDERED INACCURATE OR LOSSES SUSTAINED BY YOU OR THIRD -PARTIES OR A FAILURE OF THE PROGRAM TO OPERATE WITH ANY OTHER PROGRAMS), -EVEN IF SUCH HOLDER OR OTHER PARTY HAS BEEN ADVISED OF THE POSSIBILITY OF -SUCH DAMAGES. - - 17. Interpretation of Sections 15 and 16. - - If the disclaimer of warranty and limitation of liability provided -above cannot be given local legal effect according to their terms, -reviewing courts shall apply local law that most closely approximates -an absolute waiver of all civil liability in connection with the -Program, unless a warranty or assumption of liability accompanies a -copy of the Program in return for a fee. - - END OF TERMS AND CONDITIONS - - How to Apply These Terms to Your New Programs - - If you develop a new program, and you want it to be of the greatest -possible use to the public, the best way to achieve this is to make it -free software which everyone can redistribute and change under these terms. - - To do so, attach the following notices to the program. It is safest -to attach them to the start of each source file to most effectively -state the exclusion of warranty; and each file should have at least -the "copyright" line and a pointer to where the full notice is found. - - <one line to give the program's name and a brief idea of what it does.> - Copyright (C) <year> <name of author> - - This program is free software: you can redistribute it and/or modify - it under the terms of the GNU General Public License as published by - the Free Software Foundation, either version 3 of the License, or - (at your option) any later version. - - This program is distributed in the hope that it will be useful, - but WITHOUT ANY WARRANTY; without even the implied warranty of - MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the - GNU General Public License for more details. - - You should have received a copy of the GNU General Public License - along with this program. If not, see <http://www.gnu.org/licenses/>. - -Also add information on how to contact you by electronic and paper mail. - - If the program does terminal interaction, make it output a short -notice like this when it starts in an interactive mode: - - <program> Copyright (C) <year> <name of author> - This program comes with ABSOLUTELY NO WARRANTY; for details type `show w'. - This is free software, and you are welcome to redistribute it - under certain conditions; type `show c' for details. - -The hypothetical commands `show w' and `show c' should show the appropriate -parts of the General Public License. Of course, your program's commands -might be different; for a GUI interface, you would use an "about box". - - You should also get your employer (if you work as a programmer) or school, -if any, to sign a "copyright disclaimer" for the program, if necessary. -For more information on this, and how to apply and follow the GNU GPL, see -<http://www.gnu.org/licenses/>. - - The GNU General Public License does not permit incorporating your program -into proprietary programs. If your program is a subroutine library, you -may consider it more useful to permit linking proprietary applications with -the library. If this is what you want to do, use the GNU Lesser General -Public License instead of this License. But first, please read -<http://www.gnu.org/philosophy/why-not-lgpl.html>.
--- a/main/financial/DESCRIPTION Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,12 +0,0 @@ -Name: financial -Version: 0.4.0 -Date: 2012-04-18 -Author: Bill Denney <bill@denney.ws>, Kurt Hornik <Kurt.Hornik@wu-wien.ac.at> -Maintainer: Octave-Forge community <octave-dev@lists.sourceforge.net> -Title: Financial -Description: Financial manipulation, plotting functions and additional - date manipulation tools. -Depends: octave (>= 3.0.1), io (>= 1.0.18) -Autoload: no -License: GPLv3+ -Url: http://octave.sf.net
--- a/main/financial/INDEX Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,61 +0,0 @@ -financial >> Financial -Financial - cfconv - cfdur - corr2cov - cov2corr - effrr - fetch - fvl - fv - google - hhigh - irr - llow - mirr - movavg - negvolidx - nomrr - nper - npv - onbalvol - pmt - posvolidx - pvl - pv - rate - rsindex - taxedrr - vol - yahoo -Plot - bolling - dateaxis - highlow - pointfig -Time - busdate - busdays - datefind - datesplit - day - daysact - easter - eomdate - fbusdate - holidays - hour - isbusday - lbusdate - lweekdate - m2xdate - minute - month - months - nweekdate - second - thirdwednesday - today - x2mdate - yeardays - year
--- a/main/financial/NEWS Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,58 +0,0 @@ -Summary of important user-visible changes for financial 0.X.X: -------------------------------------------------------------------- - - ** `isbusday' has been fixed to accept non-integer values. - - ** `holidays' has been changed to include past dates where the NYSE - was closed due to exceptional reasons. - - ** `holidays' has been fixed to not count New Year's holidays when it - falls on a Saturday (Saturday holidays should be shifted to the - previous Friday except when it crosses a calendar year). - - ** The function month now also returns a string with the 3 letter - abbreviation of the month number. The functions, year, month, day, - hour, minute, and second, all accept an optional input argument - to specify the format of an input date string. - -Summary of important user-visible changes for financial 0.4.0: -------------------------------------------------------------------- - - ** The following functions are new at financial 0.4.0: - - cfconv cfdur corr2cov cov2corr - - ** The following functions have been imported from the time package - which has been removed (it is now simply a dummy package that - lists the financial package as its single dependency): - - busdate busdays datefind datesplit - day daysact easter eomdate - fbusdate holidays hour isbusday - lbusdate lweekdate m2xdate minute - month months nweekdate second - thirdwednesday today x2mdate year - yeardays - - ** The following functions were made private (`fetch' should be used - directly instead): - - __fetch_google__ __fetch_yahoo__ - - ** The function `datesplit' (just imported from the time package) has - been deprecated in favour of `datevec' from Octave-core. - - ** The functions `rate' and `irr' should now be compatible with new - releases of octave. - - ** The function `fetch' should now work properly when using google - finnance to adapt to the UTF-8 file received. - - ** The function `dateaxis' should no longer enter in debug mode at the - end of its call. - - ** The package is now dependent on the io package (version 1.0.18 or - later) since the functions that it depended of from miscellaneous - package have been moved to io. - - ** Package is no longer automatically loaded.
--- a/main/financial/inst/bolling.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,72 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} bolling (@var{asset}, @var{samples}) -## @deftypefnx {Function File} {} bolling (@var{asset}, @var{samples}, @var{alpha}) -## @deftypefnx {Function File} {} bolling (@var{asset}, @var{samples}, @var{alpha}, @var{width}) -## @deftypefnx {Function File} {[@var{movavg}, @var{upperband}, @var{lowerband}] =} bolling (@var{asset}, @var{samples}, ...) -## -## If no output is requested, plot the bollinger bands of the -## @var{asset}. If output is requested, return the values for the -## bollinger bands. If given, @var{alpha} is the weighting power of the -## moving average; 0 (default) is the simple moving average, see -## @code{movavg} for the full definition. @var{width} is the number of -## standard deviations to plot above and below the moving average -## (default: 2). -## -## @seealso{movavg, candle, dateaxis, highlow, pointfig} -## @end deftypefn - -function [varargout] = bolling (asset, samples, alpha, width) - - ## Check input and set the defaults - if nargin < 2 || nargin > 4 - print_usage (); - elseif nargin < 3 - alpha = 0; - endif - if nargin < 4 - width = 2; - endif - - if samples > length (asset) - error ("Samples must be <= the length of the asset") - endif - - ## the moving average and the standard deviation - avg = movavg(asset, samples, samples, alpha); - s = zeros(size(avg)); - - ## Assume that the standard deviation is constant for the first samples - ## FIXME: is this what matlab assumes - s(1:samples) = std (asset(1:samples)); - for i = samples+1:length (asset) - s(i) = std (asset(i - samples + 1:i)); - endfor - - if nargout > 0 - varargout{1} = avg; - else - plot((1:length(avg))', [avg(:), avg(:)+s(:), avg(:)-s(:)]); - endif - if nargout > 1 - varargout{2} = avg + s; - endif - if nargout > 2 - varargout{3} = avg - s; - endif - -endfunction
--- a/main/financial/inst/busdate.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,97 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {b =} busdate (refdate) -## @deftypefnx {Function File} {b =} busdate (refdate, direction) -## @deftypefnx {Function File} {b =} busdate (refdate, direction, holiday) -## @deftypefnx {Function File} {b =} busdate (refdate, direction, holiday, weekend) -## -## Return the datenum of the next or previous business day from -## @var{refdate}. @var{direction} indicates the next day (default) if 1 -## and the previous day if -1. @var{holiday} is a vector of datenums -## that defines the holidays observed (the holidays function is used if -## not given). @var{weekend} defines the days of the week that should -## be considered weekends; [1 0 0 0 0 0 1] (default) indicates that -## Sunday and Saturday are holidays. -## -## If any of the optional inputs (@var{direction}, @var{holiday}, -## @var{weekend}) are empty, then the default is used. -## -## @seealso{holidays, lbusdate, isbusday, fbusdate} -## @end deftypefn - -function rd = busdate (rd, d, hol, wkend) - - if ~isnumeric (rd) - rd = datenum ( rd); - endif - if nargin < 2 || isempty (d) - d = 1; - elseif ~ all (abs (d) == 1) - ## People could use other numbers to skip days, but that is not - ## supported. - error ("directions must all be either 1 or -1.") - endif - if nargin < 3 - hol = []; - end - if nargin < 4 - wkend = []; - elseif nargin > 4 - print_usage (); - endif - - rd += d; - mask = ~isbusday (rd, hol, wkend); - while any (mask) - ## Only recompute for the days that are not yet business days - if isscalar (d) - rd(mask) += d; - else - rd(mask) += d(mask); - endif - mask(mask) = ~isbusday (rd(mask), hol, wkend); - endwhile - -endfunction - -## Tests -## A normal day -%!assert(busdate(datenum(2008,1,2)), datenum(2008,1,3)) -## A holiday -%!assert(busdate(datenum(2007,12,31)), datenum(2008,1,2)) -## Go over a weekend and start in a weekend -%!assert(busdate(datenum(2007,1,5)), datenum(2007,1,8)) -%!assert(busdate(datenum(2007,1,6)), datenum(2007,1,8)) -## Backward -%!assert(busdate(datenum(2008,1,3), -1), datenum(2008,1,2)) -## Backward holiday -%!assert(busdate(datenum(2008,1,2), -1), datenum(2007,12,31)) -## Backward with alternate holidays -%!assert(busdate(datenum(2008,1,2), -1, datenum(2007,1,1):datenum(2008,1,1)), datenum(2006,12,29)) -## Multiple dates in both orientations -%!assert(busdate([datenum(2008,1,2) datenum(2007,1,1)]), [datenum(2008,1,3) datenum(2007,1,2)]) -%!assert(busdate([datenum(2008,1,2) datenum(2007,1,1)], [1 1]), [datenum(2008,1,3) datenum(2007,1,2)]) -%!assert(busdate([datenum(2008,1,2) datenum(2007,1,1)], 1), [datenum(2008,1,3) datenum(2007,1,2)]) -%!assert(busdate([datenum(2008,1,2);datenum(2007,1,1)], [1;1]), [datenum(2008,1,3);datenum(2007,1,2)]) -## Multiple dates with opposite directions holidays and weekends -%!assert(busdate([datenum(2008,1,2);datenum(2007,1,2)], [1;-1]), [datenum(2008,1,3);datenum(2006,12,29)]) -## Alternate weekends -%!assert(busdate(datenum(2008,1,2), 1, holidays(datenum(2008,1,1), datenum(2008,1,31)), [1 0 0 0 0 0 0]), datenum(2008,1,3)) -%!assert(busdate(datenum(2008,1,4), 1, holidays(datenum(2008,1,1), datenum(2008,1,31)), [1 0 0 0 0 0 0]), datenum(2008,1,5)) -%!assert(busdate(datenum(2008,1,5), 1, holidays(datenum(2008,1,1), datenum(2008,1,31)), [1 0 0 0 0 0 0]), datenum(2008,1,7)) -%!assert(busdate(datenum(2008,1,6), 1, holidays(datenum(2008,1,1), datenum(2008,1,31)), [1 0 0 0 0 0 0]), datenum(2008,1,7)) -%!assert(busdate(datenum(2008,1,1), 1, holidays(datenum(2008,1,1), datenum(2008,1,31)), [1 1 1 1 1 1 0]), datenum(2008,1,5))
--- a/main/financial/inst/busdays.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,127 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{bdates} =} busdays (@var{sdate}, @var{edate}) -## @deftypefnx {Function File} {@var{bdates} =} busdays (@var{sdate}, @var{edate}, @var{bdmode}) -## @deftypefnx {Function File} {@var{bdates} =} busdays (@var{sdate}, @var{edate}, @var{bdmode}, @var{holvec}) -## Generate a list of business dates at the end of the periods defined -## between (including) @var{sdate} and @var{edate}. -## -## @var{sdate} is the starting date, @var{edate} is the ending date, -## both are in serial date format (see datenum). @var{bdmode} is the -## business day frequency ("daily", "weekly", "monthly", "quarterly", -## "semiannual", or "annual"); these can be abbreviated by the first -## letter and they may also use an integer corresponding to the order in -## the above list (i.e. "daily" = 1). @var{holvec} is an optional list -## of holidays. If the holidays are not given, then the holidays -## function is used. -## @seealso{holidays, busdate, lbusdate, isbusday, fbusdate, datenum} -## @end deftypefn - -function bd = busdays (sd, ed, mode=1, hol=[]) - - if nargin < 2 || nargin > 4 - print_usage (); - endif - if ~isnumeric (sd) - sd = datenum (sd); - endif - if ~isnumeric (ed) - ed = datenum (ed); - endif - if ed < sd - error ("busdays: the start date must be less than the end date") - endif - if isempty (hol) - ## make the holidays take into account the whole ending year because - ## the day may extend beyond the actual ending date - edtmp = datevec (ed); - edtmp(2:3) = [12 31]; - hol = holidays (sd, datenum (edtmp)); - endif - ## Convert the mode to the numeric - modestr = "dwmqsa"; - if ischar (mode) - mode = find (lower (mode(1)) == modestr); - if isempty (mode) - error ("busdays: mode must be one of '%s'", modestr) - endif - elseif isnumeric (mode) - if mode < 1 || mode > length (modestr) - error ("busdays: mode must be between 1 and %d", length (modestr)) - endif - else - error ("busdays: mode must be a number or string") - endif - - ## do the computation - if mode == 1 - ## daily - bd = (sd:ed)'(isbusday (sd:ed, hol)); - elseif mode < 6 - if mode == 2 - ## weekly make the start and end dates Fridays and then move back - ## from there - wd = weekday ([sd;ed]); - d = [sd;ed] - wd + 7; - ## there are generally not more than one week of holidays at a - ## time, but the call to unique will make certain of that. - bd = unique (busdate ([d(1):7:d(2)]', -1, hol)); - else - d = datevec ([sd:ed]); - ## unique year and month list within the date range - ym = unique (d(:,1:2), "rows"); - if mode == 3 - ## monthly, do nothing to the ym list - elseif mode == 4 - ## quarterly - if mod (ym(end), 3) != 0 - ## make the last month an end of quarter month - ym(end) = ym(end) + 3 - mod (ym(end), 3); - endif - ym(mod (ym(:,2), 3) != 0, :) = []; - elseif mode == 5 - ## semi-annually - if mod (ym(end), 6) != 0 - ## make the last month an end of semi-annual month (6, 12) - ym(end) = ym(end) + 6 - mod (ym(end), 6); - endif - ym(mod (ym(:,2), 6) != 0, :) = []; - endif - bd = lbusdate (ym(:,1), ym(:,2), hol); - endif - elseif mode == 6 - ## annual - d = datevec ([sd;ed]); - bd = lbusdate ((d(1,1):d(2,1))', 12, hol); - else - ## this should have been caught before now - error ("busdays: invalid mode") - endif - -endfunction - -## Tests -%!assert (busdays (datenum (2008, 1, 1), datenum (2008, 1, 12)), datenum (2008, 1, [2;3;4;7;8;9;10;11])) -%!assert (busdays (datenum (2008, 1, 1), datenum (2008, 1, 12), "d"), datenum (2008, 1, [2;3;4;7;8;9;10;11])) -%!assert (busdays (datenum (2001, 1, 2), datenum (2001, 1, 9), "w"), datenum (2001, 1, [5;12])) -%!assert (busdays (datenum (2008, 1, 1), datenum (2008, 1, 2), "m"), datenum (2008, 1, 31)) -%!assert (busdays (datenum (2008, 1, 1), datenum (2010, 5, 2), "m"), lbusdate ([2008*ones(12,1);2009*ones(12,1);2010*ones(5,1)], [1:12 1:12 1:5]')) -%!assert (busdays (datenum (2008, 1, 1), datenum (2008, 1, 2), "q"), datenum (2008, 3, 31)) -%!assert (busdays (datenum (2008, 1, 1), datenum (2010, 5, 2), "q"), lbusdate ([2008*ones(4,1);2009*ones(4,1);2010*ones(2,1)], [3:3:12 3:3:12 3 6]')) -%!assert (busdays (datenum (2008, 1, 1), datenum (2008, 1, 2), "s"), datenum (2008, 6, 30)) -%!assert (busdays (datenum (2008, 1, 1), datenum (2010, 5, 2), "s"), lbusdate ([2008;2008;2009;2009;2010], [6 12 6 12 6]')) -%!assert (busdays (datenum (2008, 1, 1), datenum (2011, 1, 2), "a"), datenum ([2008;2009;2010;2011], [12;12;12;12], [31;31;30;30]))
