Ignoring vectors containing NaN entries in Matlab calculations

Question

This code prices bonds according to the fitSvensson function. How do I get Matlab to ignore NaN values in the CleanPrice vector when a date is selected for which some bonds have a NaN entry for a missing price. How can I get it to ignore that bond altogether when deriving the zero curve? It seems many solutions to NaNs resort to interpolation or setting to zero, but this will lead to an erroneous curve.

Maturity=gcm3.data.CouponandMaturity(1:36,2);

[r,c]=find(gcm3.data.CleanPrice==datenum('11-May-2012'));
row=r

SettleDate=gcm3.data.CouponandMaturity(row,3);
Settle = repmat(SettleDate,[length(Maturity) 1]);

CleanPrices =transpose(gcm3.data.CleanPrice(row,2:end));
CouponRate = gcm3.data.CouponandMaturity(1:36,1);
Instruments = [Settle Maturity CleanPrices CouponRate];
PlottingPoints = gcm3.data.CouponandMaturity(1,2):gcm3.data.CouponandMaturity(36,2);
Yield = bndyield(CleanPrices,CouponRate,Settle,Maturity);

SvenssonModel = IRFunctionCurve.fitSvensson('Zero',SettleDate,Instruments)
ParYield=SvenssonModel.getParYields(Maturity);

The Data looks like this where each column is a bond, column 1 is the dates and the elements the clean price. As you can see, the first part of the data contains lots of NaNs for bonds yet to have prices. After a point all bonds have prices but unfortunately there are instances where one or two day's prices are missing. Ideally, if a NaN is present I would like it to ignore that bond on that date if possible as the more curves generated (irrespective of number of bonds used) the better. If this is not possible then ignoring that date is an option but will result in many curves not generating.

Answer 1

This is a general solution to your problem. I don't have that toolbox on my work computer so I can't test whether it works with the IRFunctionCurve.fitSvensson command

[row,~]=find(gcm3.data.CleanPrice(:,1)==datenum('11-May-2012'));
col_set=find(~isnan(gcm3.data.CleanPrice(row,2:end)));
CleanPrices=transpose(gcm3.data.CleanPrice(row,col));