topic Re: Using SAS's in built financial functions in PROC OPTMODEL in Mathematical Optimization, Discrete-Event Simulation, and OR

Using SAS's in built financial functions in PROC OPTMODEL

Parixit — Tue, 03 Feb 2015 11:09:58 GMT

Hi,

I am using PROC OPTMODEL to optimize interest rate 'i' . The objective function tries to maximize cash flows that are calculated using different in built SAS functions such as CUMPRINC which take 'i' as one of its input parameters. The result on running the PROC is that it is not able to calculate the initial value of the objective function. After playing around a bit we realized that the reason for it might be that CUMPRINC cannot be called from within OPTMODEL. Is there a specific syntax to call functions like CUMPRINC from within OPTMODEL?

Thanks,

Parikshit

Re: Using SAS's in built financial functions in PROC OPTMODEL

gergely_batho — Tue, 03 Feb 2015 13:21:05 GMT

An example that runs in SAS/OR 13.1 (only syntactically correct):

proc optmodel;

var rate init 0.09/12;

max xx=cumprinc(rate, 360, 125000, 12, 24, 0) - cumprinc(rate, 300, 125000, 12, 24, 0);

solve;

put rate;

quit;

What did you try? What is the version of SAS/OR you are using?

Re: Using SAS's in built financial functions in PROC OPTMODEL

RobPratt — Tue, 03 Feb 2015 14:45:21 GMT

As Gergely points out, the financial functions are supported in PROC OPTMODEL. And the documentation contains such an example:

SAS/OR(R) 13.2 User's Guide: Mathematical Programming Examples

I recommend one of the following remedies:

1. trying different initial values for the variables used in the function

2. using the MULTISTART option in the SOLVE WITH NLP statement: SAS/OR(R) 13.2 User's Guide: Mathematical Programming

3. using the NOINITVAR option in the PROC OPTMODEL statement: SAS/OR(R) 13.2 User's Guide: Mathematical Programming

Re: Using SAS's in built financial functions in PROC OPTMODEL

Parixit — Wed, 04 Feb 2015 09:04:54 GMT

Thank you Gergely. Turns out something was wrong with the parameters being submitted for CUMPRINC. Thanks for the help.

Re: Using SAS's in built financial functions in PROC OPTMODEL

Parixit — Wed, 04 Feb 2015 09:05:54 GMT

Thanks Rob. I was submitting infeasible paramters to CUMPRINC via a loop.