--- a/main/financial/inst/cfconv.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,60 +0,0 @@ -## Copyright (C) 2011 Hong Yu <hyu0401@hotmail.com> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{cfConv} =} cfconv (@var{cf}, @var{yield}) -## Calculate convexity @var{cfConv} from given fixed-paid cash flow @var{cf} and -## period yield @var{yield}. -## -## Reference: -## -## [1] http://thismatter.com/money/bonds/duration-convexity.htm -## -## [2] http://en.wikipedia.org/wiki/Bond_convexity -## -## @seealso{cfdur} -## @end deftypefn - -function [cfConv] = cfconv (cf, yield) - - if ( nargin != 2 ) - print_usage (); - elseif ( ! isscalar(yield) ) - error("yield: must be scalar"); - elseif ( rows(cf) != 1 ) - error("Cash Flow: must be 1xN"); - endif - - v_idx = 1:columns(cf); - t1 = (1+yield) .^ (-v_idx); - t2 = ((v_idx .^ 2) + v_idx) .* t1; - - cfConv = (cf*t2') / (cf*t1') / (1+yield) / (1+yield); - -endfunction - -%!demo -%! cf = [2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5]; -%! yield = 0.025; -%! cfConv = cfconv( cf, yield ) -%! %-------------------------------------------------- -%! % Input cash flow and yield, output convexity - -%!test -%! cf = [2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5]; -%! cfConv = cfconv( cf, 0.025 ); -%! errVal = round(cfConv*(1e+4))*(1e-4) - 90.4493; -%! errVal = round(errVal*(1e+10)); -%! assert(errVal, 0)
--- a/main/financial/inst/cfdur.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,62 +0,0 @@ -## Copyright (C) 2011 Hong Yu <hyu0401@hotmail.com> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {[@var{dur}, @var{mod_dur}] =} cfdur (@var{cf}, @var{yield}) -## Calculate duration @var{dur} and modified duration @var{mod_dur}, from given -## fixed-paid cash flow @var{cf} and period yield @var{yield}. -## -## Reference: -## http://en.wikipedia.org/wiki/Bond_duration -## Using periodic compounding instead of continuous compounding. -## -## @seealso{cfconv} -## @end deftypefn - -function [dur, modDur] = cfdur (cf, yield) - - if ( nargin != 2 ) - print_usage (); - elseif ( ! isscalar(yield) ) - error("input yield must be a scalar"); - endif - - if ( rows(1) != 1 ) - error("input cash flow must be a 1xN matrix"); - endif - - v_idx = 1:columns(cf); - t1 = (1+yield) .^ (-v_idx); - t2 = v_idx .* t1; - - dur = (cf*t2') / (cf*t1'); - modDur = dur / (1+yield); - -endfunction - -%!demo -%! cf = [2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5]; -%! yield = 0.025; -%! [ duration, modDuration ] = cfdur( cf, yield ) -%! %-------------------------------------------------- -%! % Input cash flow and yield, output duration and modified duration - -%!test -%! cf = [2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5]; -%! [dur modDur] = cfdur( cf, 0.025 ); -%! errVal1 = round(dur*(1e+4))*(1e-4) - 8.9709; -%! errVal2 = round(modDur*(1e+4))*(1e-4) - 8.7521; -%! assert( errVal1, 0 ) -%! assert( errVal2, 0 )
--- a/main/financial/inst/corr2cov.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,55 +0,0 @@ -## Copyright (C) 2011 Hong Yu <hyu0401@hotmail.com> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{cov} =} corr2cov (@var{sigma}, @var{corr}) -## Convert standard deviation @var{sigma} and correlation coefficients @var{corr} -## to covariance @var{cov}. -## -## Note that the rate @var{r} is specified as a fraction (i.e., 0.05, -## not 5 percent). -## @seealso{corrcoef, cov, cov2corr, std} -## @end deftypefn - -function ret = corr2cov (sigma, corr) - - if ( nargin != 2 ) - print_usage (); - elseif ( rows(corr) != columns(corr) || ndims(corr) != 2 ) - error("correlation coefficients must be a NxN matrix"); - elseif ( rows(sigma) != 1 || ndims(sigma) != 2 ) - error("sigma must be a 1xN vector (single row) with the standard deviation values"); - elseif ( columns(sigma) < columns(1) ) - error("sigma: must be 1xN \ncorr: must be NxN"); - endif - - sigma = sigma(:); - ret = corr .* (sigma * sigma'); - -endfunction - -%!demo -%! sigma = [ 0.5 2.0 ]; -%! corr = [ 1.0 -0.5; -0.5 1.0 ]; -%! cov = corr2cov( sigma, corr ) -%! %-------------------------------------------------- -%! % Input standard deviations and correlation matrix, output covariance -%! % matrix - -%!test -%! sigma = [0.5 2.0]; -%! corr = [1.0 -0.5; -0.5 1.0]; -%! cov = corr2cov( sigma, corr ); -%! assert( cov, [ 0.25 -0.5; -0.5 4.0 ] )
--- a/main/financial/inst/cov2corr.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,53 +0,0 @@ -## Copyright (C) 2011 Hong Yu <hyu0401@hotmail.com> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {[@var{sigma}, @var{corr}] =} cov2corr (@var{cov}) -## Convert covariance @var{cov} from input to standard deviation @var{sigma} and -## correlation coefficients @var{corr}. -## -## @seealso{corr2cov, corrcoef, cov, std} -## @end deftypefn - -function [sigma, corr] = cov2corr (cov_m) - - if ( nargin != 1 ) - print_usage (); - elseif ( ndims (cov_m) != 2 || rows(cov_m) != columns(cov_m) ) - error("covariances must be a NxN matrix"); - endif - - sigma = diag(cov_m); - if ( min(sigma) <= 0 ) - error("covariance: must have all positive values along the diagonal") - endif - - sigma = sqrt(sigma)'; - corr = cov_m ./ ( sigma' * sigma ); - -endfunction - -%!demo -%! cov = [ 0.25 -0.5; -0.5 4.0 ]; -%! [ sigma, corr ] = cov2corr( cov ) -%! %-------------------------------------------------- -%! % Input covariance matrix, output standard deviations and correlation -%! % matrix - -%!test -%! cov = [ 0.25 -0.5; -0.5 4.0 ]; -%! [sigma, corr] = cov2corr( cov ); -%! assert( sigma, [0.5 2.0] ) -%! assert( corr, [1.0 -0.5; -0.5 1.0] );
--- a/main/financial/inst/dateaxis.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,101 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} dateaxis () -## @deftypefnx {Function File} {} dateaxis (@var{ax}) -## @deftypefnx {Function File} {} dateaxis (@var{ax}, @var{dateform}) -## @deftypefnx {Function File} {} dateaxis (@var{ax}, @var{dateform}, @var{startdate}) -## @deftypefnx {Function File} {} dateaxis (@var{h}, ...) -## -## Convert the current axis tick labels (or the axis handle @var{h}) to -## a date format. The axis given by @var{ax} ("x", "y", or "z") will be -## changed; the default is "x". The date format, @var{dateform}, used -## will be either auto-determined or an integer corresponding to the -## date formats in datestr. If @var{startdate} is given, then the first -## tick value on the given axis is assumed to be that date. -## -## @seealso{bolling, candle, highlow, movavg, pointfig} -## @end deftypefn - -function dateaxis (varargin) - - ## defaults - h = []; - ax = "x"; - dateform = []; - startdate = []; - - ## check inputs - if nargin > 0 - if ishandle(varargin{1}) - h = varargin{1}; - varargin(1) = []; - endif - if length(varargin) > 0 - ax = varargin{1}; - endif - if length(varargin) > 1 - dateform = varargin{2}; - endif - if length(varargin) > 2 - startdate = varargin{3}; - if ischar(startdate) - startdate = datenum(startdate); - elseif !isnumeric(startdate) - error ("dateaxis: startdate must be either a datenum or numeric") - endif - endif - if length(varargin) > 3 - print_usage (); - endif - endif - - if (isempty (h)) - h = gca (); - endif - - if isempty(dateform) - r = range(get(h, [ax "lim"])); - if r < 10/60/24 - ## minutes and seconds - dateform = 13; - elseif r < 2 - ## hours - dateform = 15; - elseif r < 15 - ## days - dateform = 8; - elseif r < 365 - ## months - dateform = 6; - elseif r < 90*12 - ## quarters - dateform = 27; - else - ## years - dateform = 10; - endif - endif - - ticks = get (h, [ax "tick"]); - if (!isempty (startdate)) - ticks = ticks - ticks(1) + startdate; - endif - ticks = datestr(ticks, dateform); - ticks = mat2cell(ticks, ones(size(ticks,1),1), size(ticks,2)); - set (h, [ax "ticklabel"], ticks); - -endfunction
--- a/main/financial/inst/datefind.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,44 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {indices =} datefind (subset, superset, tol) -## -## Find any instances of the @code{subset} in the @code{superset} with -## the @code{tol}erance. @code{tol} is 0 by default. -## -## @seealso{date, datenum} -## @end deftypefn - -function idx = datefind (subset, superset, tol=0) - - if (nargin < 2 || nargin > 3) - print_usage (); - elseif ! isscalar (tol) - error ("datefind: tol must be a scalar") - endif - - idx = []; - for i = 1:numel (superset) - if any (subset(:) - tol <= superset(i) & superset(i) <= subset(:) + tol) - idx(end+1, 1) = i; - endif - endfor - -endfunction - -## Tests -%!assert (datefind (datenum (1999, 7, [10;20]), datenum (1999, 7, 1:31)), [10;20]) -%!assert (datefind (datenum (1999, 7, [10;20]), datenum (1999, 7, 1:31), 1), [9;10;11;19;20;21])
--- a/main/financial/inst/datesplit.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,492 +0,0 @@ -## Copyright (C) 2001 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {Y =} datesplit(date, P) -## @deftypefnx {Function File} {[Y,M,D,h,m,s] =} datesplit(date, P) -## Split a date string into the Year, Month, Day, hour, minute, and -## second. This routine tries to be as forgiving as possible to the -## date input while requiring that the date is not ambiguous. -## -## Anywhere possible where it would not be ambiguous, efforts were made -## to make times possible with seconds and AM/PM as optional. Also, -## along the same lines, where possible, commas were allowed with -## spaces, and the year/month/day separators were allowed as period (.), -## slash (/), and dash (-). Not all format possibilities are shown in -## the following table, but a date like @code{dd-mmm-yyyy HH:MM:SS} is -## parsed just as well as @code{d/mmm.yyyy, ,H:MM, AM}. -## -## Supported @code{date} formats include (the same as datestr): -## @multitable @columnfractions 0.1 0.45 0.45 -## @item @strong{Code} @tab @strong{Format} @tab @strong{Example} -## @item 0 @tab dd-mmm-yyyy HH:MM:SS @tab 07-Sep-2000 15:38:09 -## @item 1 @tab dd-mmm-yyyy @tab 07-Sep-2000 -## @item 2 @tab mm/dd/yy @tab 09/07/00 -## @item 3 @tab mmm @tab Sep -## @item 6 @tab mm/dd @tab 09/13 -## @item 10 @tab yyyy @tab 2000 -## @item 12 @tab mmmyy @tab Sep00 -## @item 13 @tab HH:MM:SS @tab 15:38:09 -## @item 14 @tab HH:MM:SS PM @tab 03:38:09 PM -## @item 15 @tab HH:MM @tab 15:38 -## @item 16 @tab HH:MM PM @tab 03:38 PM -## @item 17 @tab QQ-YY @tab Q3-00 -## @item 19 @tab dd/mm @tab 13/03 -## @item 20 @tab dd/mm/yy @tab 13/03/95 -## @item 21 @tab mmm.dd.yyyy HH:MM:SS @tab Mar.03.1962 13:53:06 -## @item 22 @tab mmm.dd.yyyy @tab Mar.03.1962 -## @item 23 @tab mm/dd/yyyy @tab 03/13/1962 -## @item 24 @tab dd/mm/yyyy @tab 12/03/1962 -## @item 25 @tab yy/mm/dd @tab 95/03/13 -## @item 26 @tab yyyy/mm/dd @tab 1995/03/13 -## @item 27 @tab QQ-YYYY @tab Q4-2132 -## @item 28 @tab mmmyyyy @tab Mar2047 -## @item 29 @tab yyyymmdd @tab 20470313 -## @item 30 @tab yyyymmddTHHMMSS @tab 20470313T132603 -## @item 31 @tab yyyy-mm-dd HH:MM:SS @tab 1047-03-13 13:26:03 -## @end multitable -## -## The parameter @code{P} is needed to convert date strings with 2 digit -## years into dates with 4 digit years. 2 digit years are assumed to be -## between @code{P} and @code{P+99}. If @code{P} is not given then the -## current year - 50 is used, so that dates are centered on the present. -## For birthdates, you would want @code{P} to be current year - 99. For -## appointments, you would want @code{P} to be current year. -## -## This function makes no strong attempt to verify the accuracy of the -## numbers that it returns in that it doesn't (currently) check to see -## that you're not trying to use the date Feb 30. When applicable, it -## tries to make your input work, though. It will try to determine if -## you're using the date "03/13/95" that the date is "March 13, 1995", -## but if there is doubt, datesplit will return an error instead of -## trying to guess the wrong value. -## -## @seealso{date,clock,now,datestr,datenum,calendar,weekday} -## @end deftypefn - -## TODO: -## * Some formats are ambiguous. Allow the user to specify the format -## to remove ambiguity. -## * Validate the dates. -## * Possible bug (after dates are validated): There are times where -## the year is assumed, Feb 29 may be a valid date, but with the -## assumed year, it may become invalid. -## * Internationalize. Not all months use the English system. -## * Vectorize. That requires vectorization of regexp though... - -function [y, m, d, h, mi, s] = datesplit(ds, P) - - persistent warned = false; - if (! warned) - warned = true; - warning ("Octave:deprecated-function", - "`datesplit' has been deprecated in favor of `datevec' from Octave core. This function will be removed from future versions of the `financial' package"); - endif - - if nargin < 2 - P = []; - endif - - today = datevec(now); - - if (isempty(P)) - P = today(1)-50; - endif - - global __month_names = ["Jan";"Feb";"Mar";"Apr";"May";"Jun";... - "Jul";"Aug";"Sep";"Oct";"Nov";"Dec"]; - global __day_names = ["Sun";"Mon";"Tue";"Wed";"Thu";"Fri";"Sat"]; - global __time_names = ["AM";"PM"]; - - if (iscellstr(ds)) - ds = ds{1}; - endif - ds = tolower(deblank(ds)); - - if (nargin < 1) - error("datesplit: no input arguments"); - elseif (nargin == 1) - fmt = []; - endif - %% we have to determine the format, this could be error prone - - ## format 0 dd-mmm-yyyy HH:MM:SS e.g. 07-Sep-2000 15:38:09 - [match, d, m, y, h, mi, s, ap] = \ - of_regexp("^(3[01]|[0-2]?[0-9])[-./]([a-z]{3})[-./]([0-9]{4})[, ]+(2[0-3]|[01]?[0-9]):([0-5][0-9])(:[0-5][0-9]|)[, ]*([ap]m|)$", ds); - - ## format 21 mmm.dd.yyyy HH:MM:SS e.g. Mar.03.1962 13:53:06 - if (isempty(match)) - [match, m, d, y, h, mi, s, ap] = \ - of_regexp("^([a-z]{3})[-./](3[01]|[0-2]?[0-9])[-./]([0-9]{4})[, ]+(2[0-3]|[01]?[0-9]):([0-5][0-9])(:[0-5][0-9]|)[, ]*([ap]m|)$", ds); - endif - - ## format 31 yyyy-mm-dd HH:MM:SS e.g. 2004-03-13 13:26:03 - if (isempty(match)) - [match, y, m, d, h, mi, s, ap] = \ - of_regexp("^([0-9]{4})[-./](1[012]|0?[0-9])[-./](3[01]|[0-2]?[0-9])[, ]+(2[0-3]|[01]?[0-9]):([0-5][0-9])(:[0-5][0-9]|)[, ]*([ap]m|)$", ds); - endif - - ## format 30 yyyymmddTHHMMSS e.g. 20470313T132603 - if (isempty(match)) - [match, y, m, d, h, mi, s] = \ - of_regexp("^([0-9]{4})(1[012]|0[0-9])(3[01]|[012][0-9])t(2[0-3]|[01][0-9])([0-5][0-9])([0-5][0-9])$", ds); - ap = "NA"; - endif - - ## format 13 HH:MM:SS e.g. 15:38:09 - ## format 14 HH:MM:SS PM e.g. 03:38:09 PM - ## format 15 HH:MM e.g. 15:38 - ## format 16 HH:MM PM e.g. 03:38 PM - if (isempty(match)) - [match, h, mi, s, ap] = \ - of_regexp("^(2[0-3]|[01]?[0-9]):([0-5][0-9])(:[0-5][0-9]|)[, ]*([ap]m|)$", ds); - - if (! isempty(match)) - %% assume that it is as of today - y = today(1); - m = today(2); - d = today(3); - endif - endif - - ## format 1 dd-mmm-yyyy e.g. 07-Sep-2000 - if (isempty(match)) - [match, d, m, y] = \ - of_regexp("^(3[01]|[012]?[0-9])[-./]([a-z]{3})[-./]([0-9]{4})$", ds); - - if (! isempty(match)) - %% assume the beginning of the day - h = 0; - mi = 0; - s = 0; - ap = "NA"; - endif - endif - - ## format 22 mmm.dd.yyyy e.g. Mar.03.1962 - if (isempty(match)) - [match, m, d, y] = \ - of_regexp("^([a-z]{3})[-./](3[01]|[012]?[0-9])[-./]([0-9]{4})$", ds); - - if (! isempty(match)) - %% assume the beginning of the day - h = 0; - mi = 0; - s = 0; - ap = "NA"; - endif - endif - - ## format 2 mm/dd/yy e.g. 09/07/00 - ## format 23 mm/dd/yyyy e.g. 03/13/1962 - ## format 20 dd/mm/yy e.g. 13/03/95 - ## format 24 dd/mm/yyyy e.g. 12/03/1962 - ## format 25 yy/mm/dd e.g. 95/03/13 - ## format 26 yyyy/mm/dd e.g. 1995/03/13 - if (isempty(match)) - [match, d, m, y] = \ - of_regexp("^([0-9]{1,2}|[0-9]{4})[-./](3[01]|[012]?[0-9])[-./]([0-9]{1,2}|[0-9]{4})$", ds); - - if (! isempty(match)) - %% we have to determine if the date is unambiguous - d = str2num(d); - m = str2num(m); - y = str2num(y); - - if ((y == 0) || (y > 31)) - %% we've got the year correct - if ((m > 12) && (d < 13)) - %% we're operating on mm/dd/yyyy - tmp = m; - m = d; - d = tmp; - elseif ((m < 13) && (d > 12)) - %% it's fine - else - %% it's ambiguous - error(["datesplit: ambiguous date " ds]); - endif - elseif ((d == 0) || (d > 31)) - %% the day and the year need to be switched - tmp = y; - y = d; - d = tmp; - else - %% it's ambiguous - error(["datesplit: ambiguous date " ds]); - endif - - %% assume the beginning of the day - h = 0; - mi = 0; - s = 0; - ap = "NA"; - endif - - endif - - ## format 29 yyyymmdd e.g. 20470313 - if (isempty(match)) - [match, y, m, d] = \ - of_regexp("^([0-9]{4})(1[012]|0?[0-9])(3[01]|[012][0-9])$", ds); - %% I've never seen a date that has the year first that was not - %% yyyy/mm/dd, so I'm going to assume that it's unambiguous. - - if (! isempty(match)) - %% assume the beginning of the day - h = 0; - mi = 0; - s = 0; - ap = "NA"; - endif - endif - - ## format 17 QQ-YY e.g. Q3-00 - ## format 27 QQ-YYYY e.g. Q4-2132 - if (isempty(match)) - [match, q, y] = \ - of_regexp("^q([1-4])[-./]([0-9]{2}|[0-9]{4})$", ds); - if (! isempty(match)) - %% Assume that it's the end of the quarter - q = str2num(q); - m = 3*q; - dayopts = [31 30 30 31]; - d = dayopts(q); - - %% assume the end of the day - h = 23; - mi = 59; - s = 59; - ap = "NA"; - endif - endif - - ## format 28 mmmyyyy e.g. Mar2047 - ## format 12 mmmyy e.g. Sep00 - if (isempty(match)) - [match, m, y] = \ - of_regexp("^([a-z]{3})([0-9]{2}|[0-9]{4})$", ds); - if (! isempty(match)) - %% assume the beginning of the month - d = 1; - h = 0; - mi = 0; - s = 0; - ap = "NA"; - endif - endif - - ## format 6 mm/dd e.g. 09/07 - ## format 19 dd/mm e.g. 13/03 - if (isempty(match)) - [match, m, d] = \ - of_regexp("^(3[01]|[012]?