Using todaily() without holidays

I am trying to convert a monthly series to daily returns by rolling the monthly return forward until the next available data point. With a fints object I am using todaily() but it is automatically including holidays, i.e.

 dailyTS = todaily(monthlyTS,'CalcMethod','v21x')

I dug through the source code but was unable to find an easy way to override this? I would like data to be populated for all weekdays, including holidays. Is this possible with this or another built-in function?

[Oleg Komarov]

I would know how to do it without fints obj, but it's not a builtin function.

Answer 1

[Oleg Komarov]

% Sample data
data     = [datenum(2012,10:13,1)',(1:4)'];

% Retrieve all days
dates    = (data(1):data(end,1))';

% Remove weekends and holidays
dates    = dates(isbusday(dates));

% Map longer ts to short 
[tf,loc] = ismember([year(dates)     month(dates)],...
                    [year(data(:,1)) month(data(:,1))],'rows');

% create fints 
out      = fints(dates,data(loc,2))

[Matthew]

Thanks, accept I think is should be isbusday(dates,0) since the default for isbusday is to use holiday().

Answer 2

[Walter Roberson]

Pass in the AltHolidays parameter to todaily()

[Matthew]

I don't think the AltHolidays parameter is compatible with the 'CalcMethod' v21x.