topic Cumulative return in New SAS User

Cumulative return

abdulla — Sat, 09 Feb 2019 16:28:21 GMT

obs rtrn

015 0.002

015 0.0015

015 0.01

015 -0.006

016 0.008

016 0.0014

016 0.025

016 -0.005

I want cumulative return of the rtrn keeping the first rtrn from each group intact. Please look at the example below

Cum_rtrn

0.002

(1+0.002)*(1+0.0015)-1

(1+0.002)*(1+0.0015)* (1+0.01)-1

Re: Cumulative return

Reeza — Sun, 10 Feb 2019 00:55:56 GMT

Please post anything you've tried so far.

Re: Cumulative return

Astounding — Sun, 10 Feb 2019 02:16:30 GMT

Here's a reasonable way:

proc sort data=have;
by id;
run;

data want;
set have;
by id;
if first.id then cum_rtrn = rtrn;
else cum_rtrn = (1 + cum_rtrn) * (1 + rtrn) - 1;
retain cum_rtrn;
run;