[0-9])[-./](3[01]|[012][0-9])$", ds); - - if (! isempty(match)) - m = str2num(m); - d = str2num(d); - - %% we have to determine if the date is unambiguous - if ((m > 12) && (d < 13)) - %% we're operating on mm/dd/yyyy - tmp = m; - m = d; - d = tmp; - elseif ((m < 13) && (d > 12)) - %% it's fine - else - %% it's ambiguous - error(["datesplit: ambiguous date " ds]); - endif - %% assume this year and the beginning of the day - y = today(1); - h = 0; - mi = 0; - s = 0; - ap = "NA"; - endif - endif - - ## format 10 yyyy e.g. 2000 - if (isempty(match)) - [match, y] = of_regexp("^([0-9]{4})$", ds); - - if (! isempty(match)) - %% assume the beginning of the year - m = 1; - d = 1; - h = 0; - mi = 0; - s = 0; - ap = "NA"; - endif - endif - - ## format 3 mmm e.g. Sep - if (isempty(match)) - m = strmatch(ds, tolower(__month_names)); - - if (! isempty(m)) - match = 1; - %% assuming the beginning of the month, this year - y = today(1); - d = 1; - h = 0; - mi = 0; - s = 0; - ap = "NA"; - endif - endif - - ## format 8 ddd e.g. Thu - %% People shouldn't use this function for something like this - - if (isempty(match)) - %% you mean I did all that work, and you still didn't use a valid - %% date? Darn you! - error(["datesplit: Unknown date format " ds]); - endif - - if (! isempty(match)) - if isempty(s) - s = 0; - elseif (ischar(s) && (1 == findstr(s,":"))) - s = s(2:3); - endif - if isempty(ap) - ap = "NA"; - endif - endif - - %% start converting the date from characters to numbers - if (ischar(y)) - y = str2num(y); - if (isempty(y)) - error(["datesplit: Invalid year specification " y]); - endif - endif - %% Handle Y2K issues... - if (y < 100) - y = y + 1900; - if (y < P) - y = y + 100; - endif - endif - - if (ischar(m)) - m_num = str2num(m); - if (isempty(m_num)) - m = strmatch(m, tolower(__month_names)); - else - m = m_num; - endif - if (isempty(m)) - error(["datesplit: Invalid month specification"]); - endif - endif - - if (ischar(d)) - d = str2num(d); - if (isempty(d)) - error(["datesplit: Invalid day specification " d]); - endif - endif - - if (ischar(h)) - h = str2num(h); - if (isempty(h)) - error(["datesplit: Invalid hour specification " h]); - elseif ((ap(2) == "M") && (h > 12)) - error(["datesplit: Invalid hour specification, AM or PM specified but" - "hour is greater than 12."]); - endif - - if (strcmpi(ap, "PM") && (h < 12)) - h = h + 12; - elseif (strcmpi(ap, "AM") && (h == 12)) - h = 0; - endif - endif - - if (ischar(mi)) - mi = str2num(mi); - if (isempty(mi) || (mi > 59)) - error(["datesplit: Invalid minute specification " mi]); - endif - endif - - if (ischar(s)) - s = str2num(s); - if (isempty(s) || (s > 59)) - error(["datesplit: Invalid second specification " s]); - endif - endif - - if (nargout <= 1) - y = [y, m, d, h, mi, s]; - endif - -endfunction - -# wrapper around Octave's regexp -# compatible with octave-forge's regexp - -function varargout = of_regexp(pattern,string) - [S, E, TE, M, T, NM] = regexp(string,pattern); - varargout{1} = S; - - # return sub-strings if match - if (S) - for i=2:nargout - varargout{i} = T{1}{i-1}; - end - else - for i=2:nargout - varargout{i} = []; - end - end -endfunction - - -%!shared nowvec -%! nowvec=datevec(now); % Some tests could fail around midnight! -%!assert (datevec("07-Sep-2000 15:38:09"),[2000,9,7,15,38,9]); -%!assert (datevec("07-Sep-2000"),[2000,9,7,0,0,0]); -%!assert (datevec("1 Jan 2000"),[2000,1,1,0,0,0]); -%!assert (datevec("Sep00"),[2000,9,1,0,0,0]); -%!assert (datevec("15:38:09"),[nowvec(1:3),15,38,9]); -%!assert (datevec("03:38:09 PM"),[nowvec(1:3),15,38,9]); -%!assert (datevec("15:38"),[nowvec(1:3),15,38,0]); -%!assert (datevec("3:38 PM"),[nowvec(1:3),15,38,0]); -%!assert (datevec("03/13/1962"),[1962,3,13,0,0,0]); - -## Ambiguous -%!#assert (datevec("09/07/00"),[2000,9,7,0,0,0]); -%!#assert (datevec("09/13"),[nowvec(1),9,13,0,0,0]); - -## Not supported in octave version of datevec -%!#assert (datevec("Sep"),[nowvec(1),9,1,0,0,0]); -%!#assert (datevec("Q3-00"),[2000,9,30,23,59,59]); -%!#assert (datevec("Q4-2132"),[2132,12,31,23,59,59]); - -## This should be a standard string (without or without the time) -%!assert (datevec("Mar.03.1962 13:53:06","mmm.dd.yyyy HH:MM:SS"),[1962,3,3,13,53,6]); - -## No longer a predefined string to parse the date in octave version -%!assert (datevec("1995/03/13","yyyy/mm/dd"),[1995,3,13,0,0,0]); -%!assert (datevec("Mar2047","mmmyyyy"),[2047,3,1,0,0,0]); -%!assert (datevec("20470313","yyyymmdd"),[2047,3,13,0,0,0]); -%!assert (datevec("20470313T132603","yyyymmddTHHMMSS"),[2047,3,13,13,26,3]); -%!assert (datevec("1047-03-13 13:26:03","yyyy-mm-dd HH:MM:SS"),[1047,3,13,13,26,3]);
--- a/main/financial/inst/day.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,41 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## Copyright (C) 2013 Carnë Draug <carandraug@octave.org> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} day (@var{date}) -## @deftypefnx {Function File} {} day (@var{date}, @var{f}) -## Return hours of a date. -## -## For a given @var{date} in a serial date number or date string format, -## returns its day. The optional variable @var{f}, specifies the -## format string used to interpret date strings. -## -## @seealso{date, datevec, now, month, year} -## @end deftypefn - -function t = day (varargin) - - if (nargin < 1 || nargin > 2) - print_usage (); - elseif (nargin >= 2 && ! ischar (varargin{2})) - error ("day: F must be a string"); - endif - - t = datevec (varargin{:})(:,3); -endfunction - -%!assert (day (523383), 21); -%!assert (day ("12-02-34", "mm-dd-yy"), 2);
--- a/main/financial/inst/daysact.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,76 +0,0 @@ -## Copyright (C) 2007 David Bateman -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} daysact (@var{d1}) -## @deftypefnx {Function File} {} daysact (@var{d1}, @var{d2}) -## Calculates the number of days between two dates. If the second date is not -## given, calculate the number of days since 1-Jan-0000. The variables @var{d1} -## and @var{d2} can either be strings or an @var{n}-row string matrix. If both -## @var{d1} and @var{d2} are string matrices, then the number of rows must -## match. An example of the use of @code{daysact} is -## -## @example -## @group -## daysact ("01-Jan-2007", ["10-Jan-2007"; "23-Feb-2007"; "23-Jul-2007"]) -## @result{} 9 -## 53 -## 203 -## @end group -## @end example -## @seealso{datenum} -## @end deftypefn - -function days = daysact (d1, d2) - if (nargin == 1) - nr = size (d1, 1); - if (nr != 1) - days = zeros (nr,1); - for i = 1 : nr - days (i) = datenum (d1 (i,:)); - endfor - else - days = datenum(d1); - endif - elseif (nargin == 2) - nr1 = size (d1, 1); - nr2 = size (d2, 1); - if (nr1 != nr2 && nr1 != 1 && nr2 != 1) - error ("daysact: size mismatch"); - endif - if (nr1 == 1 && nr2 == 1) - days = datenum (d2) - datenum(d1); - elseif (nr1 == 1) - days = zeros (nr2, 1); - for i = 1 : nr2 - days(i) = datenum (d2 (i,:)) - datenum (d1); - endfor - elseif (nr2 == 1) - days = zeros (nr1, 1); - for i = 1 : nr1 - days(i) = datenum (d2) - datenum (d1 (i,:)); - endfor - else - days = zeros (nr1, 1); - for i = 1 : nr1 - days(i) = datenum (d2 (i, :)) - datenum (d1 (i,:)); - endfor - endif - else - print_usage(); - endif -endfunction - -%!assert (daysact ("01-Jan-2007", ["10-Jan-2007"; "23-Feb-2007"; "23-Jul-2007"]),[9;53;203])
--- a/main/financial/inst/easter.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,69 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {[m, d] =} easter (y) -## @deftypefnx {Function File} {datenum =} easter (y) -## -## Return the month (@var{m}) and day (@var{d}) of Easter in the -## Gregorial calendar on a given year or years. -## -## @seealso{holidays} -## @end deftypefn - -function varargout = easter (y) - - ## This uses the Meesus/Jones/Butcher Gregorian algorithm as described - ## on http://en.wikipedia.org/wiki/Computus#Algorithms - a = mod (y, 19); - b = floor (y/100); - c = mod (y, 100); - d = floor (b/4); - e = mod (b, 4); - f = floor ((b + 8)/25); - g = floor ((b - f + 1)/3); - h = mod ((19*a+b-d-g+15), 30); - i = floor (c/4); - k = mod (c, 4); - L = mod ((32 + 2*e + 2*i - h - k), 7); - m = floor ((a + 11*h + 22*L)/451); - mon = floor ((h + L - 7*m + 114)/31); - day = 1 + mod ((h + L - 7*m + 114), 31); - - if nargout == 2 - varargout = {mon(:), day(:)}; - else - varargout{1} = reshape (datenum (y(:), mon(:), day(:)), size (y)); - end - -endfunction - -## Tests -## Validate that it calculates the correct date for a decade -%!assert(easter(1990), datenum(1990, 4, 15)) -%!assert(easter(1991), datenum(1991, 3, 31)) -%!assert(easter(1992), datenum(1992, 4, 19)) -%!assert(easter(1993), datenum(1993, 4, 11)) -%!assert(easter(1994), datenum(1994, 4, 3)) -%!assert(easter(1995), datenum(1995, 4, 16)) -%!assert(easter(1996), datenum(1996, 4, 7)) -%!assert(easter(1997), datenum(1997, 3, 30)) -%!assert(easter(1998), datenum(1998, 4, 12)) -%!assert(easter(1999), datenum(1999, 4, 4)) -## Validate vector and matrix inputs -%!assert(easter([2000 2001]), [datenum(2000, 4, 23) datenum(2001, 4, 15)]) -%!assert(easter([2002;2003]), [datenum(2002, 3, 31);datenum(2003, 4, 20)]) -%!assert(easter([2004 2005;2006 2007;2008 2009]), [datenum(2004, 4, 11) datenum(2005, 3, 27);datenum(2006, 4, 16) datenum(2007, 4, 8);datenum(2008, 3, 23) datenum(2009, 4, 12)]) -%!assert(easter([2002;2003]), [datenum(2002, 3, 31);datenum(2003, 4, 20)])
--- a/main/financial/inst/effrr.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,34 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{return} =} effrr (@var{rate}, @var{numperiods}) -## Compute the effective rate of return based on a nominal @var{rate} -## over a number of periods, @var{numperiods}. -## @seealso{irr, nomrr} -## @end deftypefn - -function rate = effrr (rate, numperiods) - - if (nargin != 2) - print_usage (); - endif - - rate = (1+rate./numperiods).^numperiods - 1; - -endfunction - -## Tests -%!assert (effrr (0.09, 12), 0.0938, 0.00005)
--- a/main/financial/inst/eomdate.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,40 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{e} =} eomdate (@var{y}, @var{m}) -## Return the last day of the month @var{m} for the year @var{y} in -## datenum format. -## @seealso{datenum, datevec, weekday, eomday} -## @end deftypefn - -function e = eomdate (y, m) - - if (nargin != 2) - print_usage (); - endif - - d = eomday (y, m); - e = datenum (y, m, d); - -endfunction - -## Tests -## Leap years -%!assert(eomdate(2008, 2), datenum(2008, 2, 29)) -%!assert(eomdate(2007, 2), datenum(2007, 2, 28)) -## Vectors -%!assert(eomdate([2008 2007], [3 4]), [datenum(2008, 3, 31) datenum(2007, 4, 30)]) -%!assert(eomdate([2008;2007], [3;4]), [datenum(2008, 3, 31);datenum(2007, 4, 30)])
--- a/main/financial/inst/fbusdate.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,58 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {b =} fbusdate (year, month) -## @deftypefnx {Function File} {b =} fbusdate (year, month, holiday) -## @deftypefnx {Function File} {b =} fbusdate (year, month, holiday, weekend) -## -## Return the datenum of the first business day of the @var{year} and -## @var{month}. @var{holiday} is a vector of datenums that defines the -## holidays observed (the holidays function is used if not given). -## @var{weekend} defines the days of the week that should be considered -## weekends; [1 0 0 0 0 0 1] (default) indicates that Sunday and -## Saturday are holidays. -## -## If any of the optional inputs (@var{holiday}, @var{weekend}) are -## empty, then the default is used. -## -## @seealso{holidays, lbusdate, isbusday, busdate} -## @end deftypefn - -function rd = fbusdate (y, m, hol, wkend) - - rd = datenum (y, m, 1); - if nargin < 3 - hol = []; - end - if nargin < 4 - wkend = []; - elseif nargin < 3 || nargin > 4 - print_usage (); - endif - - ## Test from the day before the beginning of the month so that the - ## first day of the month is captured. - rd = busdate (rd-1, 1, hol, wkend); - -endfunction - -## Tests -## A normal day -%!assert(fbusdate(2008,2), datenum(2008,2,1)) -## A holiday -%!assert(fbusdate(2008,1), datenum(2008,1,2)) -## A weekend -%!assert(fbusdate(2008,3), datenum(2008,3,3))
--- a/main/financial/inst/fetch.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,149 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {@var{data} =} fetch (@var{conn}, @var{symbol}) -## @deftypefnx {@var{data} =} fetch (@dots{}, @var{fields}) -## @deftypefnx {@var{data} =} fetch (@dots{}, @var{date}) -## @deftypefnx {@var{data} =} fetch (@dots{}, @var{fromdate}, @var{todate}) -## @deftypefnx {@var{data} =} fetch (@dots{}, @var{period}) -## @deftypefnx {[@var{data}, @var{fields}] =} fetch (@dots{}) -## -## Download stock data from a connection. -## -## @var{fields} are the data fields to download and must come from the -## set -## @itemize @bullet -## @item "Symbol" -## @item "Last" -## @item "Date" -## @item "Time" -## @item "Change" -## @item "Open" -## @item "High", -## @item "Low" -## @item "Volume" -## @end itemize -## -## As an output, @var{fields} may be different than your request. This -## is because there is mapping of field names from the data source to -## the output, and what is returned is the source mapping to allow -## validation. -## -## @var{date} is the date string or datenum for the requested data. If -## you enter today's date, you will get yesterday's data. @var{fromdate} -## and @var{todate} allow you to specify a date range for the data. -## -## @var{period} (default: "d") allows you to select the period for the -## data which can be any of the below as long as they are supported by -## the associated backend. -## @itemize @bullet -## @item 'd': daily -## @item 'w': weekly -## @item 'm': monthly (Yahoo only) -## @item 'v': dividends (Yahoo only) -## @end itemize -## -## @seealso{yahoo, google} -## @end deftypefn - -## FIXME: Actually use the proxy info if given in the connection. -## FIXME: Do not ignore the fields input. - -function [data fields] = fetch (conn=[], symbol="", varargin) - - fields = {"Symbol", "Last", "Date", "Time", "Change", "Open", ... - "High", "Low", "Volume"}; - fromdate = []; - todate = []; - period = "d"; - - firstdate = datenum (1900, 1, 1); - lastdate = today (); - - if isempty (conn) - ## By default, use yahoo now since it's the only connection - ## currently available. - conn = yahoo (); - endif - if isempty (symbol) - error ("The ticker symbol must be given") - elseif ! ischar (symbol) - error ("The symbol must be either a string") - endif - for i = 1:numel (varargin) - if ischar (varargin{i}) && (length (varargin{i}) == 1) - period = varargin{i}; - elseif iscellstr (varargin{i}) || ischar (varargin{i}) - ## if it's a character and it's a valid date, make it into our - ## dates - if ischar (varargin{i}) - thisdate = []; - try - thisdate = datenum (varargin{i}); - if isempty (fromdate) - fromdate = thisdate; - endif - todate = thisdate; - end_try_catch - endif - if isempty (thisdate) - fields = varargin{i}; - warning ("Fields are currently ignored and all data is returned") - endif - thisdate = []; - elseif isnumeric (varargin{i}) - ## it must be our dates - if isempty (fromdate) - fromdate = varargin{i}; - endif - todate = varargin{i}; - else - error ("Invalid input for argument %d", i + 2) - endif - endfor - - if isempty (fromdate) - fromdate = firstdate; - todate = lastdate; - endif - - if strcmpi (conn.url, "http://quote.yahoo.com") - [data fields] = fetch_yahoo (conn, symbol, fromdate, todate, period); - elseif strcmpi (conn.url, "http://finance.google.com") - [data fields] = fetch_google (conn, symbol, fromdate, todate, period); - else - error ("Unrecgonized connection type") - endif - -endfunction - -%!shared fgood, dgood -%! fgood = {"Date", "Open", "High", "Low", "Close", "Volume", "Adj Close"}; -%! dgood = [732501,34.77,34.87,34.25,34.62,15515400,34.62; -%! 732500,33.87,34.77,33.72,34.63,16354300,34.63; -%! 732499,34.64,34.97,34.03,34.12,13585700,34.12; -%! 732498,34.25,35.08,34.20,34.60,16086700,34.60; -%! 732494,34.76,34.85,34.22,34.44,9861600,34.44]; -%!test -%! [d f] = fetch(yahoo(), "yhoo", "01-Jul-2005", "10-Jul-2005"); -%! assert(d, dgood, eps); -%! assert(f, fgood, eps); - -## The test below fails because yahoo gives a different volume on 732498 -##%!xtest -##%! [d f] = fetch(yahoo(), "yhoo", "01-Jul-2005", "10-Jul-2005", "w"); -##%! assert(d, dgood(4:5,:), eps); -##%! assert(f, fgood, eps);
