How to remove daily data and leave the last day of each month

I have a matrix of daily US Yield curve spreads from 1990 to 2017. The data is daily, but I need to remove all except the last day of each month to make it monthly data. The dates are in the first column. How would I do this?

[Jack Bratton]

Note: since the yield data only comes out on weekdays, the last day I have data for the month is not necessarily the last day of the month.

[Von Duesenberg]

A possibility would be to convert month names to numbers and identify breaks in month names (e.g. with the diff function). Then you could use these indices to extract the relevant rows.

Answer 1

[Rik]

Assuming you have R2014b or later, the code below should extract the logical vector that is true for every last day of the month in you vector. This approach will only work if you have at least 2 days each month.

Data=datetime(1990,1,1):days(1):datetime(2017,12,31);
D_days=day(Data);
LastDayOfMonthIndex=[diff(D_days) 0]<0;

[Rik]

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