Calculate 10y returns out of monthly data

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Markus
Markus le 23 Oct 2014
Modifié(e) : Andrei Bobrov le 24 Oct 2014
hey guys,
i have monthly returns (1mil. simulations). Now i want to calculate corresponding 10 year returns. for example vextor x: 0.05 0.02 0.03 0.4 -0.21 ...
what matlab should do now is to calculate: ((1+r(1))*(1+r(2))*...(1+r(120)))-1 and ((1+r(121))*(1+r(122))*...(1+r(240)))-1 and so on...
thx for your help

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Réponse acceptée

Andrei Bobrov
Andrei Bobrov le 24 Oct 2014
Modifié(e) : Andrei Bobrov le 24 Oct 2014
out = prod(1 + reshape(x,120,[])) - 1;
or
out = accumarray(ceil((1:numel(x))'/120),x(:),[],@(x)prod(1+x)-1);

Plus de réponses (1)

Roger Wohlwend
Roger Wohlwend le 24 Oct 2014
y = exp(filter(ones(120,1),1,log(1+r)))-1;
y = y(120:end);
  2 commentaires
Markus
Markus le 24 Oct 2014
thx thats what i wanted, but now it calculates: ((1+r(1))*(1+r(2))*...(1+r(120)))-1 and ((1+r(2))*(1+r(3))*...(1+r(121)))-1 and so on. what i wanted was: ((1+r(1))*(1+r(2))*...(1+r(120)))-1 and ((1+r(121))*(1+r(122))*...(1+r(240)))-1 and so on..
Roger Wohlwend
Roger Wohlwend le 24 Oct 2014
Oh, my mistake.
y = exp(filter(ones(120,1),1,log(1+r)))-1;
y = y(120:120:end);

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