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I have made a solution to an index construction but not in Matlab but in C++ with Visual Studio. Maybe you would like to check it out. It automatically spits out the index from the Bloomberg stream data (


Sounds more like a programming question, but what you stressed is relevant, you need to define a methodology to deal with this calendar issue. The options you have are whether choose the smallest common set of dates to calculate your index, or use previous close. Choosing between the two involves investability of your index IMO. Would you be able to purchase ...

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