--- a/main/financial/inst/fv.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,74 +0,0 @@ -## Copyright (C) 1995-1998, 2000, 2002, 2005-2007 Kurt Hornik <Kurt.Hornik@wu-wien.ac.at> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} fv (@var{r}, @var{n}, @var{p}, @var{l}, @var{method}) -## Return the future value at the end of period @var{n} of an investment -## which consists of @var{n} payments of @var{p} in each period, -## assuming an interest rate @var{r}. -## -## The optional argument @var{l} may be used to specify an -## additional lump-sum payment. -## -## The optional argument @var{method} may be used to specify whether the -## payments are made at the end (@code{"e"}, default) or at the -## beginning (@code{"b"}) of each period. -## -## Note that the rate @var{r} is specified as a fraction (i.e., 0.05, -## not 5 percent). -## @end deftypefn - -function v = fv (r, n, p, l, m) - - if (nargin < 3 || nargin > 5) - print_usage (); - endif - - if (! (isscalar (r) && r > -1)) - error ("fv: r must be a scalar > -1"); - elseif (! (isscalar (n) && n > 0)) - error ("fv: n must be a positive scalar"); - elseif (! isscalar (p)) - error ("fv: p must be a scalar"); - endif - - if (r != 0) - v = p * ((1 + r)^n - 1) / r; - else - v = p * n; - endif - - if (nargin > 3) - if (nargin == 5) - if (! ischar (m)) - error ("fv: `method' must be a string"); - endif - elseif ischar (l) - m = l; - l = 0; - else - m = "e"; - endif - if strcmp (m, "b") - v = v * (1 + r); - endif - if isscalar (l) - v = v + fvl (r, n, l); - else - error ("fv: l must be a scalar"); - endif - endif - -endfunction
--- a/main/financial/inst/fvl.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,42 +0,0 @@ -## Copyright (C) 1995-1998, 2000, 2002, 2005-2007 Kurt Hornik <Kurt.Hornik@wu-wien.ac.at> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} fvl (@var{r}, @var{n}, @var{l}) -## Return the future value at the end of @var{n} periods of an initial -## lump sum investment @var{l}, given a per-period interest rate -## @var{r}. -## -## Note that the rate @var{r} is specified as a fraction (i.e., 0.05, -## not 5 percent). -## @end deftypefn - -function v = fvl (r, n, l) - - if (nargin != 3) - print_usage (); - endif - - if (! (isscalar (r) && r > -1)) - error ("fvl: r has to be a scalar > -1"); - elseif (! (isscalar (n) && n > 0)) - error ("fvl: n has to be a positive scalar"); - elseif (! isscalar (l)) - error ("fvl: l has to be a scalar"); - endif - - v = l * (1 + r)^n; - -endfunction
--- a/main/financial/inst/google.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,44 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{conn} =} google () -## @deftypefnx {Function File} {@var{conn} =} google (@var{URL}, @var{ipaddress}, @var{port}) -## -## Prepare a Google connection for the fetch command to get Google -## historical quote data. -## -## If given, the @var{URL} must be "http://finance.google.com". The -## @var{ipaddress} and @var{port} is the proxy ipaddress and port. These -## parameters are currently ignored (with a warning if given). -## -## @seealso{fetch, yahoo} -## @end deftypefn - -## FIXME: Actually use the proxy info if given. - -function conn = google (url="http://finance.google.com", ipaddr="", port=[]) - - if ! strcmpi (url, "http://finance.google.com") - error ("url must be 'http://finance.google.com'") - elseif ! (isempty (ipaddr) && isempty (port)) - warning ("Proxy information is currently ignored") - endif - - conn.url = url; - conn.ip = ipaddr; - conn.port = port; - -endfunction
--- a/main/financial/inst/hhigh.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,54 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{hhv} =} hhigh (@var{data}) -## @deftypefnx {Function File} {@var{hhv} =} hhigh (@var{data}, @var{nperiods}) -## @deftypefnx {Function File} {@var{hhv} =} hhigh (@var{data}, @var{nperiods}, @var{dim}) -## -## Compute the highest high value of @var{data} for the past -## @var{nperiods} (default: 14) across the dimension, @var{dim} -## (default: 1). -## -## @seealso{llow} -## @end deftypefn - -function hhv = hhigh (data, nperiods = 14, dim = find (size (data) > 1, 1)) - - if nargin < 1 || nargin > 3 - print_usage (); - elseif ! isvector (data) - ## FIXME - error ("cannot yet handle more than one dimensional data") - endif - - if dim > ndims (data) - error ("dim cannot be greater than the number of dimensions in data"); - endif - - sz = size (data); - hhv = data; - for i = 1:sz(dim) - hhv(i) = max (data(max (i-nperiods+1, 1):i)); - endfor - -endfunction - -## Tests -%!shared c, h -%! c = [22.44 22.61 22.67 22.88 23.36 23.23 23.08 22.86 23.17 23.69 23.77 23.84 24.32 24.8 24.16 24.1 23.37 23.61 23.21 25]; -%! h = [22.44 22.61 22.67 22.88 23.36 23.36 23.36 23.36 23.36 23.69 23.77 23.84 24.32 24.8 24.8 24.8 24.8 24.8 24.8 25]; -%!assert(hhigh(c), h) -%!assert(hhigh(c'), h')
--- a/main/financial/inst/highlow.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,71 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{h} =} highlow (@var{high}, @var{low}, @var{close}) -## @deftypefnx {Function File} {@var{h} =} highlow (@var{high}, @var{low}, @var{close}, @var{open}) -## @deftypefnx {Function File} {@var{h} =} highlow (@var{high}, @var{low}, @var{close}, @var{open}, @var{color}) -## -## Plot the @var{high}, @var{low}, and @var{close} of a security. The -## @var{close} is plotted as a tick to the right, and if @var{open} is -## given and non-empty, it is plotted as a tick to the left. The color -## can override the default color for the plot. -## -## @seealso{bolling, candle, dateaxis, movavg, pointfig} -## @end deftypefn - -function h = highlow (high, low, close, open = [], color) - - if nargin < 3 || nargin > 5 - print_usage (); - elseif nargin < 5 - plotargs = {}; - else - plotargs = {"color", color}; - endif - - if isempty (high) || isempty (low) || isempty (close) - error ("high, low, and close may not be empty") - elseif ~(isvector (high) && isvector (low) && isvector (close)) - error ("high, low, and close must be vectors") - elseif ( (numel (high) != numel (low)) || (numel (high) != numel (close)) ) - error ("high, low, and close must have the same number of elements") - elseif ( !isempty (open) && (numel (high) != numel (open)) ) - error ("open must have the same number of elements as high, low, and close") - endif - - holdstat = ishold (); - ## h = hggroup (); - ## plotargs(end+1:end+2) = {"parent", h}; - hold on; - x = (1:length(high)) + 0.5; - x = reshape([x;x;nan(size(x))], [], 1); - y = reshape([high(:)'; low(:)'; nan(1, length(high))], [], 1); - plot(x, y, plotargs{:}); - x = 1:length(high); - x = reshape([x+0.5;x+1;nan(size(x))], [], 1); - y = reshape([close(:)';close(:)';nan(1, length(close))], [], 1); - plot(x, y, plotargs{:}); - if ! isempty(open) - x -= 0.5; - y = reshape([open(:)';open(:)';nan(1, length(open))], [], 1); - plot(x, y, plotargs{:}); - endif - - if !holdstat - hold off; - endif - -endfunction
--- a/main/financial/inst/holidays.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,176 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## Copyright (C) 2012 Carnë Draug <carandraug+dev@gmail.com> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{h} =} holidays -## @deftypefnx {Function File} {@var{h} =} holidays (@var{startdate}, @var{enddate}) -## List holidays and non-trading days. -## -## Returns vector @var{h} of all holidays and non-trading days between -## @var{startdate} and @var{enddate}, inclusive. Output dates are in the serial -## day number format. Any date format accepted by @code{datevec} can be used. -## If called with no input arguments, returns all holidays between the 1st of -## January of 1885 and 31st of December of 2050. -## -## For example, to get all holidays for 2007 (02-Jan-2007 was mourning day of -## Gerald Ford. See below for comments on such special occasions): -## @group -## @example -## holidays ("jan 01 2007", "dec 31 2007") -## @result{} 733043 -## 733044 -## 733057 -## 733092 -## 733138 -## 733190 -## 733227 -## 733288 -## 733368 -## 733401 -## @end example -## @end group -## -## For ease of read, the output of @code{holidays} can be passed to -## @code{datestr}. Also, the function @code{now} can be used to list all dates -## until current date. -## @group -## @example -## datestr (holidays ("may 01 2012", now)) -## @result{} 28-May-2012 -## 04-Jul-2012 -## 03-Sep-2012 -## @end example -## @end group -## -## These holidays are trading holidays observed by the NYSE according to its -## rule 51.10. It also tries to take into account the exceptions due to "unusual -## business conditions" or for additional days that have been called as holidays -## for one-time purposes. However, as these are unpredictable by nature only the -## ones until 2011/02/01 have been listed. -## -## The complete list can be found at -## http://www.chronos-st.org/NYSE_Observed_Holidays-1885-Present.html -## -## @seealso{busdate, lbusdate, isbusday, fbusdate} -## @end deftypefn - -## XXX when editiong this function, keep the list of unusual holidays up to date. -## For example, the following dates should be listed but cannot be guessed: -## * Tue, 02 Jan 2007: DayOfMourning-GeraldFord -## * Tue, 11 Sep 2001: WorldTradeCenterEvent -## * Wed, 12 Sep 2001: WorldTradeCenterEvent -## * Thu, 13 Sep 2001: WorldTradeCenterEvent -## * Fri, 14 Sep 2001: WorldTradeCenterEvent -## -## The following makes it easier to check dates: -## datestr (holidays ("jan 01 2011", now)) -## -## Just google for the closing dates of NYSE and see if it's up to date. This -## link may, or may not, be up to date http://www.nyse.com/pdfs/closings.pdf -## Please update help text when rechecking this. - -function hol = holidays (sd, ed) - - if (nargin != 0 && nargin != 2) - print_usage; - endif - ## list of all holidays between jan 1 1885 and dec 31 2050 - ## 688484 = datenum (1885, 1, 1); 749113 = datenum (2050, 12, 31); - sd_hol = 688484; ed_hol = 749113; - hol = [688484; 688537; 688576; 688790; 688813; 688842; 688849; 688901; 688961; 688999; 689034; 689154; 689177; 689266; 689311; 689363; 689398; 689461; 689525; 689541; 689573; 689580; 689631; 689650; 689651; 689668; 689729; 689764; 689825; 689889; 689912; 689913; 689938; 689945; 689997; 690053; 690063; 690064; 690065; 690094; 690129; 690189; 690253; 690276; 690303; 690310; 690403; 690459; 690494; 690553; 690617; 690640; 690668; 690675; 690728; 690760; 690924; 690981; 691004; 691033; 691040; 691092; 691145; 691190; 691225; 691288; 691325; 691334; 691352; 691368; 691400; 691407; 691458; 691502; 691522; 691555; 691590; 691652; 691716; 691739; 691764; 691771; 691823; 691852; 691920; 691955; 692016; 692080; 692103; 692129; 692136; 692188; 692237; 692285; 692320; 692380; 692444; 692467; 692494; 692501; 692543; 692594; 692751; 692808; 692831; 692860; 692867; 692909; 692919; 692972; 692983; 693017; 693052; 693115; 693172; 693195; 693284; 693355; 693381; 693416; 693479; 693543; 693559; 693591; 693598; 693640; 693649; 693686; 693745; 693746; 693780; 693781; 693843; 693868; 693907; 693930; 693955; 693962; 694004; 694014; 694064; 694111; 694146; 694207; 694271; 694294; 694319; 694320; 694327; 694369; 694379; 694421; 694476; 694511; 694512; 694571; 694588; 694635; 694658; 694685; 694692; 694734; 694778; 694841; 694876; 694935; 694999; 695022; 695050; 695057; 695099; 695110; 695156; 695168; 695306; 695363; 695386; 695415; 695422; 695464; 695474; 695513; 695572; 695607; 695670; 695734; 695750; 695782; 695789; 695831; 695840; 695898; 695937; 695972; 696034; 696098; 696121; 696146; 696153; 696195; 696205; 696302; 696337; 696398; 696462; 696485; 696511; 696518; 696560; 696570; 696667; 696702; 696762; 696826; 696849; 696876; 696883; 696925; 696990; 697133; 697190; 697213; 697242; 697249; 697291; 697301; 697347; 697399; 697434; 697497; 697533; 697554; 697577; 697666; 697697; 697763; 697798; 697861; 697898; 697925; 697941; 697973; 697980; 698022; 698031; 698082; 698128; 698163; 698225; 698263; 698289; 698312; 698337; 698344; 698386; 698396; 698439; 698494; 698529; 698589; 698653; 698676; 698703; 698710; 698752; 698789; 698859; 698894; 698953; 698995; 699017; 699040; 699068; 699075; 699117; 699128; 699174; 699286; 699289; 699290; 699291; 699292; 699293; 699296; 699297; 699298; 699299; 699300; 699303; 699304; 699305; 699306; 699307; 699310; 699311; 699312; 699313; 699314; 699317; 699318; 699319; 699320; 699321; 699324; 699325; 699326; 699327; 699328; 699331; 699332; 699333; 699334; 699335; 699338; 699339; 699340; 699341; 699342; 699345; 699346; 699347; 699348; 699349; 699352; 699353; 699354; 699355; 699356; 699359; 699360; 699361; 699362; 699363; 699366; 699367; 699368; 699369; 699370; 699373; 699374; 699375; 699376; 699377; 699380; 699381; 699382; 699383; 699384; 699387; 699388; 699389; 699390; 699391; 699394; 699395; 699396; 699397; 699398; 699401; 699402; 699403; 699404; 699405; 699408; 699409; 699410; 699411; 699412; 699415; 699416; 699417; 699418; 699419; 699433; 699440; 699482; 699492; 699531; 699590; 699625; 699688; 699724; 699745; 699768; 699857; 699916; 699955; 699990; 700052; 700090; 700116; 700139; 700164; 700171; 700213; 700223; 700266; 700320; 700326; 700355; 700416; 700455; 700480; 700503; 700529; 700536; 700563; 700570; 700577; 700578; 700588; 700623; 700685; 700720; 700780; 700790; 700844; 700850; 700867; 700894; 700901; 700943; 700984; 701008; 701026; 701050; 701085; 701144; 701153; 701186; 701208; 701231; 701259; 701266; 701308; 701319; 701358; 701417; 701452; 701515; 701551; 701572; 701595; 701684; 701715; 701781; 701816; 701879; 701916; 701943; 701946; 701959; 701991; 701998; 702040; 702049; 702100; 702146; 702181; 702243; 702281; 702307; 702330; 702355; 702362; 702404; 702414; 702450; 702511; 702546; 702576; 702583; 702607; 702646; 702671; 702694; 702720; 702727; 702769; 702779; 702835; 702877; 702912; 702971; 703013; 703035; 703058; 703086; 703093; 703135; 703146; 703192; 703342; 703377; 703399; 703422; 703451; 703458; 703500; 703510; 703549; 703608; 703643; 703706; 703742; 703763; 703786; 703875; 703927; 703972; 703986; 704007; 704070; 704107; 704134; 704150; 704182; 704189; 704231; 704240; 704284; 704338; 704373; 704434; 704473; 704498; 704521; 704547; 704554; 704596; 704606; 704641; 704703; 704738; 704798; 704858; 704862; 704885; 704886; 704912; 704919; 704961; 705026; 705068; 705103; 705162; 705204; 705226; 705249; 705277; 705284; 705326; 705337; 705376; 705533; 705568; 705590; 705613; 705642; 705649; 705691; 705701; 705733; 705799; 705834; 705897; 705934; 705961; 705977; 706009; 706016; 706058; 706067; 706079; 706080; 706081; 706082; 706083; 706086; 706087; 706118; 706164; 706199; 706261; 706299; 706325; 706348; 706373; 706380; 706422; 706432; 706468; 706529; 706564; 706625; 706664; 706689; 706695; 706712; 706738; 706745; 706787; 706797; 706853; 706894; 706929; 706989; 707053; 707059; 707076; 707103; 707110; 707152; 707210; 707360; 707395; 707417; 707425; 707440; 707469; 707476; 707518; 707528; 707560; 707626; 707661; 707724; 707760; 707781; 707790; 707804; 707893; 707945; 707990; 708025; 708088; 708125; 708152; 708155; 708168; 708200; 708207; 708249; 708258; 708302; 708355; 708390; 708452; 708490; 708516; 708532; 708564; 708571; 708613; 708623; 708652; 708721; 708756; 708816; 708880; 708886; 708896; 708930; 708937; 708979; 709037; 709086; 709121; 709180; 709222; 709244; 709251; 709260; 709295; 709302; 709344; 709355; 709394; 709551; 709586; 709608; 709616; 709631; 709660; 709667; 709709; 709719; 709779; 709817; 709852; 709915; 709951; 709972; 709981; 709995; 710084; 710129; 710182; 710217; 710279; 710317; 710343; 710359; 710391; 710398; 710440; 710450; 710486; 710547; 710582; 710624; 710625; 710643; 710682; 710707; 710713; 710723; 710755; 710756; 710763; 710805; 710815; 710871; 710912; 710947; 711007; 711071; 711077; 711094; 711121; 711128; 711170; 711221; 711277; 711312; 711371; 711413; 711435; 711442; 711458; 711486; 711493; 711535; 711546; 711578; 711644; 711679; 711742; 711778; 711799; 711808; 711822; 711911; 711963; 712008; 712043; 712106; 712143; 712170; 712173; 712186; 712218; 712225; 712267; 712276; 712320; 712373; 712408; 712470; 712508; 712534; 712550; 712582; 712589; 712631; 712641; 712670; 712738; 712773; 712834; 712873; 712898; 712904; 712914; 712947; 712954; 712996; 713006; 713055; 713104; 713139; 713198; 713240; 713262; 713269; 713285; 713313; 713320; 713362; 713373; 713412; 713569; 713604; 713626; 713634; 713649; 713678; 713685; 713737; 713790; 713835; 713870; 713933; 713990; 714013; 714042; 714102; 714147; 714199; 714234; 714297; 714361; 714377; 714409; 714416; 714467; 714504; 714565; 714600; 714661; 714725; 714741; 714773; 714774; 714781; 714833; 714889; 714930; 714965; 715025; 715089; 715112; 715139; 715146; 715239; 715295; 715330; 715389; 715453; 715476; 715504; 715505; 715511; 715564; 715596; 715694; 715760; 715817; 715840; 715869; 715876; 715928; 715981; 716026; 716061; 716124; 716188; 716204; 716236; 716243; 716294; 716331; 716390; 716391; 716426; 716488; 716552; 716568; 716600; 716607; 716659; 716716; 716756; 716791; 716852; 716916; 716932; 716965; 716972; 717024; 717073; 717121; 717156; 717216; 717280; 717300; 717303; 717330; 717337; 717388; 717423; 717486; 717521; 717587; 717644; 717667; 717696; 717703; 717755; 717808; 717853; 717888; 717951; 718008; 718031; 718060; 718120; 718165; 718217; 718252; 718315; 718379; 718395; 718427; 718434; 718485; 718515; 718582; 718617; 718679; 718743; 718759; 718791; 718798; 718840; 718850; 718897; 718900; 718948; 718961; 718968; 718975; 718983; 718984; 718989; 718996; 719003; 719010; 719017; 719024; 719031; 719038; 719043; 719052; 719059; 719066; 719073; 719080; 719087; 719094; 719101; 719107; 719113; 719122; 719130; 719136; 719143; 719150; 719157; 719164; 719204; 719215; 719253; 719257; 719313; 719348; 719365; 719407; 719494; 719522; 719529; 719582; 719614; 719712; 719778; 719858; 719887; 719894; 719939; 719992; 720044; 720079; 720142; 720222; 720251; 720310; 720349; 720408; 720444; 720506; 720570; 720586; 720618; 720621; 720625; 