topic Calculating days of observation before and after a given date in New SAS User

Calculating days of observation before and after a given date

mmh — Tue, 23 Nov 2021 05:26:26 GMT

Hello!
I am a new SAS user.

I have a time-series data which contains the return of stocks from all the companies from 01-Jan-2021 to 31-Dec-2021.
I have put a small sample of my data and the my expected output below for your kind consideration. The dataset is attached at the end.
Here is my sample data:

Company_ID Date Return Reporting_Date
1001 05JAN2021 0.03
1001 06JAN2021 0.09
1001 07JAN2021 0.05
1001 08JAN2021 0.06
1001 11JAN2021 0.07
1001 12JAN2021 0.08 12JAN2021
1001 13JAN2021 0.09
1001 14JAN2021 0.1
1001 15JAN2021 0.11
1001 18JAN2021 0.12
1001 19JAN2021 0.13
1001 02FEB2021 0.23
1001 03FEB2021 0.24
1001 04FEB2021 0.25
1001 05FEB2021 0.26
1001 08FEB2021 0.27
1001 09FEB2021 0.26 09FEB2021
1001 10FEB2021 0.29
1001 11FEB2021 0.3
1001 12FEB2021 0.31
1001 15FEB2021 0.32
1002 15FEB2021 0.39
1002 16FEB2021 0.34 19JAN2021
1002 17FEB2021 0.35
1002 18FEB2021 0.36
1002 21FEB2021 0.37
1002 22FEB2021 0.38
1003 23FEB2021 0.44
1003 24FEB2021 0.45
1003 25FEB2021 0.46
1003 26FEB2021 0.47 07JAN2021
1003 27FEB2021 0.48
1004 08JAN2021 0.03
1004 11JAN2021 0.06 04JAN2021
1004 12JAN2021 0.09
1004 13JAN2021 0.12
1004 14JAN2021 0.15

This is my expected output:

Company_ID	Reporting_Date	Days_before	Days_after
1001	2021-01-12	5	15
1001	2021-02-09	16	4
1002	2021-01-19	1	4
1003	2021-01-07	3	1
1004	2021-01-04	1	3

Please note that the days cannot be simply calculated by considering them as continuous calendar days. As you will notice, these are trading days and the holidays are not included in the dataset.

Thank you in advance for your kind support!

Re: Calculating days of observation before and after a given date

mkeintz — Tue, 23 Nov 2021 06:27:03 GMT

If your sample data were in the form of a working data step, I would test this program. It isn't, so this is an untested response.

data want (drop=ndays i);

  /* Count the days for a given ID*/
  do ndays=1 by 1 until (last.company_id);
    set have;
    by company_id;
  end;

  /*Reread the same observations*/
  do i=1 to ndays;
    set have;
    if reporting_date^=. then do;
      days_before=i-1;
      days_after=ndays-i;
      output;
    end;
  end;
run;

Or applying the same logic more compactly:

data want (drop=ndays i);
  set have (in=firstpass)  have (in=secondpass);
  by company_id;
  if first.company_id then call missing(ndays,i);
  ndays+firstpass;

  i+secondpass;
  if secondpass and reporting_date^=.;
  days_before=i-1;
  days_after=ndays-i;
run;

Re: Calculating days of observation before and after a given date

mmh — Tue, 23 Nov 2021 06:49:52 GMT

Thank you so much for your time!
It was really helpful 🙂

Re: Calculating days of observation before and after a given date

Ksharp — Tue, 23 Nov 2021 12:04:31 GMT

proc sql;
create table want as
select Company_ID,Reporting_Date,
(select count(*) from have where Company_ID=a.Company_ID and Date<a.Date) as Days_before,
(select count(*) from have where Company_ID=a.Company_ID and Date>a.Date) as Days_after
 from have as a
  where Reporting_Date is not missing;
quit;