Time Series Conversions

All the time series functions we demonstrated accept four more (optional) parameters: lead/lag, currency, currency source, unit. Let's cover each one separately:

Lead/lag specifies how much to offset the data through time. The offset can be in quote days, calendar days and calendar weeks. Each of those variants is supported by a method call on the connection object.

Currency and currency source specify which currency to convert the data from, and the source of the data for that currency.

Unit simply converts the data to a different unit of measurement, like litres to barrels.

Let's demonstrate each of these conversions on short and simple time series:

Let's get some plain data first:

>> getdailyrange(con,'/GCL','20-Jan-2010','30-Jan-2010')

Matlab replies with:

Time Series Collection Object: unnamed

Time vector characteristics

      Start date            20-Jan-2010 00:00:00
      End date              29-Jan-2010 00:00:00

Member Time Series Objects:

      Open
      High
      Low
      Close
      Volume
      OpenInterest

Now let's shift the data five calendar days into the future:

>> getdailyrange(con,'/GCL','20-Jan-2010','30-Jan-2010',con.CalendarDays(5))

The date range returned is now different:

     Start date            25-Jan-2010 00:00:00
     End date              03-Feb-2010 00:00:00

Or we can use quoted days instead:

>> getdailyrange(con,'/GCL','20-Jan-2010','30-Jan-2010',con.QuotedDays(5))

Again, the data is shifted into the future, but this time by five quoted days:

     Start date            27-Jan-2010 00:00:00
     End date              05-Feb-2010 00:00:00

But possibly instead of shifting the dates, we want to see the prices in Euros, as quoted by the Fed:

>> getdailyrange(con,'/GCL','20-Jan-2010','30-Jan-2010',[],'EUR','USF')

All the prices now get shifted to Euros.

Finally, we can convert from barrels to liters simply to using that as the last parameter and omiting the others:

>> getdailyrange(con,'/GCL','20-Jan-2010','30-Jan-2010',[],[],[], con.Liters)

Of course, all the conversions can be applied at the same time, they are just demonstrated here one at a time.

The valid unit conversions are: Barrels, Liters, Kiloliters, CubicMeters, Gallons, ThouStdCubicFt, MetricTons, ShortTons, MMBTUs, Therms, Gigajoules, GigawattHours, KilowattHours, MegawattHours. All of these are properties of the connection object.