720649; 720674; 720734; 720772; 720809; 720870; 720950; 720983; 720990; 721038; 721091; 721136; 721174; 721234; 721321; 721348; 721355; 721402; 721441; 721500; 721539; 721598; 721685; 721713; 721720; 721766; 721826; 721871; 721906; 721969; 722026; 722049; 722078; 722137; 722183; 722235; 722270; 722280; 722333; 722413; 722445; 722452; 722501; 722533; 722599; 722635; 722697; 722777; 722809; 722816; 722865; 722918; 722963; 723000; 723061; 723141; 723174; 723181; 723229; 723275; 723327; 723366; 723425; 723489; 723512; 723540; 723547; 723593; 723653; 723691; 723730; 723796; 723876; 723905; 723912; 723957; 724010; 724062; 724097; 724160; 724240; 724269; 724328; 724367; 724426; 724461; 724524; 724604; 724636; 724643; 724692; 724752; 724790; 724827; 724888; 724968; 725001; 725008; 725056; 725102; 725154; 725192; 725252; 725277; 725339; 725366; 725373; 725420; 725459; 725518; 725557; 725616; 725703; 725731; 725738; 725784; 725844; 725882; 725921; 725987; 726067; 726096; 726103; 726148; 726194; 726253; 726288; 726351; 726431; 726463; 726470; 726519; 726551; 726617; 726653; 726715; 726795; 726827; 726834; 726883; 726936; 726981; 727018; 727079; 727159; 727192; 727199; 727247; 727286; 727345; 727383; 727443; 727530; 727557; 727564; 727611; 727671; 727709; 727748; 727814; 727894; 727923; 727930; 727975; 728028; 728080; 728115; 728178; 728258; 728287; 728346; 728385; 728411; 728444; 728479; 728542; 728622; 728654; 728661; 728710; 728763; 728808; 728844; 728906; 728986; 729018; 729025; 729074; 729120; 729172; 729210; 729270; 729357; 729384; 729391; 729438; 729477; 729536; 729575; 729634; 729721; 729749; 729756; 729774; 729802; 729855; 729900; 729939; 730005; 730085; 730114; 730121; 730138; 730166; 730212; 730271; 730306; 730369; 730449; 730478; 730502; 730537; 730597; 730635; 730671; 730733; 730813; 730845; 730852; 730866; 730901; 730954; 730999; 731036; 731097; 731105; 731106; 731107; 731108; 731177; 731210; 731217; 731237; 731265; 731304; 731363; 731401; 731461; 731548; 731575; 731582; 731601; 731629; 731689; 731727; 731766; 731825; 731912; 731940; 731947; 731965; 731993; 732046; 732098; 732109; 732133; 732196; 732276; 732305; 732329; 732364; 732396; 732462; 732497; 732560; 732640; 732672; 732679; 732693; 732728; 732781; 732826; 732862; 732924; 733004; 733036; 733043; 733044; 733057; 733092; 733138; 733190; 733227; 733288; 733368; 733401; 733408; 733428; 733456; 733488; 733554; 733593; 733652; 733739; 733767; 733774; 733792; 733820; 733873; 733918; 733957; 734023; 734103; 734132; 734139; 734156; 734184; 734230; 734289; 734324; 734387; 734467; 734496; 734520; 734555; 734615; 734653; 734688; 734751; 734831; 734863; 734870; 734884; 734919; 734965; 735017; 735054; 735115; 735195; 735228; 735235; 735255; 735283; 735322; 735381; 735419; 735479; 735566; 735593; 735600; 735619; 735647; 735707; 735745; 735784; 735843; 735930; 735958; 735965; 735983; 736011; 736057; 736109; 736148; 736214; 736294; 736323; 736330; 736347; 736375; 736414; 736480; 736515; 736578; 736658; 736690; 736697; 736711; 736746; 736799; 736844; 736880; 736942; 737022; 737054; 737061; 737075; 737110; 737149; 737208; 737245; 737306; 737386; 737419; 737426; 737446; 737474; 737534; 737572; 737610; 737670; 737757; 737784; 737791; 737810; 737838; 737891; 737936; 737975; 738041; 738121; 738150; 738157; 738174; 738202; 738248; 738307; 738342; 738405; 738485; 738514; 738538; 738573; 738626; 738671; 738706; 738769; 738849; 738881; 738888; 738902; 738937; 738983; 739035; 739071; 739133; 739213; 739245; 739252; 739266; 739301; 739340; 739399; 739437; 739497; 739584; 739611; 739618; 739637; 739665; 739725; 739763; 739802; 739861; 739948; 739976; 739983; 740001; 740029; 740075; 740127; 740166; 740232; 740312; 740341; 740348; 740365; 740393; 740432; 740498; 740533; 740596; 740676; 740705; 740729; 740764; 740817; 740862; 740898; 740960; 741040; 741072; 741079; 741093; 741128; 741167; 741226; 741263; 741324; 741404; 741437; 741444; 741464; 741492; 741552; 741590; 741628; 741688; 741775; 741802; 741809; 741828; 741856; 741909; 741954; 741993; 742052; 742139; 742167; 742174; 742192; 742220; 742259; 742325; 742360; 742423; 742503; 742532; 742556; 742591; 742644; 742689; 742724; 742787; 742867; 742899; 742906; 742920; 742955; 743001; 743053; 743089; 743151; 743231; 743263; 743270; 743284; 743319; 743351; 743417; 743454; 743515; 743595; 743628; 743635; 743655; 743683; 743736; 743781; 743820; 743879; 743966; 743994; 744001; 744019; 744047; 744093; 744145; 744184; 744250; 744330; 744359; 744366; 744383; 744411; 744478; 744516; 744551; 744614; 744694; 744723; 744747; 744782; 744828; 744880; 744915; 744978; 745058; 745090; 745097; 745111; 745146; 745185; 745244; 745281; 745342; 745422; 745455; 745462; 745482; 745510; 745570; 745608; 745646; 745706; 745793; 745820; 745827; 745846; 745874; 745920; 745972; 746011; 746070; 746157; 746185; 746192; 746210; 746238; 746277; 746336; 746375; 746441; 746521; 746550; 746557; 746574; 746602; 746662; 746707; 746742; 746805; 746885; 746917; 746924; 746938; 746973; 747019; 747071; 747107; 747169; 747249; 747281; 747288; 747302; 747337; 747369; 747435; 747472; 747533; 747613; 747646; 747653; 747673; 747701; 747754; 747799; 747837; 747897; 747984; 748011; 748018; 748037; 748065; 748111; 748163; 748202; 748268; 748348; 748377; 748384; 748401; 748429; 748489; 748534; 748569; 748632; 748712; 748741; 748765; 748800; 748846; 748898; 748933; 748996; 749076; 749108 ]; - if (nargin == 0) - return - endif - - sd = datenum (datevec (sd)); - ed = datenum (datevec (ed)); - - if (sd > ed) - hol = zeros (0,1); # matlab compatibility 0x1 - else - hol = hol(hol >= sd & hol <= ed); - if (sd < sd_hol); hol = [calculate_holidays(sd, sd_hol -1); hol]; endif - if (ed > ed_hol); hol = [hol; calculate_holidays(ed_hol +1, ed)]; endif - endif - -endfunction - -function hol = calculate_holidays (sd, ed) - ## for dates outside the list, we can try to calculate them - - ## calculate all holidays on the request years. We will trim them at the end - yrs = year (sd) : year (ed); - - hol = []; - ## New Year's Day - ## when it falls on a Saturday it will not move to Friday so the adjustment - ## later on will not work for those cases. As such, we prune them now - hol = [hol; (weekday (datenum(yrs, 1, 1)) != 7)(:)]; - ## Martin Luther King Day, the third Monday in January - hol = [hol; nweekdate(3, 2, yrs, 1)(:)]; - ## Washington's Birthday, the third Monday in February - hol = [hol; nweekdate(3, 2, yrs, 2)(:)]; - ## Good Friday (Friday of Easter) - hol = [hol; (easter (yrs) - 2)(:)]; - ## Memorial Day, the last Monday in May - hol = [hol; lweekdate(2, yrs, 5)(:)]; - ## Independence Day, July 4 - hol = [hol; datenum(yrs, 7, 4)(:)]; - ## Labor Day, the first Monday in September - hol = [hol; nweekdate(1, 2, yrs, 9)(:)]; - ## Thanksgiving Day, the fourth Thursday in November - hol = [hol; nweekdate(4, 5, yrs, 11)(:)]; - ## Christmas Day - hol = [hol; datenum(yrs, 12, 25)(:)]; - - ## Adjust for Saturdays and Sundays - ## From NYSE rules at http://nyserules.nyse.com/nysetools/PlatformViewer.asp?SelectedNode=chp_1_3&manual=/nyse/rules/nyse-rules/ - ## - ## The Exchange Board has also determined that, when any holiday observed by - ## the Exchange falls on a Saturday, the Exchange will not be open for business - ## on the preceding Friday and when any holiday observed by the Exchange falls - ## on a Sunday, the Exchange will not be open for business on the succeeding - ## Monday, unless unusual business conditions exist, such as the ending of a - ## monthly or the yearly accounting period. - ## - ## Basically, Saturday holidays should be shifted to the previous Friday, and - ## Sunday holidays to the next Monday, except when it crosses a calendar year. - wd = weekday (hol); - hol(wd == 1) = hol(wd == 1) + 1; # Sunday holidays move to Monday - hol(wd == 7) = hol(wd == 7) - 1; # Saturday holidays move to Friday - - ## Trim out the days that are not in the date range - hol(hol > ed | hol < sd) = []; - hol = sort (hol); - -endfunction - -%!assert(holidays("jan 1 1999", "jan 1 1998"), zeros(0,1)); # return empty when startdate is after enddate -%!assert(holidays("mar 5 2008", "mar 8 2008"), zeros(0,1)); -%!assert(holidays(datenum(2008,3,5), datenum(2008,3,5)), zeros(0,1)); -%!assert(holidays(datenum(2008,1,1), datenum(2008,1,1)), datenum(2008,1,1)); - -## accept input dates in multiple formats -%!assert (holidays ("jan 1 2010", "mar 1 2010"), [734139; 734156; 734184]); -%!assert (holidays (datenum (2010, 1, 1), datenum (2010, 3, 1)), [734139; 734156; 734184]); - -## do NOT move new year's day to Friday when it falls on a Saturday (Jan 2005) -%!assert (holidays ("dec 29 2004", "jan 2 2005"), zeros (0, 1)); -## but do move new year's day to Monday when it falls on a Sunday (Jan 2006) -%!assert (holidays ("dec 29 2005", "jan 2 2006"), datenum (2006 ,1 ,2)); - -## check for special dates such as 11-jun-2004 (PresidentialFuneral-RonaldReagan) which can't be guessed, are just on the list -%!assert(holidays(datenum(2004,1,1), datenum(2004,12,31)), datenum(2004*ones(10,1), [1;1;2;4;5;6;7;9;11;12], [1;19;16;9;31;11;5;6;25;24]));
--- a/main/financial/inst/hour.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,41 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## Copyright (C) 2013 Carnë Draug <carandraug@octave.org> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} hour (@var{date}) -## @deftypefnx {Function File} {} hour (@var{date}, @var{f}) -## Return hours of a date. -## -## For a given @var{date} in a serial date number or date string format, -## returns its hours. The optional variable @var{f}, specifies the -## format string used to interpret date strings. -## -## @seealso{date, datevec, now, minute, second} -## @end deftypefn - -function t = hour (varargin) - - if (nargin < 1 || nargin > 2) - print_usage (); - elseif (nargin >= 2 && ! ischar (varargin{2})) - error ("hour: F must be a string"); - endif - - t = datevec (varargin{:})(:,4); -endfunction - -%!assert (hour (451482.906781456), 21) -%!assert (hour ("1967-09-21 11:56:34", "yyyy-mm-dd HH:MM:SS"), 11)
--- a/main/financial/inst/irr.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,39 +0,0 @@ -## Copyright (C) 1995-1998, 2000, 2002, 2004-2007 Kurt Hornik <Kurt.Hornik@wu-wien.ac.at> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} irr (@var{p}, @var{i}) -## Return the internal rate of return of a series of payments @var{p} -## from an initial investment @var{i} (i.e., the solution of -## @code{npv (r, p) = i}. If the second argument is omitted, a value of -## 0 is used. -## @seealso{npv, pv, rate} -## @end deftypefn - -function r = irr (p, i = 0) - ## Check input - if (nargin != 1 && nargin != 2) - print_usage (); - elseif (! (isvector (p))) - error ("irr: p must be a vector"); - elseif (! isscalar (i)) - error ("irr: i must be a scalar"); - endif - - ## Solve system - f = @(x) npv (x, p) - i; - r = fsolve (f, 0); - -endfunction
--- a/main/financial/inst/isbusday.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,72 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {r =} isbusday (refdate) -## @deftypefnx {Function File} {r =} isbusday (refdate, holiday) -## @deftypefnx {Function File} {r =} isbusday (refdate, holiday, weekend) -## -## Return true if the @var{refdate} is a business date @var{refdate}. -## @var{holiday} is a vector of datenums that defines the holidays -## observed (the holidays function is used if not given). @var{weekend} -## defines the days of the week that should be considered weekends; -## [1 0 0 0 0 0 1] (default) indicates that Sunday and Saturday are -## weekends. -## -## @seealso{holidays, lbusdate, busdate, fbusdate} -## @end deftypefn - -function mask = isbusday (rd, hol=[], wkend=[]) - - if ~ isnumeric (rd) - rd = datenum (rd); - endif - if isempty (hol) - ## Get all possible holidays that could affect the output. - hol = holidays (min(rd), max(rd)); - end - if isempty (wkend) - wkend = [1 0 0 0 0 0 1]; - elseif numel (wkend) ~= 7 - error ("wkend must have 7 elements") - elseif nargin > 3 - print_usage (); - endif - - mask = reshape (wkend (weekday (rd)), size (rd)); - if ~ isempty (hol) - ## Is it a holiday? - mask = mask | ismember (floor (rd), hol); - endif - mask = ~mask; -endfunction - -## Tests -## A normal day -%!assert(isbusday(datenum(2008,1,2)), true()) -## A holiday -%!assert(isbusday(datenum(2008,1,1)), false()) -%!assert(isbusday(datenum(2008,1,1), []), false()) -## A weekend -%!assert(isbusday(datenum(2008,2,2)), false()) -## An alternate holiday -%!assert(isbusday(datenum(2008,1,2), datenum(2008,1,2)), false()) -## An alternate weekend -%!assert(isbusday(datenum(2008,1,2), [], zeros(1,7)), true()) -%!assert(isbusday(datenum(2008,1,2), [], ones(1,7)), false()) -## A vector -%!assert(isbusday([datenum(2008,1,2) datenum(2008,2,2)]), [true() false()]) -## A vector in the other direction -%!assert(isbusday([datenum(2008,1,2);datenum(2008,2,2)]), [true();false()])
--- a/main/financial/inst/lbusdate.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,56 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {b =} lbusdate (year, month) -## @deftypefnx {Function File} {b =} lbusdate (year, month, holiday) -## @deftypefnx {Function File} {b =} lbusdate (year, month, holiday, weekend) -## -## Return the datenum of the last business day of the @var{year} and -## @var{month}. @var{holiday} is a vector of datenums that defines the -## holidays observed (the holidays function is used if not given). -## @var{weekend} defines the days of the week that should be considered -## weekends; [1 0 0 0 0 0 1] (default) indicates that Sunday and -## Saturday are holidays. -## -## If any of the optional inputs (@var{holiday}, @var{weekend}) are -## empty, then the default is used. -## -## @seealso{holidays, fbusdate, isbusday, busdate} -## @end deftypefn - -function rd = lbusdate (y, m, hol, wkend) - - rd = eomdate (y, m); - if nargin < 3 - hol = []; - end - if nargin < 4 - wkend = []; - elseif nargin < 3 || nargin > 4 - print_usage (); - endif - - ## Test from the day after the end of the month so that the - ## last day of the month is captured. - rd = busdate (rd+1, -1, hol, wkend); - -endfunction - -## Tests -## A normal day -%!assert(lbusdate(2008,4), datenum(2008,4,30)) -## A weekend -%!assert(lbusdate(2008,5), datenum(2008,5,30))
--- a/main/financial/inst/llow.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,52 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{llv} =} llow (@var{data}) -## @deftypefnx {Function File} {@var{llv} =} llow (@var{data}, @var{nperiods}) -## @deftypefnx {Function File} {@var{llv} =} llow (@var{data}, @var{nperiods}, @var{dim}) -## -## Compute the lowest low value of @var{data} for the past -## @var{nperiods} (default: 14) across the dimension, @var{dim} -## (default: 1). -## -## @seealso{hhigh} -## @end deftypefn - -function llv = llow (data, nperiods = 14, dim = find (size (data) > 1, 1)) - - if nargin < 1 || nargin > 3 - print_usage (); - elseif ! isvector (data) - ## FIXME - error ("cannot yet handle more than one dimensional data") - elseif dim > ndims (data) - error ("dim cannot be greater than the number of dimensions in data"); - endif - - sz = size (data); - llv = data; - for i = 1:sz(dim) - llv(i) = min (data(max (i-nperiods+1, 1):i)); - endfor - -endfunction - -## Tests -%!shared c, l -%! c = [22.44 22.61 22.67 22.88 23.36 23.23 23.08 22.86 23.17 23.69 23.77 23.84 24.32 24.8 24.16 24.1 23.37 23.61 23.21 25]; -%! l = [22.44 22.44 22.44 22.44 22.44 22.44 22.44 22.44 22.44 22.44 22.44 22.44 22.44 22.44 22.61 22.67 22.86 22.86 22.86 22.86]; -%!assert(llow(c), l) -%!assert(llow(c'), l')
--- a/main/financial/inst/lweekdate.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,37 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {last =} lweekdate (weekday, year, month, nextday) -## -## Returns the last occurrence of @var{weekday} from the @var{month} and -## @var{year}. If the optional @var{nextday} argument is given, then -## the week must also contain @var{nextday}. -## -## @seealso{eomdate, nweekdate, weekday} -## @end deftypefn - -function t = lweekdate (varargin) - if nargin < 3 || nargin > 4 - error ("3 or 4 input arguments are required") - elseif nargin == 3 - varargin{4} = 0; - endif - - t = nweekdate ("lweekdate", varargin{:}); - -endfunction - -## Tests are in nweekdate
