MATLAB Loop Programming

Question

I've been stuck on a MATLAB coding problem where I needed to create market weights for many stocks from a large data file with multiple days and portfolios.

I received help from an expert the other day using 'nested loops' it worked, but I don't understand what he has done in the final line. I was wondering if anyone could shed some light and provide an explanation of the last coding line. xp = x (where x = market value)

dates=unique(x(:,1)); (finds the unique dates in the data set Dates are column 1)
for i=1:size(dates,1) (creates an empty matrix to fill the data in)
   for j=5:size(xp,2)
     xp(xp(:,1)==dates(i),j)=xp(xp(:,1)==dates(i),j)./sum(xp(xp(:,1)==dates(i),j));    (help???)
   end
end

Any comment are much appreciated!

Answer 1

To understand the code, you have to understand the colon operator, logical indexing and the difference between / and ./. If any of these is unclear, please look it up in the documentation.

The following code does the same, but is easier to read because I separated each step into a single line:

dates=unique(x(:,1));
%iterates over all dates. size(dates,1) returns the number of dates
for i=1:size(dates,1)
   %iterates over the fifth to last column, which contains the data that will be normalised.
   for j=5:size(xp,2)
     %mdate is a logical vector, which is used to select the rows with the currently processed date.
     mdate=(xp(:,1)==dates(i))
     %s is the sums up all values in column j same date
     s=sum(xp(mdate,j))
     %divide all values in column j with the same date by s, which normalises to 1
     xp(mdate,j)=xp(mdate,j)./s;
   end
end

With this code, I suggest to use the debugger and step through the code.