Zero-Order Hold

A fast, basic implementation of a ZOH designed to run on vectors/matrices

I have long been a bit bothered by the fact that zero-order holds in MATLAB have required MATLAB objects (like timeseries.resample) and sometimes additional products (like Control System Toolbox or Simulink).

This function operates on vectors and mimics the syntax of INTERP1. The core of the function (using HISTC) is based off of the undocumented TSINTERP function. It goes much further, though, in terms of speed optimization (over 2x faster than TSINTERP) and flexibility in handling NaNs.

The default settings are designed with fast resampling of financial tick data in mind (as is used in backtesting), but non-financial users will also find value.