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Data Transformation

Transform data, including conversions for constraints, covariance, and holdings

Functions

abs2activeConvert constraints from absolute to active format
active2absConvert constraints from active to absolute format
arith2geomArithmetic to geometric moments of asset returns
boxcoxBox-Cox transformation
corr2covConvert standard deviation and correlation to covariance
cov2corrConvert covariance to standard deviation and correlation coefficient
nearcorrCompute nearest correlation matrix by minimizing Frobenius distance (Since R2019b)
covarianceShrinkageEstimate covariance matrix using shrinkage estimators (Since R2023a)
covarianceDenoisingEstimate covariance matrix using denoising (Since R2023a)
geom2arithGeometric to arithmetic moments of asset returns
holdings2weightsPortfolio holdings into weights
movavgMoving average of a financial time series
ret2tickConvert return series to price series
tick2retConvert price series to return series
dateaxisConvert serial-date axis labels to calendar-date axis labels
weights2holdingsPortfolio values and weights into holdings

Topics

  • Returns with Negative Prices

    Learn how Financial Toolbox™ functions treat negative prices and how to interpret results involving negative prices.