clear all
close all
clc

set(0,'DefaultTextFontSize',12);
set(0,'DefaultAxesFontSize',12);
set(0,'DefaultLineLineWidth',2);
set(0,'DefaultLineMarkerSize',12);

delete VIX9D.csv
delete VIX3M.csv
delete VIX6M.csv

websave('VIX9D.csv','https://cdn.cboe.com/api/global/us_indices/daily_prices/VIX9D_History.csv','Timeout',Inf);
M9D=readtable('VIX9D.csv');
Date9VIX=datenum(table2array(M9D(:,1)));
Val9VIX=table2array(M9D(:,5));

websave('VIX3M.csv','https://cdn.cboe.com/api/global/us_indices/daily_prices/VIX3M_History.csv','Timeout',Inf);
M3M=readtable('VIX3M.csv');
Date3VIX=datenum(table2array(M3M(:,1)));
Val3VIX=table2array(M3M(:,5));

websave('VIX6M.csv','https://cdn.cboe.com/api/global/us_indices/daily_prices/VIX6M_History.csv','Timeout',Inf);
M6M=readtable('VIX6M.csv');
Date6VIX=datenum(table2array(M6M(:,1)));
Val6VIX=table2array(M6M(:,5));

Y0=getMarketDataViaYahoo('^VIX','04-Jan-2011',datetime('today'),'1d');
DateVIX= datenum(Y0{:, 1});
VIX= table2array(Y0(:, 5));

TF=strcmp(datestr(DateVIX(end)),string(datetime('today')));
if TF==1
    DateVIX=DateVIX(1:end-1);
    VIX=VIX(1:end-1);
end

Date9VIXsync=[];
Val9VIXsync=[];

Date3VIXsync=[];
Val3VIXsync=[];

Date6VIXsync=[];
Val6VIXsync=[];

Slope=[];
for i0=1:length(VIX)

    [val,pos]=min(abs(Date9VIX-DateVIX(i0)));
    Date9VIXsync=[Date9VIXsync; Date9VIX(pos)];
    Val9VIXsync=[Val9VIXsync; Val9VIX(pos)/VIX(i0)];

    [val,pos]=min(abs(Date3VIX-DateVIX(i0)));
    Date3VIXsync=[Date3VIXsync; Date3VIX(pos)];
    Val3VIXsync=[Val3VIXsync; Val3VIX(pos)/VIX(i0)];

    [val,pos]=min(abs(Date6VIX-DateVIX(i0)));
    Date6VIXsync=[Date6VIXsync; Date6VIX(pos)];
    Val6VIXsync=[Val6VIXsync; Val6VIX(pos)/VIX(i0)];

%     P = polyfit([1 2 3],[Val9VIXsync(i0) Val3VIXsync(i0) Val6VIXsync(i0)],1);
%     Slope=[Slope; P(1)];

end

Rank9D=100*percentile_rank_calculator(Val9VIXsync);
Rank3M=100*percentile_rank_calculator(Val3VIXsync);
Rank6M=100*percentile_rank_calculator(Val6VIXsync);

figure(length(findobj('type','figure'))+1)
plot(DateVIX, [Rank9D Rank3M Rank6M])
ylabel('Percentile Rank [%]')
legend(['VIX9D/VIX: ' num2str(Rank9D(end),2) ' [%]'], ['VIX3M/VIX: ' num2str(Rank3M(end),2) ' [%]'], ['VIX6M/VIX: ' num2str(Rank6M(end),2) ' [%]'])
datetick('x',10)

%%% Functions are defined below %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
function percentile_rank=percentile_rank_calculator(X)

            X_steps=linspace(min(X),max(X),1000)';
            percentaile_rank=[];
            for i0=1:length(X_steps)
                counter=0;
                for i1=1:length(X)
                    if X(i1)<=X_steps(i0)
                        counter=counter+1;
                    end
                end
                percentaile_rank=[percentaile_rank; counter/length(X)];
            end
            
            X_rank=interp1(X_steps,percentaile_rank,X);
            percentile_rank=X_rank;            

end

function data = getMarketDataViaYahoo(symbol, startdate, enddate, interval)
    % Downloads market data from Yahoo Finance for a specified symbol and 
    % time range.
    % 
    % INPUT:
    % symbol    - is a ticker symbol i.e. 'AMD', 'BTC-USD'
    % startdate - the date from which the market data will be requested
    % enddate   - the market data will be requested till this date
    % interval  - the market data will be returned in this intervals
    % supported intervals are '1d', '5d', '1wk', '1mo', '3mo'
    %
	% OUTPUT:
    % data - is a retrieved  dataset returned as a table
    %
    % Example: 
    %   data = getMarketDataViaYahoo('AMD', '1-Jan-2018', datetime('today'), '5d');
    % 
    % Author: Artem Lenskiy, PhD
    % Version: 1.13
    %
    % Special thanks to Patryk Dwórznik (https://github.com/dworznik) for
    % a hint on JavaScript processing. 
    %
    % Alternative approach is given here
    % https://stackoverflow.com/questions/50813539/user-agent-cookie-workaround-to-web-scraping-in-matlab
    %
    % Another approach taken form WFAToolbox is to send a post request as
    % follows:
    % urlread(url, 'post',{'matlabstockdata@yahoo.com', 'historical stocks'})
    
    if(nargin() == 1)
        startdate = posixtime(datetime('1-Jan-2018'));
        enddate = posixtime(datetime()); % now
        interval = '1d';
    elseif (nargin() == 2)
        startdate = posixtime(datetime(startdate));
        enddate = posixtime(datetime()); % now
        interval = '1d';
    elseif (nargin() == 3)
        startdate = posixtime(datetime(startdate));
        enddate = posixtime(datetime(enddate));        
        interval = '1d';
    elseif(nargin() == 4)
        startdate = posixtime(datetime(startdate));
        enddate = posixtime(datetime(enddate));
    else
        error('At least one parameter is required. Specify ticker symbol.');
        data = [];
        return;
    end
    
    %% Send a request for data
    % Construct an URL for the specific data
    uri = matlab.net.URI(['https://query1.finance.yahoo.com/v7/finance/download/', upper(symbol)],...
        'period1',  num2str(int64(startdate), '%.10g'),...
        'period2',  num2str(int64(enddate), '%.10g'),...
        'interval', interval,...
        'events',   'history',...
        'frequency', interval,...
        'guccounter', 1,...
        'includeAdjustedClose', 'true');  
    
    options = weboptions('ContentType','table', 'UserAgent', 'Mozilla/5.0');
    try
        data = rmmissing(webread(uri.EncodedURI, options));
    catch ME
        data = [];
        warning(['Identifier: ', ME.identifier, 'Message: ', ME.message])
    end 
end