Calculate 10y returns out of monthly data
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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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Accepted Answer
Andrei Bobrov
on 24 Oct 2014
Edited: Andrei Bobrov
on 24 Oct 2014
out = prod(1 + reshape(x,120,[])) - 1;
or
out = accumarray(ceil((1:numel(x))'/120),x(:),[],@(x)prod(1+x)-1);
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More Answers (1)
Roger Wohlwend
on 24 Oct 2014
y = exp(filter(ones(120,1),1,log(1+r)))-1;
y = y(120:end);
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Roger Wohlwend
on 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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