--- a/main/financial/inst/m2xdate.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,74 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {exceldatenums =} m2xdate (datenums) -## @deftypefnx {Function File} {exceldatenums =} m2xdate (datenums, convention) -## @deftypefnx {Function File} {exceldatenums =} m2xdate (datenums, convention, "ExcelBug") -## -## Convert @var{datenums} from the internal date format to the format -## used by Microsoft Excel. If set to 0 (default, Excel for Windows), -## @var{convention} specifies to use the Excel 1900 convention where Jan -## 1, 1900 corresponds to Excel serial date number 1. If set to 1 -## (Excel for Mac), @var{convention} specifies to use the Excel 1904 -## convention where Jan 1, 1904 corresponds to Excel serial date number -## 0. -## -## Note that this does not take into account the Excel bug where 1900 is -## considered to be a leap year unless you give the "ExcelBug" option. -## -## Excel does not represent dates prior to 1 January 1900 using this -## format, so a warning will be issued if any dates preceed this date. -## -## @seealso{datenum, x2mdate} -## @end deftypefn - -function dates = m2xdate (dates, convention, excelbug) - - if nargin == 1 - convention = 0; - excelbug = false(); - elseif nargin == 2 - excelbug = false(); - elseif nargin == 3 - excelbug = strcmpi(excelbug, "ExcelBug"); - else - print_usage (); - endif - - if convention == 0 - adj = datenum(1900, 1, 1) - 2; - elseif convention == 1 - adj = datenum(1904, 1, 1); - endif - - if excelbug - datemask = (dates < datenum(1900, 3, 1)); - dates(datemask) = dates(datemask) - 1; - endif - dates = dates - adj; - if any (dates < 0) - warning ("Negative date found, this will not work within MS Excel.") - endif - -endfunction - -## Tests -%!assert(m2xdate(datenum(2008, 1, 1)), 39448) -%!assert(m2xdate(datenum(2007:2008, 1, 1)), [39083 39448]) -%!assert(m2xdate(datenum(1900, 1, 1)), 2) -%!assert(m2xdate(datenum(1900, 1, 1), 0, "ExcelBug"), 1) -%!assert(m2xdate(datenum(1904, 1, 1), 1), 0) -
--- a/main/financial/inst/minute.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,41 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## Copyright (C) 2013 Carnë Draug <carandraug@octave.org> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} minute (@var{date}) -## @deftypefnx {Function File} {} minute (@var{date}, @var{f}) -## Return minutes of a date. -## -## For a given @var{date} in a serial date number or date string format, -## returns its minutes. The optional variable @var{f}, specifies the -## format string used to interpret date strings. -## -## @seealso{date, datevec, now, hour, second} -## @end deftypefn - -function t = minute (varargin) - - if (nargin < 1 || nargin > 2) - print_usage (); - elseif (nargin >= 2 && ! ischar (varargin{2})) - error ("minute: F must be a string"); - endif - - t = datevec (varargin{:})(:,5); -endfunction - -%!assert (minute (451482.906781456), 45) -%!assert (minute ("1967-09-21 11:56:34", "yyyy-mm-dd HH:MM:SS"), 56)
--- a/main/financial/inst/mirr.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,48 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{return} =} mirr (@var{cashflow}, @var{finrate}, @var{reinvestrate}) -## Compute the modified internal rate of return. -## Take periodic @var{cashflow}s as a vector and the finance rate, -## @var{finrate}, for negative cash flows and a reinvestment rate, -## @var{reinvestrate}, for positive cash flows. -## @seealso{irr, effrr, nomrr, pvvar, xirr} -## @end deftypefn - -## Algorithm from -## http://en.wikipedia.org/wiki/Modified_Internal_Rate_of_Return - -function rate = mirr (flow, finrate, reinvestrate) - - if (nargin != 3) - print_usage (); - endif - - posflow = zeros (size (flow)); - negflow = zeros (size (flow)); - mask = flow >= 0; - posflow(mask) = flow(mask); - negflow(!mask) = flow(!mask); - - n = numel (flow); - - rate = (-npv (reinvestrate, posflow)*(1+reinvestrate)^n/ - (npv (finrate, negflow)*(1+finrate)))^(1/(n-1))-1; - -endfunction - -## Tests -%!assert (mirr ([-100000 20000 -10000 30000 38000 50000], 0.09, 0.12), 0.0832, 0.00005)
--- a/main/financial/inst/month.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,46 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## Copyright (C) 2013 Carnë Draug <carandraug@octave.org> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {[@var{num}, @var{str}] =} month (@var{date}) -## @deftypefnx {Function File} {[@dots{}] =} month (@var{date}, @var{f}) -## Return month of a date. -## -## For a given @var{date} in a serial date number or date string format, -## returns its month number (@var{num}) or 3 letter name (@var{str}). -## -## The optional variable @var{f}, specifies the format string used to -## interpret date strings. -## -## @seealso{date, datevec, now, day, year} -## @end deftypefn - -function [num, str] = month (varargin) - - if (nargin < 1 || nargin > 2) - print_usage (); - elseif (nargin >= 2 && ! ischar (varargin{2})) - error ("month: F must be a string"); - endif - - num = datevec (varargin{:})(:,2); - str = datestr ([0 num 0 0 0 0], "mmm"); - -endfunction - -%!assert (nthargout (1:2, @month, 523383), {12 "Dec"}); -%!assert (nthargout (1:2, @month, "12-02-34", "mm-dd-yy"), {12 "Dec"}); -
--- a/main/financial/inst/months.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,58 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {mos =} months (startdate, enddate) -## @deftypefnx {Function File} {mos =} months (startdate, enddate, endmonthflag) -## -## Return the number of whole months between @var{startdate} and -## @var{enddate}. @var{endmonthflag} defaults to 1. -## -## If @var{endmonthflag} is true, then if both the @var{startdate} and -## the @var{enddate} are end of month dates and @var{enddate} has fewer -## days in the month than @var{startdate}, @var{endmonthflag} = 1 treats -## @var{enddate} as the end of a month, but @var{endmonthflag} = 0 does -## not. -## -## @seealso{yeardays, yearfrac} -## @end deftypefn - -function mos = months (startdate, enddate, endmonthflag = 1) - - if (nargin < 2 || nargin > 3) - print_usage (); - endif - - s = datevec (startdate); - e = datevec (enddate); - s_eom = (s(:,3) == eomday(s(:,1), s(:,2))); - e_eom = (e(:,3) == eomday(e(:,1), e(:,2))); - - ## Handle the end of the month correctly - dayadj = ((s(:,3) > e(:,3)) & endmonthflag & s_eom & e_eom); - - mos = 12*(e(:,1) - s(:,1)) + (e(:,2) - s(:,2)) - (s(:,3) > e(:,3)) + dayadj; - -endfunction - -## Tests -%!assert(months('may 31 2004', 'jun 30 2004'), 1) -%!assert(months({'may 31 2004' 'may 30 2004'}, 'jun 30 2004'), [1;1]) -%!assert(months('may 31 2004', 'jun 30 2004', 1), 1) -%!assert(months({'may 31 2004' 'may 30 2004'}, 'jun 30 2004', 1), [1;1]) -%!assert(months('may 31 2004', 'jun 30 2004', 0), 0) -%!assert(months({'may 31 2004' 'may 30 2004'}, 'jun 30 2004', 0), [0;1]) -%!assert(months('jun 30 2005', 'june 30 2006'), 12) -%!assert(months('jun 30 2005', 'june 29 2006'), 11)
--- a/main/financial/inst/movavg.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,105 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} movavg (@var{asset}, @var{lead}, @var{lag}) -## @deftypefnx {Function File} {} movavg (@var{asset}, @var{lead}, @var{lag}, @var{alpha}) -## @deftypefnx {Function File} {[@var{short}, @var{long}] =} movavg (@var{asset}, @var{lead}, @var{lag}, @var{alpha}) -## -## Calculate the @var{lead}ing and @var{lag}ging moving average of an -## @var{asset}. If given, @var{alpha} is the weighting power of the -## delay; 0 (default) is the simple moving average, 0.5 would be the -## square root weighted moving average, 1 would be linear, 2 would be -## squared, ..., and 'e' is the exponential moving average. -## -## If no output is requested the data is plotted. The plots are drawn -## in the following order: asset, lag, lead. If output is requested, no -## plot is generated. -## -## @seealso{bolling, candle, dateaxis, highlow, pointfig} -## @end deftypefn - -function [varargout] = movavg (asset, lead, lag, alpha = 0) - - if nargin < 3 || nargin > 4 - print_usage (); - endif - - if lead > lag - error ("lead must be <= lag") - elseif ischar (alpha) - if ! strcmpi (alpha, "e") - error ("alpha must be 'e' if it is a char"); - endif - elseif ! isnumeric (alpha) - error ("alpha must be numeric or 'e'") - endif - - ## Compute the weights - if ischar (alpha) - lead = exp(1:lead); - lag = exp(1:lag); - else - lead = (1:lead).^alpha; - lag = (1:lag).^alpha; - endif - ## Adjust the weights to equal 1 - lead = lead / sum (lead); - lag = lag / sum (lag); - - short = asset; - long = asset; - for i = 1:length (asset) - if i < length (lead) - ## Compute the run-in period - r = length (lead) - i + 1:length(lead); - short(i) = dot (asset(1:i), lead(r))./sum (lead(r)); - else - short(i) = dot (asset(i - length(lead) + 1:i), lead); - endif - if i < length (lag) - r = length (lag) - i + 1:length(lag); - long(i) = dot (asset(1:i), lag(r))./sum (lag(r)); - else - long(i) = dot (asset(i - length(lag) + 1:i), lag); - endif - endfor - - if nargout > 0 - varargout{1} = short; - else - plot((1:length(asset))', [asset(:), long(:), short(:)]); - endif - if nargout > 1 - varargout{2} = long; - endif - -endfunction - -## Tests -%!shared a -%! a = [1 2 3 2 4 2 1]; -%!test -%! [s l] = movavg(a, 2, 4); -%! assert(s, [1 1.5 2.5 2.5 3 3 1.5]) -%! assert(l, [1 1.5 2 2 2.75 2.75 2.25]) -%!test -%! [s l] = movavg(a', 2, 4); -%! assert(s, [1;1.5;2.5;2.5;3;3;1.5]) -%! assert(l, [1;1.5;2;2;2.75;2.75;2.25]) -%!test -%! [s l] = movavg(a, 3, 4, 1); -%! assert(s, [3 4.8 7 7 9.5 8 5.5]./3, 10*eps) -%! assert(l, [1 11/7 20/9 2.2 3 2.7 2], 10*eps)
--- a/main/financial/inst/negvolidx.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,82 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{nvi} =} negvolidx (@var{closeprice}, @var{vol}) -## @deftypefnx {Function File} {@var{nvi} =} negvolidx ([@var{closeprice} @var{vol}]) -## @deftypefnx {Function File} {@var{nvi} =} negvolidx (@var{closeprice}, @var{vol}, @var{initnvi}) -## @deftypefnx {Function File} {@var{nvi} =} negvolidx ([@var{closeprice} @var{vol}], @var{initnvi}) -## -## Compute the negative volume index of a security based on its closing -## price (@var{closeprice}) and @var{vol}ume. They may be given as -## separate arguments or as an nx2 matrix. If given, the @var{initnvi} -## is the starting value of the nvi (default: 100). -## -## The @var{nvi} will always be a column vector. -## -## @seealso{onbalvol, posvolidx} -## @end deftypefn - -function nvi = negvolidx (c, vol, initnvi) - - default_nvi = 100; - nvi = zeros (length (c), 1); - if isvector (c) - if nargin < 2 - ## a closing price was given without a volume - print_usage (); - elseif isscalar (vol) - ## probably initnvi was given as the second argument - print_usage (); - elseif !isvector (vol) - print_usage (); - elseif length (c) != length (vol) - error ("closeprice and vol must be the same length"); - endif - c = [c(:) vol(:)]; - if nargin < 3 - nvi(1) = default_nvi; - else - nvi(1) = initnvi; - endif - elseif size (c, 2) != 2 - error ("If given as a matrix, c must have exactly two columns.") - elseif size (c, 2) == 2 - if nargin == 2 - nvi(1) = vol; - else - nvi(1) = default_nvi; - endif - else - print_usage (); - endif - - ## Start doing the work - for i = 2:size (c, 1) - nvi(i) = nvi(i-1) + (c(i,2) < c(i-1,2))*nvi(i-1)*(c(i,1)-c(i-1,1))/c(i-1,1); - endfor - -endfunction - -## Tests -%!shared c, v, nvia, nvib -%! c = [22.44 22.61 22.67 22.88 23.36 23.23 23.08 22.86 23.17 23.69 23.77 23.84 24.32 24.8 24.16 24.1 23.37 23.61 23.21]; -%! v = [10 12 23 25 34 12 32 15 15 34 54 12 86 45 32 76 89 13 28]; -%! nvia = [100 100 100 100 100 99.44349315 99.44349315 98.49559157 98.49559157 98.49559157 98.49559157 98.78565011 98.78565011 100.7353669 98.13574451 98.13574451 98.13574451 99.14355704 99.14355704]'; -%! nvib = [5 5 5 5 5 4.972174658 4.972174658 4.924779578 4.924779578 4.924779578 4.924779578 4.939282505 4.939282505 5.036768344 4.906787226 4.906787226 4.906787226 4.957177852 4.957177852]'; -%!assert(negvolidx(c, v), nvia, 1e-5) -%!assert(negvolidx([c' v']), nvia, 1e-5) -%!assert(negvolidx(c, v, 5), nvib, 1e-5) -%!assert(negvolidx([c' v'], 5), nvib, 1e-5)
--- a/main/financial/inst/nomrr.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,34 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{return} =} nomrr (@var{rate}, @var{numperiods}) -## Compute the nominal rate of return based on a effective @var{rate} -## over a number of periods, @var{numperiods}. -## @seealso{irr, effrr} -## @end deftypefn - -function rate = nomrr (rate, numperiods) - - if (nargin != 2) - print_usage (); - endif - - rate = numperiods.*((1+rate).^(1./numperiods) - 1); - -endfunction - -## Tests -%!assert (nomrr (0.0938, 12), 0.09, 0.00005)
--- a/main/financial/inst/nper.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,75 +0,0 @@ -## Copyright (C) 1995-1998, 2000, 2002, 2004-2007 Kurt Hornik <Kurt.Hornik@wu-wien.ac.at> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} nper (@var{r}, @var{p}, @var{a}, @var{l}, @var{method}) -## Return the number of regular payments of @var{p} necessary to -## amortize @var{a} loan of amount @var{a} and interest @var{r}. -## -## The optional argument @var{l} may be used to specify an additional -## lump-sum payment of @var{l} made at the end of the amortization time. -## -## The optional argument @var{method} may be used to specify whether -## payments are made at the end (@var{"e"}, default) or at the beginning -## (@var{"b"}) of each period. -## -## Note that the rate @var{r} is specified as a fraction (i.e., 0.05, -## not 5 percent). -## @seealso{pv, pmt, rate, npv} -## @end deftypefn - -function n = nper (r, p, a, l, m) - - if (nargin < 3 || nargin > 5) - print_usage (); - endif - - if (! (isscalar (r) && r > -1)) - error ("nper: r must be a scalar > -1"); - elseif (! isscalar (p)) - error ("nper: p must be a scalar"); - elseif (! isscalar (a)) - error ("nper: a must be a scalar"); - endif - - if (nargin == 5) - if (! ischar (m)) - error ("nper: `method' must be a string"); - endif - elseif (nargin == 4) - if (ischar (l)) - m = l; - l = 0; - else - m = "e"; - endif - else - m = "e"; - l = 0; - endif - - if (strcmp (m, "b")) - p = p * (1 + r); - endif - - q = (p - r * a) / (p - r * l); - - if (q > 0) - n = - log (q) / log (1 + r); - else - n = Inf; - endif - -endfunction
--- a/main/financial/inst/npv.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,69 +0,0 @@ -## Copyright (C) 1995-2000, 2002, 2004-2007 Kurt Hornik <Kurt.Hornik@wu-wien.ac.at> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} npv (@var{r}, @var{p}, @var{i}) -## Net present value of a series of payments. -## -## Returns the net present value of a series of irregular (i.e., not -## necessarily identical) payments @var{p} which occur at the ends of @var{n} -## consecutive periods. @var{r} specifies the one-period interest rates and -## can either be a scalar (constant rates) or a vector of the same -## length as @var{p}. -## -## The optional argument @var{i} may be used to specify an initial -## investment. -## -## Note that the rate @var{r} is specified as a fraction (i.e., 0.05, -## not 5 percent). -## @seealso{irr, pv} -## @end deftypefn - -function v = npv (r, p, i) - - if (nargin < 2 || nargin > 3) - print_usage (); - endif - - if (! (isvector (p))) - error ("npv: p has to be a vector"); - else - n = length (p); - p = reshape (p, 1, n); - endif - - if (any (any (r <= -1))) - error ("npv: all interest rates must be > -1"); - endif - if (isscalar (r)) - d = 1 ./ (1 + r) .^ (0 : n); - elseif (isvector (r) && (length (r) == n)) - d = [1, (1 ./ cumprod (reshape (1 + r, 1, n)))]; - else - error ("npv: r must be a scalar or a vector of the same length as p"); - endif - - if (nargin == 3) - if (! isscalar (i)) - error ("npv: I_0 must be a scalar"); - endif - else - i = 0; - endif - - p = [i, p]; - v = sum (d .* p); - -endfunction
