I'm looking for a faster way to calculate these loops. I've read some about vectorization on Loren's page but I'm not sure that would apply here. I also have the parallel computing toolbox, but because of how I'm writing to my preallocated data arrays, I get the message "Valid Indices are restricted in parfor loops." Can someone take a look at my code and make a suggestion how to get parfor to work and/or use vectorization? Essentially I'm calculating a 21 day return for every security, for every day (past 21 days) in my dataset.
Thanks a lot, Brian
parfor i = 1:SecCnt tickidx = strcmp(UnqSec(i,1),Cusips); for d = 21:DatesCnt RollRtns(i*(d-21)+1,1) = prod(Rtns(Rtns(:,2)>d-21 & Rtns(:,2)<=d & tickidx)); RollCusips(i*(d-21)+1,1) = UnqSec(i,1); RollDates(i*(d-21)+1,1) = UnqDates(d,1); end end