//Simple example for constructing Monthly RV and returns from daily data
#include <oxstd.h>

main()
{
decl d,r,i,n,sumr,sumrv,mn,year,file;

d=loadmat("mibm.dat");
r=d[][1];
n=rows(r);
print(n,"\n");

mn=zeros(n,1);
year=zeros(n,1);

// obtain year and months
for(i=0;i<n;i++)
{
year[i]=int(d[i][0]./10000.);
mn[i]=int((d[i][0]-year[i]*10000.)/100.);
print(mn[i],"\n");
}

file=fopen("rv.dat","w");

// start with first obs
sumr=r[0];
sumrv=r[0]^2;

for(i=1;i<n;i++)
{
   if(mn[i] != mn[i-1])
   {

      // change in month -- save data ti file
      fprint(file,"%4d ",year[i],"%2d ",mn[i],"%14.10f ",sumr,"%14.10f\n",sumrv);

      // initialize for next month

      sumr=r[i];
      sumrv=r[i]^2;
    }
    else
    {
      sumr=sumr+r[i];
      sumrv=sumrv+r[i]^2;
    }
}
}