--- a/main/financial/inst/nweekdate.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,152 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {last =} nweekdate (n, weekday, year, month, nextday) -## -## Returns the @var{n}th occurrence of @var{weekday} from the -## @var{month} and @var{year}. If the optional @var{nextday} argument -## is given, then the week must also contain @var{nextday}. If @var{n} -## is greater than the number of occurrences of that day in the month, 0 -## is returned. -## -## @seealso{eomdate, lweekdate, weekday} -## @end deftypefn - -function t = nweekdate (varargin) - if nargin < 4 || nargin > 5 - error ("4 or 5 input arguments are required") - elseif nargin == 4 - varargin{5} = 0; - endif - - ## special handling so that most of this code will not need to be - ## duplicated in lweekdate - do_lweekdate = is_lweekdate(varargin{1}); - if do_lweekdate - varargin{1} = 1; - endif - - scale = cellfun (@numel, varargin); - if ~ all (scale == 1 | scale == max(scale)); - error("All inputs must be either scalars or have the same number of elements"); - else - ## make sure that the sizes are the same for any non-scalar inputs - ind = find (scale > 1); - if length(ind) > 1 - for i = 2:length (ind) - if ndims (varargin{ind(1)}) ~= ndims (varargin{ind(i)}) - error("Mismatching dimensions on inputs %d and %d", ind(1), ind(i)); - elseif ~ all (size (varargin{ind(1)}) == size (varargin{ind(i)})) - error("The sizes of inputs %d and %d do not match", ind(1), ind(i)); - endif - endfor - endif - endif - - if max(scale) > 1 - t = zeros (size (varargin{ind(1)})); - for i = 1:numel (varargin{ind(1)}) - args = cell(5,1); - for j = 1:5 - if isscalar (varargin{j}) - args{j} = varargin{j}; - else - args{j} = varargin{j}(i); - endif - endfor - if do_lweekdate - args{1} = "lweekdate"; - end - t(i) = nweekdate (args{:}); - endfor - else - ## Do the real work. - n = varargin{1}; - wd = varargin{2}; - y = varargin{3}; - mon = varargin{4}; - nextday = varargin{5}; - - ## Find the day of the week for the last day of the mon. - doml = eomday (y, mon); - dowl = weekday (datenum (y, mon, doml)); - ## Make sure that the day is in the weeks for the last then the - ## first week. - if (wd < nextday) || (dowl < wd) - ## adjust the last day - adjust = 7; - else - adjust = 0; - endif - dom = sort((doml - dowl + wd - adjust):-7:1); - if nextday && (dom(1) <= wd - nextday) - # adjust the first day - dom(1) = []; - endif - if do_lweekdate - t = datenum (y, mon, dom(end)); - elseif n > length(dom) - t = 0; - else - t = datenum (y, mon, dom(n)); - end - endif - -endfunction - -function v = is_lweekdate(v) - if ischar(v) - if strcmp (v, "lweekdate") - v = true(); - else - error("Invalid input for n") - endif - else - v = false(); - endif -endfunction - -# Tests for all calling options -# Find the first Wednesday in Jan 2008 -%!assert(nweekdate(1, 4, 2008, 1), datenum(2008, 1, 2)) -# Find the second Wednesday in Jan 2008 -%!assert(nweekdate(2, 4, 2008, 1), datenum(2008, 1, 9)) -# Find the third Wednesday in Jan 2008 -%!assert(nweekdate(3, 4, 2008, 1), datenum(2008, 1, 16)) -# Find the fourth Wednesday in Jan 2008 -%!assert(nweekdate(4, 4, 2008, 1), datenum(2008, 1, 23)) -# Find the fifth Wednesday in Jan 2008 -%!assert(nweekdate(5, 4, 2008, 1), datenum(2008, 1, 30)) -# Find the sixth Wednesday in Jan 2008, it doesn't exist, so return 0 -%!assert(nweekdate(6, 4, 2008, 1), 0) -# Find the fifth Friday in Jan 2008, it doesn't exist, so return 0 -%!assert(nweekdate(5, 6, 2008, 1), 0) -# Find the first Wednesday in Jan 2008 in the same week as a Monday -# WARNING: it is unclear from the Matlab docs if this should work or if -# this should be called the second Wednesday in Jan 2008. -%!assert(nweekdate(1, 4, 2008, 1, 2), datenum(2008, 1, 9)) -# Find the fifth Wednesday in Jan 2008 in the same week as a Friday. -# It doesn't exist, so return 0 -%!assert(nweekdate(5, 4, 2008, 1, 6), 0) -# Try vector arguments -%!assert(nweekdate(1:6, 4, 2008, 1, 6), [datenum(2008, 1, 2:7:23), 0, 0]) - -# Try the lweekdate operation of this function: -# Find the last Wednesday in Jan 2008 -%!assert(nweekdate('lweekdate', 4, 2008, 1), datenum(2008, 1, 30)) -# Find the last Wednesday in Jan 2008 with a Friday -%!assert(nweekdate('lweekdate', 4, 2008, 1, 6), datenum(2008, 1, 23)) -
--- a/main/financial/inst/onbalvol.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,59 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{obv} =} onbalvol (@var{closeprice}, @var{vol}) -## @deftypefnx {Function File} {@var{obv} =} onbalvol ([@var{closeprice} @var{vol}]) -## -## Compute the on balance volume of a security based on its closing -## price (@var{closeprice}) and @var{vol}ume. They may be given as -## separate arguments or as an nx2 matrix. -## -## The output will be a column vector, and the first number in the -## output is always 0. -## -## @seealso{negvolidx, posvolidx} -## @end deftypefn - -function obv = onbalvol (c, vol) - - if nargin == 1 - % do nothing - elseif nargin == 2 - c = [c(:) vol(:)]; - else - print_usage (); - endif - - obv = zeros (size (c, 1), 1); - for i = 2:size (c, 1) - if c(i,1) > c(i-1,1) - obv(i) = obv(i-1) + c(i,2); - elseif c(i,1) < c(i-1,1) - obv(i) = obv(i-1) - c(i,2); - else - obv(i) = obv(i-1); - endif - endfor - -endfunction - -## Tests -%!shared c, v, obv -%! c = [22.44 22.61 22.67 22.88 23.36 23.23 23.08 22.86 23.17 23.69 23.77 23.84 24.32 24.8 24.16 24.1 23.37 23.61 23.21]; -%! v = [10 12 23 25 34 12 32 15 15 34 54 12 86 45 32 76 89 13 28]; -%! obv = [0 12 35 60 94 82 50 35 50 84 138 150 236 281 249 173 84 97 69]'; -%!assert(onbalvol(c, v), obv) -%!assert(onbalvol([c' v']), obv)
--- a/main/financial/inst/pmt.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,66 +0,0 @@ -## Copyright (C) 1995-1998, 2000-2002, 2004-2007 Kurt Hornik <Kurt.Hornik@wu-wien.ac.at> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} pmt (@var{r}, @var{n}, @var{a}, @var{l}, @var{method}) -## Return the amount of periodic payment necessary to amortize a loan -## of amount a with interest rate @var{r} in @var{n} periods. -## -## The optional argument @var{l} may be used to specify a terminal -## lump-sum payment. -## -## The optional argument @var{method} may be used to specify whether -## payments are made at the end (@var{"e"}, default) or at the beginning -## (@var{"b"}) of each period. -## @seealso{pv, nper, rate} -## @end deftypefn - -function p = pmt (r, n, a, l, m) - - if (nargin < 3 || nargin > 5) - print_usage (); - endif - - if (! (isscalar (r) && r > -1)) - error ("pmt: rate must be a scalar > -1"); - elseif (! (isscalar (n) && n > 0)) - error ("pmt: n must be a positive scalar"); - elseif (! (isscalar (a) && a > 0)) - error ("pmt: a must be a positive scalar"); - endif - - if (nargin == 5) - if (! ischar (m)) - error ("pmt: `method' must be a string"); - endif - elseif (nargin == 4) - if (ischar (l)) - m = l; - l = 0; - else - m = "e"; - endif - else - l = 0; - m = "e"; - endif - - p = r * (a - l * (1 + r)^(-n)) / (1 - (1 + r)^(-n)); - - if (strcmp (m, "b")) - p = p / (1 + r); - endif - -endfunction
--- a/main/financial/inst/pointfig.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,88 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} pointfig (@var{asset}) -## -## Plot the point figure chart of an @var{asset}. Upward price -## movements are plotted as Xs and downward movements are plotted as Os. -## -## @seealso{bolling, candle, dateaxis, highlow, movavg} -## @end deftypefn - -function pointfig (asset) - - if nargin != 1 - print_usage (); - endif - - upmask = asset(2:end) > asset(1:end-1); - # if the data is equal, it will not change the trend - equalmask = asset(2:end) == asset(1:end-1); - downmask = asset(2:end) < asset(1:end-1); - - lx = 0; - ly = 0; - direction = 0; - up = zeros(0,2); - down = zeros(0,2); - - for i = 1:length (upmask) - if direction > 0 && (upmask(i) || equalmask(i)) - ## moving in the same direction as previously: up - ly += 1; - up(end+1,:) = [lx ly]; - elseif direction < 0 && (downmask(i) || equalmask(i)) - ## moving in the same direction as previously: down - ly -= 1; - down(end+1,:) = [lx ly]; - else - ## moving in a different direction than previously - lx += 1; - if upmask(i) - up(end+1,:) = [lx ly]; - direction = 1; - else - down(end+1,:) = [lx ly]; - direction = -1; - endif - endif - endfor - - hstat = ishold(); - hold("on"); - plot(up(:,1), up(:,2), "x", "color", [0 0 1]); - plot(down(:,1), down(:,2), "o", "color", [1 0 0]); - if ! hstat - hold("off"); - endif - -endfunction - -## Tests -%!shared a -%! a = [1 2 3 2 4 2 1]; -%!test -%! [s l] = movavg(a, 2, 4); -%! assert(s, [1 1.5 2.5 2.5 3 3 1.5]) -%! assert(l, [1 1.5 2 2 2.75 2.75 2.25]) -%!test -%! [s l] = movavg(a', 2, 4); -%! assert(s, [1;1.5;2.5;2.5;3;3;1.5]) -%! assert(l, [1;1.5;2;2;2.75;2.75;2.25]) -%!test -%! [s l] = movavg(a, 3, 4, 1); -%! assert(s, [3 4.8 7 7 9.5 8 5.5]./3, 10*eps) -%! assert(l, [1 11/7 20/9 2.2 3 2.7 2], 10*eps)
--- a/main/financial/inst/posvolidx.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,82 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{pvi} =} posvolidx (@var{closeprice}, @var{vol}) -## @deftypefnx {Function File} {@var{pvi} =} posvolidx ([@var{closeprice} @var{vol}]) -## @deftypefnx {Function File} {@var{pvi} =} posvolidx (@var{closeprice}, @var{vol}, @var{initpvi}) -## @deftypefnx {Function File} {@var{pvi} =} posvolidx ([@var{closeprice} @var{vol}], @var{initpvi}) -## -## Compute the positive volume index of a security based on its closing -## price (@var{closeprice}) and @var{vol}ume. They may be given as -## separate arguments or as an nx2 matrix. If given, the @var{initpvi} -## is the starting value of the pvi (default: 100). -## -## The @var{pvi} will always be a column vector. -## -## @seealso{onbalvol, negvolidx} -## @end deftypefn - -function pvi = posvolidx (c, vol, initpvi) - - default_pvi = 100; - pvi = zeros (length (c), 1); - if isvector (c) - if nargin < 2 - ## a closing price was given without a volume - print_usage (); - elseif isscalar (vol) - ## probably initpvi was given as the second argument - print_usage (); - elseif !isvector (vol) - print_usage (); - elseif length (c) != length (vol) - error ("closeprice and vol must be the same length"); - endif - c = [c(:) vol(:)]; - if nargin < 3 - pvi(1) = default_pvi; - else - pvi(1) = initpvi; - endif - elseif size (c, 2) != 2 - error ("If given as a matrix, c must have exactly two columns.") - elseif size (c, 2) == 2 - if nargin == 2 - pvi(1) = vol; - else - pvi(1) = default_pvi; - endif - else - print_usage (); - endif - - ## Start doing the work - for i = 2:size (c, 1) - pvi(i) = pvi(i-1) + (c(i,2) > c(i-1,2))*pvi(i-1)*(c(i,1)-c(i-1,1))/c(i-1,1); - endfor - -endfunction - -## Tests -%!shared c, v, pvia, pvib -%! c = [22.44 22.61 22.67 22.88 23.36 23.23 23.08 22.86 23.17 23.69 23.77 23.84 24.32 24.8 24.16 24.1 23.37 23.61 23.21]; -%! v = [10 12 23 25 34 12 32 15 15 34 54 12 86 45 32 76 89 13 28]; -%! pvia = [100 100.7575758 101.0249554 101.9607843 104.0998217 104.0998217 103.4276318 103.4276318 103.4276318 105.7488389 106.1059477 106.1059477 108.242309 108.242309 108.242309 107.9734953 104.7029289 104.7029289 102.9290546]'; -%! pvib = [5 5.037878788 5.051247772 5.098039216 5.204991087 5.204991087 5.171381588 5.171381588 5.171381588 5.287441943 5.305297383 5.305297383 5.412115451 5.412115451 5.412115451 5.398674767 5.235146444 5.235146444 5.14645273]'; -%!assert(posvolidx(c, v), pvia, 1e-5) -%!assert(posvolidx([c' v']), pvia, 1e-5) -%!assert(posvolidx(c, v, 5), pvib, 1e-5) -%!assert(posvolidx([c' v'], 5), pvib, 1e-5)
--- a/main/financial/inst/private/fetch_google.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,102 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {[@var{data} @var{fields}] =} -## fetch_google (@var{conn}, @var{symbol}, @var{fromdate}, @var{todate}, @var{period}) -## -## Download stock data from google. (Helper for fetch.) -## -## @var{fields} are the data fields returned by Google. -## -## @var{fromdate} and @var{todate} is the date datenum for the requested -## date range. If you enter today's date, you will get yesterday's -## data. -## -## @var{period} (default: "d") allows you to select the period for the -## data which can be any of -## @itemize @bullet -## @item 'd': daily -## @item 'w': weekly -## @end itemize -## -## @seealso{google, fetch} -## @end deftypefn - -## FIXME: Actually use the proxy info if given in the connection. -## FIXME: Do not ignore the fields input. - -function [data fields] = fetch_google (conn=[], symbol="", - fromdate, todate, period="d") - - periods = struct("d", "daily", "w", "weekly"); - if strcmpi (conn.url, "http://finance.google.com") - fromdatestr = datestr (fromdate); - todatestr = datestr (todate); - ## http://finance.google.com/finance/historical?q=T&startdate=Sep+1%2C+2007&enddate=Aug+31%2C+2008&histperiod=weekly&output=csv - geturl = sprintf (["http://finance.google.com/finance/" ... - "historical?" ... - "q=%s&startdate=%s&enddate=%s&" ... - "histperiod=%s&output=csv"], - symbol, fromdatestr, todatestr, periods.(period)); - ## FIXME: This would be more efficient if csv2cell could work on - ## strings instead of files. - [f, success, msg] = urlwrite (geturl, tmpnam ()); - if ! success - error (["Could not write Google data to tmp file:" ... - "\n%s\nURL was:\n%s"], msg, geturl) - endif - d = csv2cell (f); - d{1,1} = d{1,1}(4:end); # Remove byte order mark (BOM) - unlink(f); - ## Pull off the header - fields = d(1,:); - d(1,:) = []; - ## Put the dates into datenum format - data = [datenum(datevec(d(:,1), "dd-mmm-yy")), \ - cell2mat(d(:,2:end))]; - ## Note that google appears to have an off-by-one error in - ## returning historical data, so make sure that we only return the - ## requested data and not what Google sent. - data((data(:,1) < fromdate) | (data(:,1) > todate), :) = []; - else - error ("Non-google connection passed to google fetch") - endif - -endfunction - -%!shared fgood, dgood, wgood -%! fgood = {"Date", "Open", "High", "Low", "Close", "Volume"}; -%! dgood = [732501,34.77,34.87,34.25,34.62,15296900; -%! 732500,33.87,34.77,33.72,34.63,16265900; -%! 732499,34.64,34.97,34.03,34.12,13451500; -%! 732498,34.25,35.08,34.20,34.60,15845100; -%! 732494,34.76,34.85,34.22,34.44,9740300]; -%! wgood = [732501,34.25,35.08,33.72,34.62,60859400; -%! 732494,35.88,36.24,34.22,34.44,67132100]; -%!test -%! [d f] = fetch_google (google(), "yhoo", 732494, 732501, "d"); -%! assert(d, dgood, eps); -%! assert(f, fgood, eps); -## test that the automatic period works -%!test -%! [d f] = fetch_google (google(), "yhoo", 732494, 732501); -%! assert(d, dgood, eps); -%! assert(f, fgood, eps); -## Test that weekly works -%!test -%! [d f] = fetch_google (google(), "yhoo", 732494, 732501, "w"); -%! assert(d, wgood, eps); -%! assert(f, fgood, eps);
--- a/main/financial/inst/private/fetch_yahoo.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,98 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {[@var{data} @var{fields}] =} -## fetch_yahoo (@var{conn}, @var{symbol}, @var{fromdate}, @var{todate}, @var{period}) -## -## Download stock data from yahoo. (Helper for fetch.) -## -## @var{fields} are the data fields returned by Yahoo. -## -## @var{fromdate} and @var{todate} is the date datenum for the requested -## date range. If you enter today's date, you will get yesterday's -## data. -## -## @var{period} (default: "d") allows you to select the period for the -## data which can be any of -## @itemize @bullet -## @item 'd': daily -## @item 'w': weekly -## @item 'm': monthly -## @item 'v': dividends -## @end itemize -## -## @seealso{yahoo, fetch} -## @end deftypefn - -## FIXME: Actually use the proxy info if given in the connection. -## FIXME: Do not ignore the fields input. - -function [data fields] = fetch_yahoo (conn=[], symbol="", - fromdate, todate, period="d") - - if strcmpi (conn.url, "http://quote.yahoo.com") - fromdate = datevec (fromdate); - todate = datevec (todate); - geturl = sprintf (["http://ichart.finance.yahoo.com/table.csv" ... - "?s=%s&d=%d&e=%d&f=%d&g=%s&a=%d&b=%d&c=%d&" ... - "ignore=.csv"], - symbol, todate(2)-1, todate(3), todate(1), - period, - fromdate(2)-1, fromdate(3), fromdate(1)); - ## FIXME: This would be more efficient if csv2cell could work on - ## strings instead of files. - [f, success, msg] = urlwrite (geturl, tmpnam ()); - if ! success - error ("Could not write Yahoo data to tmp file:\n%s", msg) - endif - d = csv2cell (f); - unlink(f); - ## Pull off the header - fields = d(1,:); - d(1,:) = []; - dates = strvcat (d(:,1)); - dates = datenum(str2num(dates(:,1:4)), - str2num(dates(:,6:7)), - str2num(dates(:,9:10))); - data = [dates, cell2mat(d(:,2:end))]; - else - error ("Non-yahoo connection passed to yahoo fetch") - endif - -endfunction - -%!shared fgood, dgood -%! fgood = {"Date", "Open", "High", "Low", "Close", "Volume", "Adj Close"}; -%! dgood = [732501,34.77,34.87,34.25,34.62,15515400,34.62; -%! 732500,33.87,34.77,33.72,34.63,16354300,34.63; -%! 732499,34.64,34.97,34.03,34.12,13585700,34.12; -%! 732498,34.25,35.08,34.20,34.60,16086700,34.60; -%! 732494,34.76,34.85,34.22,34.44,9861600,34.44]; -%!test -%! [d f] = fetch_yahoo (yahoo(), "yhoo", 732494, 732501, "d"); -%! assert(d, dgood, eps); -%! assert(f, fgood, eps); -## test that the automatic period works -%!test -%! [d f] = fetch_yahoo (yahoo(), "yhoo", 732494, 732501); -%! assert(d, dgood, eps); -%! assert(f, fgood, eps); - -## The test below fails because yahoo gives a different volume on 732498 -##%!xtest -##%! [d f] = fetch(yahoo(), "yhoo", "01-Jul-2005", "10-Jul-2005", "w"); -##%! assert(d, dgood(4:5,:), eps); -##%! assert(f, fgood, eps);
--- a/main/financial/inst/pv.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,74 +0,0 @@ -## Copyright (C) 1995-1996, 1998, 2000, 2002, 2004-2007 Kurt Hornik <Kurt.Hornik@wu-wien.ac.at> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} pv (@var{r}, @var{n}, @var{p}, @var{l}, @var{method}) -## Returns the present value of an investment that will pay off @var{p} for @var{n} -## consecutive periods, assuming an interest @var{r}. -## -## The optional argument @var{l} may be used to specify an additional -## lump-sum payment made at the end of @var{n} periods. -## -## The optional argument @var{method} may be used to specify whether -## payments are made at the end (@code{"e"}, default) or at the -## beginning (@code{"b"}) of each period. -## -## Note that the rate @var{r} is specified as a fraction (i.e., 0.05, -## not 5 percent). -## @seealso{pmt, nper, rate, npv} -## @end deftypefn - -function v = pv (r, n, p, l, m) - - if (nargin < 3 || nargin > 5) - print_usage (); - endif - - if (! (isscalar (r) && r > -1)) - error ("pv: r must be a scalar > -1"); - elseif (! (isscalar (n) && n > 0)) - error ("pv: n must be a positive scalar"); - elseif (! isscalar (p)) - error ("pv: p must be a scalar"); - endif - - if (r != 0) - v = p * (1 - (1 + r)^(-n)) / r; - else - v = p * n; - endif - - if (nargin > 3) - if (nargin == 5) - if (! ischar (m)) - error ("pv: `method' must be a string"); - endif - elseif (ischar (l)) - m = l; - l = 0; - else - m = "e"; - endif - if (strcmp (m, "b")) - v = v * (1 + r); - endif - if (isscalar (l)) - v = v + pvl (r, n, l); - else - error ("pv: l must be a scalar"); - endif - endif - -endfunction
