Loop that I am trying to get rid off

To follow up on my previous thread regarding a very time consuming routine, the main source of slowness I believe is the following: Rating agencies such as Moody and Standard and Poors report ratings for bonds outstanding. This rating changes from time to time. So I have in a matrix X0: column 1 is a bond ID Column 2 is the rating beginning date Column 3 is the rating Column 4 is the rating ending date for example for Bond ID 1 I have the following inputs: Ratings=[1 726834 3 728000;1 728000 2 729500;1 729500 3 731000]; then I have a vector date of 20 year daily data so I am running a loop that looks like this for a single bond (I have 15000 bonds):

for i=1:length(date)
x1=find(X0(:,2)<=date(i) & X0(:,4)>date(i));
      if isempty(x1)
       R(i)=nan;%Rating
      else R(i)=X0(x1,3);
      end
end

Is there a way to get rid of this loop ?

Answer 1

[Oleg Komarov]

% Preallocate R already with NaNs

R = NaN(size(date));

% Now we want to test how many dates belong to each rating period, to do this construct the edges of each period

edges = unique(X0(:,[2,4]));

% Total length or rating history (excluded last day of last period)

idx = date >= edges(1) & date < edges(end);

% Count ho many dates fall per period (last bucket is last day of last rating period, which is excluded)

len = histc(date, edges);

% Use run-length decoding (vectirized)

R(idx) = rude(len(1:end-1), X0(:,3));

Rude on FEX: here

[joseph Frank]

it is working wonderfully but for one observation I received an error

len=[676

438

69

62

447

192

454

3659

0];

X0=12739 726313 5 727261

12739 727261 6 727873

12739 727873 6 727970

12739 727970 7 728056

12739 728056 7 728683

12739 728683 7 728951

12739 728951 8 728951

12739 728951 8 729587

12739 729587 8 734710]

edges=726313

727261

727873

727970

728056

728683

728951

729587

734710];

I am receiving

??? Error using ==> rude>rl_decode at 74

rl-decoder: length mismatch

len = 8

val = 9

Error in ==> rude at 60

p1=rl_decode(varargin{1:2});

Error in ==> findrating at 28

R(idx) = rude(len(1:end-1), X0(:,3));

[Oleg Komarov]

Look at X0:

12739 728951 8 728951

[joseph Frank]

thanks. I eliminated the duplication

Answer 2

[Fangjun Jiang]

I wonder if you can use interp1(). Basically, it is a look up operation, right? It will fill NaNs for dates outside of Ratings. But there should be no gap of dates in Ratings.

Use your own discretion. BTW, don't use 'date' as the variable name. It's a function.

Ratings=[1 726834 3 728000;1 728000 2 729500;1 729500 3 731000];
X=[Ratings(:,2),Ratings(:,4)-1]';
X=X(:);
Y=[Ratings(:,3),Ratings(:,3)]';
Y=Y(:);
Dates=726830:731005;
R=interp1(X,Y,Dates,'nearest');

[Oleg Komarov]

I like your approach, more comprehensible.

Answer 3

[Daniel Shub]

Loops in MATLAB are much faster nowadays then they used to be. Without timing solutions, it is not always obvious what way is fastest. Sometimes you just want to get to fast enough.

It looks to me like you could loop over the rows of X0 instead of the dates.