From 08b514f52b44d357bf4b7301dc9f97b6f580d6b4 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Charybdis=29?=
<stepan@adjemian.eu>
Date: Fri, 13 Dec 2019 15:37:09 +0100
Subject: [PATCH] Fixed backcast method for older versions of Matlab and for
Octave.
---
src/@dseries/backcast_.m | 4 ++--
src/utilities/cumulate/rcumprod.m | 12 ++++++++++++
src/utilities/cumulate/rcumsum.m | 12 ++++++++++++
3 files changed, 26 insertions(+), 2 deletions(-)
create mode 100644 src/utilities/cumulate/rcumprod.m
create mode 100644 src/utilities/cumulate/rcumsum.m
diff --git a/src/@dseries/backcast_.m b/src/@dseries/backcast_.m
index 5020c7c..40bc368 100644
--- a/src/@dseries/backcast_.m
+++ b/src/@dseries/backcast_.m
@@ -42,11 +42,11 @@ idp = find(o.dates(1)==p.dates);
if diff
FirstDifference = p.data(2:idp,:)-p.data(1:idp-1,:);
- CumulatedDifferences = cumsum(FirstDifference, 'reverse');
+ CumulatedDifferences = rcumsum(FirstDifference);
o.data = [bsxfun(@minus, o.data(1:end), CumulatedDifferences); o.data];
else
GrowthFactor = p.data(2:idp,:)./p.data(1:idp-1,:);
- CumulatedGrowthFactors = cumprod(GrowthFactor, 'reverse');
+ CumulatedGrowthFactors = rcumprod(GrowthFactor);
o.data = [bsxfun(@rdivide, o.data(1:end), CumulatedGrowthFactors); o.data];
end
diff --git a/src/utilities/cumulate/rcumprod.m b/src/utilities/cumulate/rcumprod.m
new file mode 100644
index 0000000..54be58e
--- /dev/null
+++ b/src/utilities/cumulate/rcumprod.m
@@ -0,0 +1,12 @@
+function Y = rcumprod(X)
+
+% Returns the cumulated product of X from bottom to top (reversed order
+% compared to cumprod, emulate the `reverse` option).
+%
+% INPUTS
+% - X [double] T×N array
+%
+% OUTPUTS
+% - Y [double] T×N array
+
+Y = flip(cumprod(flip(X)));
\ No newline at end of file
diff --git a/src/utilities/cumulate/rcumsum.m b/src/utilities/cumulate/rcumsum.m
new file mode 100644
index 0000000..db52f3d
--- /dev/null
+++ b/src/utilities/cumulate/rcumsum.m
@@ -0,0 +1,12 @@
+function Y = rcumsum(X)
+
+% Returns the cumulated sum of X from bottom to top (reversed order
+% compared to cumsum, emulate the `reverse` option).
+%
+% INPUTS
+% - X [double] T×N array
+%
+% OUTPUTS
+% - Y [double] T×N array
+
+Y = flip(cumsum(flip(X)));
\ No newline at end of file
--
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