--- a/main/financial/inst/pvl.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,42 +0,0 @@ -## Copyright (C) 1995-1998, 2000, 2002, 2005-2007 Kurt Hornik <Kurt.Hornik@wu-wien.ac.at> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{v} =} pvl (@var{r}, @var{n}, @var{p}) -## Return the present value @var{v} of an investment that will pay off @var{p} -## in one lump sum at the end of @var{n} periods, given the interest -## rate @var{r}. -## -## Note that the rate @var{r} is specified as a fraction (i.e., 0.05, -## not 5 percent). -## @end deftypefn - -function v = pvl (r, n, p) - - if (nargin != 3) - print_usage (); - endif - - if (! (isscalar (r) && (r > -1))) - error ("pvl: r has to be a scalar > -1"); - elseif (! (isscalar (n) && n > 0)) - error ("pvl: n has to be a positive scalar"); - elseif (! isscalar (p)) - error ("pvl: p has to be a scalar"); - endif - - v = p / (1 + r)^n; - -endfunction
--- a/main/financial/inst/rate.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,67 +0,0 @@ -## Copyright (C) 1995-1998, 2000, 2002, 2004-2007 Kurt Hornik <Kurt.Hornik@wu-wien.ac.at> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{r} =} rate (@var{n}, @var{p}, @var{v}) -## @deftypefnx {Function File} {@var{r} =} rate (@var{n}, @var{p}, @var{v}, @var{l}) -## @deftypefnx {Function File} {@var{r} =} rate (@var{n}, @var{p}, @var{v}, @var{l}, @var{method}) -## @deftypefnx {Function File} {@var{r} =} rate (@var{n}, @var{p}, @var{v}, @var{method}) -## Return the rate of return @var{r} on an investment of present value @var{v} -## which pays @var{p} in @var{n} consecutive periods. -## -## The optional argument @var{l} may be used to specify an additional -## lump-sum payment made at the end of @var{n} periods. -## -## The optional string argument @var{method} may be used to specify -## whether payments are made at the end (@code{"e"}, default) or at the -## beginning (@code{"b"}) of each period. -## @seealso{pv, pmt, nper, npv} -## @end deftypefn - -function r = rate (n, p, v, l = 0, m = "e") - - if (nargin < 3 || nargin > 5) - print_usage (); - elseif (!isnumeric (n) || !isscalar (n) || n <= 0) - error ("number of consecutive periods `n' must be a positive scalar"); - elseif (!isnumeric (p) || !isscalar (p)) - error ("second argument `p' must be a numeric scalar"); - elseif (!isnumeric (v) || !isscalar (v)) - error ("present value `v' must be a numeric scalar"); - - ## the following checks is to allow using default value for `l' while specifying `m' - elseif (nargin == 5) - if (!isnumeric (l) || !isscalar (l)) - error ("value of additional lump-sum payment `l' must be numeric scalar"); - elseif (!ischar (m)) - error ("`method' must be a string") - endif - elseif (nargin == 4) - if (ischar (l)) - m = l; - l = 0; # default value for `l' again - elseif (!isnumeric (l) || !isscalar (l)) - error ("fourth argument must either be a numeric scalar for lump-sum payment `l' or a string for `method'"); - endif - endif - - if (!any (strcmpi (l, {"e","b"}))) - error ("`method' must either be `e' or `b") - endif - - f = @(x) pv (x, n, p, l, m) - v; - r = fsolve (f, 0); - -endfunction
--- a/main/financial/inst/rsindex.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,66 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{rsi} =} rsindex (@var{closeprice}) -## @deftypefnx {Function File} {@var{rsi} =} rsindex (@var{closeprice}, @var{nperiods}) -## -## Compute the relative strength index (RSI) of an asset from the vector -## of closing prices (@var{closeprice}). @var{nperiods} defines the -## number of periods that the rsi should be calculated for -## (default: 14). -## -## The beginning of the @var{rsi} is padded with nans to match the size -## of @var{closeprice}. -## -## @end deftypefn - -function rsi = rsindex (cl, n = 14) - - if nargin < 1 || nargin > 2 - print_usage (); - elseif n > length(cl) - error ("nperiods must be <= the length of closeprice") - elseif ! isvector (cl) - error ("closeprice must be a vector") - endif - - diff = cl(2:end) - cl(1:end-1); - rsi = nan (size (cl)); - - for i = n:length (cl) - changes = diff(i-n+1:i-1); - downs = changes < 0; - ups = changes > 0; - if isempty (downs) - ## prevent division by zero - rsi(i) = 100; - elseif isempty (ups) - rsi(i) = 0; - else - ups = sum(changes(ups)); - downs = -sum(changes(downs)); - rsi(i) = 100*(1-1/(1+ups/downs)); - endif - endfor - -endfunction - -## Tests -%!shared c, r -%! c = [22.44 22.61 22.67 22.88 23.36 23.23 23.08 22.86 23.17 23.69 23.77 23.84 24.32 24.8 24.16 24.1 23.37 23.61 23.21]; -%! r = [nan(1, 13) 85.1190 70.235 68.6684 55.6322 53.0414 49.7717]; -%!assert(rsindex(c), r, 0.0001) -%!assert(rsindex(c'), r', 0.0001)
--- a/main/financial/inst/second.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,41 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## Copyright (C) 2013 Carnë Draug <carandraug@octave.org> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} second (@var{date}) -## @deftypefnx {Function File} {} second (@var{date}, @var{f}) -## Return seconds of a date. -## -## For a given @var{date} in a serial date number or date string format, -## returns its seconds. The optional variable @var{f}, specifies the -## format string used to interpret date strings. -## -## @seealso{date, datevec, now, hour, minute} -## @end deftypefn - -function t = second (varargin) - - if (nargin < 1 || nargin > 2) - print_usage (); - elseif (nargin >= 2 && ! ischar (varargin{2})) - error ("second: F must be a string"); - endif - - t = datevec (varargin{:})(:,6); -endfunction - -%!assert (second (451482.906781456), 45.918, 0.01) -%!assert (second ("1967-09-21 11:56:34", "yyyy-mm-dd HH:MM:SS"), 34)
--- a/main/financial/inst/taxedrr.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,38 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{return} =} taxedrr (@var{pretaxreturn}, @var{taxrate}) -## Compute the taxed rate of @var{return} based on a @var{pretaxreturn} -## rate and a @var{taxrate}. -## @seealso{irr, effrr, nomrr, pvvar, xirr} -## @end deftypefn - -function rate = taxedrr (pretax, taxrate) - - if (nargin != 2) - print_usage (); - elseif (taxrate < 0 || taxrate > 1) - error ("taxedrr: taxrate must be between 0 and 1") - endif - - rate = pretax.*(1-taxrate); - -endfunction - -## Tests -%!assert (taxedrr (0.12, 0.30), 0.084, 10*eps) -%!assert (taxedrr (0.12, 0), 0.12, 10*eps) -%!assert (taxedrr (0.12, 1), 0, 10*eps)
--- a/main/financial/inst/thirdwednesday.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,68 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {[begindate, enddate]} = thirdwednesday (month, year) -## -## Find the third Wednesday of the month specified by the @var{month} -## and @var{year}. The @var{begindate} is the third Wednesday of the -## month, and the @var{enddate} is three months after that. Outputs are -## in the form of datenums. -## -## The third Wednesday is used for Eurodollar futures. -## -## @seealso{nweekdate, datenum} -## @end deftypefn - -function [wednesdays, enddate] = thirdwednesday (month, year) - - if nargin ~= 2 - print_usage (); - elseif ~ ((numel(year) == 1) || - (numel(month) == 1) || - ~isequal (size (month), size (year))) - error("month and year must have the same size or one of them must be a scalar") - endif - - if numel (year) == 1 - sz = size (month); - else - sz = size (year); - endif - - wednesdays = nweekdate (3, 4, year, month); - dates = datevec (wednesdays); - ## adjust the year when the date will wrap - dates(:,1) += dates (:,2) > 9; - ## adjust the month by three - dates(:,2) = mod (dates(:,2) + 2, 12) + 1; - enddate = reshape (datenum (dates), sz); - -endfunction - -## Tests -%!shared m, y, bt, et -%! m = (1:12)'; -%! y = 2008; -%! bt = datenum(2008, m, [16;20;19;16;21;18;16;20;17;15;19;17]); -%! et = datenum([2008*ones(9,1);2009*ones(3,1)], [4:12 1:3]', [16;20;19;16;21;18;16;20;17;15;19;17]); -%!test -%! [b e] = thirdwednesday (m, y); -%! assert(b, bt) -%! assert(e, et) -%!test -%! [b e] = thirdwednesday (m', y); -%! assert(b, bt') -%! assert(e, et')
--- a/main/financial/inst/today.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,32 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {datenum =} today () -## Returns the current local date as the number of days since Jan 1, 0000. -## By this reckoning, Jan 1, 1970 is day number 719529. -## -## The returned number corresponds to 00:00:00 today. -## -## The returned value is also called a "serial date number" -## (see @code{datenum}). -## @seealso{clock, date, datenum, now} -## @end deftypefn - -function t = today () - - t = floor (now ()); - -endfunction
--- a/main/financial/inst/vol.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,70 +0,0 @@ -## Copyright (C) 1995-1998, 2000, 2002, 2005-2007 Friedrich Leisch <Friedrich.Leisch@ci.tuwien.ac.at> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{volat} =} vol (@var{x}, @var{m}, @var{n}) -## Return the volatility @var{volat} of each column of the input matrix @var{x}. -## -## The number of data sets per period is given by @var{m} (e.g. the -## number of data per year if you want to compute the volatility per -## year). The optional parameter @var{n} gives the number of past -## periods used for computation, if it is omitted, a value of 1 is used. -## -## If @var{t} is the number of rows of @var{x}, @code{vol} returns the -## volatility from @code{n*m} to @var{t}. -## -## @end deftypefn - -function retval = vol (X, m, n) - - if (nargin < 2) - print_usage (); - endif - - [xr, xc] = size (X); - - if (nargin > 2) - if (n * m > xr) - error ("vol: I need more data!"); - endif - else - n = 1; - if (n * m > xr) - error ("vol: I need more data!"); - endif - endif - - U = zeros (xr - 1, xc); - - if (all (X)) - U = X ((2 : xr), :) ./ X((1 : (xr-1)), :); - else - error ("vol: zero element in X"); - endif - - U = log(U); - U = U - ones (xr - 1, 1) * sum (U) / (xr - 1); - - retval = zeros (xr - n * m, xc); - - retval(1, :) = sumsq (U((1 : n*m), :)); - for i = 2 : (xr - n * m) - retval(i, :) = retval(i - 1, :) ... - - U(i - 1, :).^2 + U(i + n * m - 1, :).^2; - endfor - - retval = sqrt (retval * m / (n * m - 1)); - -endfunction
--- a/main/financial/inst/x2mdate.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,75 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {datenums =} x2mdate (exceldatenums) -## @deftypefnx {Function File} {datenums =} x2mdate (exceldatenums, convention) -## @deftypefnx {Function File} {datenums =} x2mdate (exceldatenums, convention, "ExcelBug") -## -## Convert @var{datenums} from the Microsoft Excel date format to the -## format used by @code{datenum}. If set to 0 (default, Excel for -## Windows), @var{convention} specifies to use the Excel 1900 convention -## where Jan 1, 1900 corresponds to Excel serial date number 1. If set -## to 1 (Excel for Mac), @var{convention} specifies to use the Excel -## 1904 convention where Jan 1, 1904 corresponds to Excel serial date -## number 0. -## -## Note that this does not take into account the Excel bug where 1900 is -## considered to be a leap year unless you give the "ExcelBug" option. -## -## Excel does not represent dates prior to 1 January 1900 using this -## format, so a warning will be issued if any dates preceed this date. -## -## @seealso{datenum, x2mdate} -## @end deftypefn - -function dates = x2mdate (dates, convention, excelbug) - - if nargin == 1 - convention = 0; - excelbug = false(); - elseif nargin == 2 - excelbug = false(); - elseif nargin == 3 - excelbug = strcmpi(excelbug, "ExcelBug"); - else - print_usage (); - endif - - if any (dates < 0) - warning ("Negative date found, this will not work within MS Excel.") - endif - - if convention == 0 - adj = datenum(1900, 1, 1) - 2; - elseif convention == 1 - adj = datenum(1904, 1, 1); - endif - - if excelbug - datemask = (dates < 61); - dates(datemask) = dates(datemask) + 1; - endif - dates = dates + adj; - -endfunction - -## Tests -%!assert(x2mdate(39448), datenum(2008, 1, 1)) -%!assert(x2mdate([39083 39448]), datenum(2007:2008, 1, 1)) -%!assert(x2mdate(2), datenum(1900, 1, 1)) -%!assert(x2mdate(1, 0, "ExcelBug"), datenum(1900, 1, 1)) -%!assert(x2mdate(0, 1), datenum(1904, 1, 1)) -
--- a/main/financial/inst/yahoo.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,44 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{conn} =} yahoo () -## @deftypefnx {Function File} {@var{conn} =} yahoo (@var{URL}, @var{ipaddress}, @var{port}) -## -## Prepare a Yahoo connection for the fetch command to get Yahoo -## historical quote data. -## -## If given, the @var{URL} must be "http://quote.yahoo.com". The -## @var{ipaddress} and @var{port} is the proxy ipaddress and port. These -## parameters are currently ignored (with a warning if given). -## -## @seealso{fetch, google} -## @end deftypefn - -## FIXME: Actually use the proxy info if given. - -function conn = yahoo (url="http://quote.yahoo.com", ipaddr="", port=[]) - - if ! strcmpi (url, "http://quote.yahoo.com") - error ("url must be 'http://quote.yahoo.com'") - elseif ! (isempty (ipaddr) && isempty (port)) - warning ("Proxy information is currently ignored") - endif - - conn.url = url; - conn.ip = ipaddr; - conn.port = port; - -endfunction
--- a/main/financial/inst/year.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,41 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## Copyright (C) 2013 Carnë Draug <carandraug@octave.org> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {} year (@var{date}) -## @deftypefnx {Function File} {} year (@var{date}, @var{f}) -## Return year of a date. -## -## For a given @var{date} in a serial date number or date string format, -## returns its year. The optional variable @var{f}, specifies the -## format string used to interpret date strings. -## -## @seealso{date, datevec, now, day, month} -## @end deftypefn - -function t = year (varargin) - - if (nargin < 1 || nargin > 2) - print_usage (); - elseif (nargin >= 2 && ! ischar (varargin{2})) - error ("year: F must be a string"); - endif - - t = datevec (varargin{:})(:,1); -endfunction - -%!assert (year (523383), 1432); -%!assert (year ("12-02-34", "mm-dd-yy"), 1934);
--- a/main/financial/inst/yeardays.m Thu Aug 15 20:14:56 2013 +0000 +++ /dev/null Thu Jan 01 00:00:00 1970 +0000 @@ -1,111 +0,0 @@ -## Copyright (C) 2008 Bill Denney <bill@denney.ws> -## -## This program is free software; you can redistribute it and/or modify it under -## the terms of the GNU General Public License as published by the Free Software -## Foundation; either version 3 of the License, or (at your option) any later -## version. -## -## This program is distributed in the hope that it will be useful, but WITHOUT -## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or -## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more -## details. -## -## You should have received a copy of the GNU General Public License along with -## this program; if not, see <http://www.gnu.org/licenses/>. - -## -*- texinfo -*- -## @deftypefn {Function File} {@var{d} =} yeardays (@var{y}) -## @deftypefnx {Function File} {@var{d} =} yeardays (@var{y}, @var{b}) -## Return the number of days in the year @var{y} with an optional basis -## @var{b}. -## -## Valid bases -## @itemize @bullet -## @item 0 -## actual/actual (default) -## @item 1 -## 30/360 (SIA) -## @item 2 -## actual/360 -## @item 3 -## actual/365 -## @item 4 -## 30/360 (PSA) -## @item 5 -## 30/360 (IDSA) -## @item 6 -## 30/360 (European) -## @item 7 -## actual/365 (Japanese) -## @item 8 -## actual/actual (ISMA) -## @item 9 -## actual/360 (ISMA) -## @item 10 -## actual/365 (ISMA) -## @item 11 -## 30/360E (ISMA) -## @end itemize -## @seealso{days365, days360, daysact, daysdif} -## @end deftypefn - -function d = yeardays (y, basis) - - if (nargin == 1) - basis = 0; - elseif (nargin != 2) - print_usage (); - endif - - if isscalar (y) - d = zeros (size (basis)); - elseif isscalar (basis) - ## the rest of the code is much simpler if you can be sure that - ## basis is a matrix if y is a matrix - basis = basis * ones (size (y)); - d = zeros (size (y)); - else - if ndims (y) == ndims (basis) - if ~ all (size (y) == size (basis)) - error ("year and basis must be the same size or one must be a scalar"); - else - d = zeros (size (y)); - endif - else - error ("year and basis must be the same size or one must be a scalar.") - endif - endif - - bact = ismember (basis(:), [0 8]); - b360 = ismember (basis(:), [1 2 4 5 6 9 11]); - b365 = ismember (basis(:), [3 7 10]); - - badbasismask = ~ (bact | b360 | b365); - if any (badbasismask) - badbasis = unique (basis(badbasismask)); - error ("Unsupported basis: %g\n", badbasis) - endif - - d(bact) = 365 + (eomday(y(bact), 2) == 29); - d(b360) = 360; - d(b365) = 365; - -endfunction - -## Tests -%!assert(yeardays(2000), 366) -%!assert(yeardays(2001), 365) -%!assert(yeardays(2000:2004), [366 365 365 365 366]) -%!assert(yeardays(2000, 0), 366) -%!assert(yeardays(2000, 1), 360) -%!assert(yeardays(2000, 2), 360) -%!assert(yeardays(2000, 3), 365) -%!assert(yeardays(2000, 4), 360) -%!assert(yeardays(2000, 5), 360) -%!assert(yeardays(2000, 6), 360) -%!assert(yeardays(2000, 7), 365) -%!assert(yeardays(2000, 8), 366) -%!assert(yeardays(2000, 9), 360) -%!assert(yeardays(2000, 10), 365) -%!assert(yeardays(2000, 11), 360) -