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Data Transformation

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


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
geom2arithGeometric to arithmetic moments of asset returns
holdings2weightsPortfolio holdings into weights
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


Data Transformation and Frequency Conversion

Data transformation and frequency conversion functions convert a data series into a different format.