addBusinessCalendar

Add business calendar awareness to timetables

Syntax

TT = addBusinessCalendar(TT)

TT = addBusinessCalendar(___,Name=Value)

Description

TT = addBusinessCalendar(TT) adds business calendar awareness to an input timetable TT by setting a custom property for the output timetable TT.

TT = addBusinessCalendar(___,Name=Value) sets additional options specified by one or more name-value arguments, using any of the input arguments in the previous syntax. For example, TT = addBusinessCalendar(TT,Holidays=H) replaces the default holidays stored in Data_NYSE_Closures.mat with the list of holidays H.

Examples

Add Business Calendar for Calculating Period-Over-Period Rolling Returns

This example shows how to add a business calendar when you calculate period-over-period (PoP) rolling differences for 5 years of simulated daily prices. For each date in timetable TT, the difference represents the PoP difference of the corresponding price compared to the price one period earlier.

Use holidays to indicate the holidays in holidays.m for the simulation period.

H = holidays(datetime(2014,1,1),datetime(2018,12,31));

Simulate daily prices for three assets.

t = (datetime(2014,1,1):caldays:datetime(2018,12,31))';
rng(200,"twister")
Price = 100 + 0.1*(0:numel(t) - 1)'.*cumsum(randn(numel(t),1)/100); 
Price = round(Price*100)/100;       
Price2 = round(Price*94)/100; 
Price3 = round(Price*88)/100;

TT    = timetable(Price,Price2,Price3,RowTimes=t);
head(TT,15)

       Time        Price     Price2    Price3
    ___________    ______    ______    ______

    01-Jan-2014       100       94        88 
    02-Jan-2014       100       94        88 
    03-Jan-2014       100       94        88 
    04-Jan-2014       100       94        88 
    05-Jan-2014    100.01    94.01     88.01 
    06-Jan-2014    100.01    94.01     88.01 
    07-Jan-2014    100.02    94.02     88.02 
    08-Jan-2014    100.02    94.02     88.02 
    09-Jan-2014    100.04    94.04     88.04 
    10-Jan-2014    100.06    94.06     88.05 
    11-Jan-2014    100.08    94.08     88.07 
    12-Jan-2014    100.11     94.1      88.1 
    13-Jan-2014    100.11     94.1      88.1 
    14-Jan-2014    100.12    94.11     88.11 
    15-Jan-2014    100.12    94.11     88.11 

Use addBusinessCalendar to indicate the holidays for the simulation period in the timetable TT.

TT = addBusinessCalendar(TT,Holidays=H);

Use rollingreturns with the 'Method' name-value pair argument set to "difference" to compute the differences, that is, the period-over-period changes.

deltas = rollingreturns(TT,Period=calweeks(1),Method="difference");
head(deltas,15)

       Time        Price_Difference_1w    Price2_Difference_1w    Price3_Difference_1w
    ___________    ___________________    ____________________    ____________________

    01-Jan-2014            NaN                     NaN                     NaN        
    02-Jan-2014            NaN                     NaN                     NaN        
    03-Jan-2014            NaN                     NaN                     NaN        
    04-Jan-2014            NaN                     NaN                     NaN        
    05-Jan-2014            NaN                     NaN                     NaN        
    06-Jan-2014            NaN                     NaN                     NaN        
    07-Jan-2014            NaN                     NaN                     NaN        
    08-Jan-2014            NaN                     NaN                     NaN        
    09-Jan-2014           0.04                    0.04                    0.04        
    10-Jan-2014           0.06                    0.06                    0.05        
    11-Jan-2014           0.08                    0.08                    0.07        
    12-Jan-2014           0.11                     0.1                     0.1        
    13-Jan-2014            0.1                    0.09                    0.09        
    14-Jan-2014            0.1                    0.09                    0.09        
    15-Jan-2014            0.1                    0.09                    0.09        

Input Arguments

TT — Input timetable to update with business calendar awareness

timetable

Input timetable to update with business calendar awareness, specified as a timetable.

Data Types: timetable

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Before R2021a, use commas to separate each name and value, and enclose Name in quotes.

Example: TT = addBusinessCalendar(TT,Holidays=H) replaces the default holidays stored in Data_NYSE_Closures.mat with the list of holidays H

Holidays — Alternate holidays and market closure dates

datetime vector

Alternate holidays and market closure dates, specified as a datetime vector. The dates in Holidays must be whole dates without HH:MM:SS components. No business is conducted on the dates in Holidays.

By default, Holidays is the New York Stock Exchange (NYSE) holidays and market closure dates. For more details, load the default holidays in Data_NYSE_Closures.mat and inspect the NYSE variable, or, if you have a Financial Toolbox™ license, see holidays and isbusday.

Tip

If you have a Financial Toolbox license, you can generate alternate holiday schedules by using the createholidays function and performing this procedure:

1. Generate a new holidays function using createholidays.

2. Call the new holidays function to get the list of holidays.

3. Specify the alternate holidays to addBusinessCalendar by using the Holidays name-value argument.

Data Types: datetime

Weekends — Alternate weekend days on which no business is conducted

[1 0 0 0 0 0 1] or ["Sunday" "Saturday"] (default) | logical vector | string vector

Alternate weekend days on which no business is conducted, specified as a length 7 logical vector or a string vector.

For a logical vector, true (1) entries indicate a weekend day and false (0) entries indicate a weekday, where entries correspond to Sunday, Monday, Tuesday, Wednesday, Thursday, Friday, and Saturday.

Example: Weekends=[1 0 0 0 0 1 1] specifies that business is not conducted on Fridays through Sundays.

For a string vector, entries explicitly list the weekend days.

Example: Weekends=["Friday" "Saturday" "Sunday"]

Tip

If business is conducted seven days per week, set Weekends to [0 0 0 0 0 0 0].

Data Types: logical

Output Arguments

TT — Updated timetable TT with added business calendar awareness by a custom property

timetable

Updated timetable TT with added business calendar awareness by the custom property BusinessCalendar, returned as a timetable.

The custom property BusinessCalendar contains a data structure that contains a field IsBusinessDay that stores a callable function (F). The function F accepts a datetime matrix (D) and returns a logical indicator matrix (I) of the same size: I = F(D). true (1) elements of I indicate that the corresponding element of D occurs on a business day; false (0) elements of I indicate otherwise.

Access the callable function F by using F = TT.Properties.CustomProperties.BusinessCalendar.IsBusinessDay.

Version History

Introduced in R2020b