topic Re: linear interpolation in SAS Programming https://communities.sas.com/t5/SAS-Programming/linear-interpolation/m-p/521309#M141423 <P>data samples ;<BR />infile datalines ;<BR />input<BR />&nbsp;&nbsp; &nbsp;issuedate :mmddyy10.<BR />&nbsp;&nbsp; &nbsp;maturitydate :mmddyy10.<BR />&nbsp;&nbsp; &nbsp;ticker :$2.<BR />;<BR />format issuedate maturitydate mmddyys10. ;<BR />datalines;<BR />1/11/1990&nbsp;&nbsp;&nbsp; 1/15/1994&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EK<BR />1/18/1990&nbsp;&nbsp;&nbsp; 1/15/1996&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CO<BR />3/07/1990&nbsp;&nbsp;&nbsp; 3/15/2002&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DP<BR />;<BR /><BR />libname UST "/folders/myfolders/data/treasuries" ;<BR /><BR />proc sql noprint ;<BR />&nbsp;&nbsp; &nbsp;create table two as<BR />&nbsp;&nbsp; &nbsp;select s.issuedate<BR />&nbsp;&nbsp; &nbsp;&nbsp;&nbsp; &nbsp;, s.maturitydate<BR />&nbsp;&nbsp; &nbsp;&nbsp;&nbsp; &nbsp;, s.ticker<BR />&nbsp;&nbsp; &nbsp;&nbsp;&nbsp; &nbsp;, t.issue<BR />&nbsp;&nbsp; &nbsp;&nbsp;&nbsp; &nbsp;, t.maturity<BR />&nbsp;&nbsp; &nbsp;&nbsp;&nbsp; &nbsp;, t.yield<BR />&nbsp;&nbsp; &nbsp;FROM samples s<BR />&nbsp;&nbsp; &nbsp;JOIN UST.treasury t<BR />&nbsp;&nbsp; &nbsp;on s.issuedate eq t.issue<BR />&nbsp;&nbsp; &nbsp;and s.maturitydate le t.maturity<BR />&nbsp;&nbsp; &nbsp;;<BR />quit ;<BR />&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;</P> Thu, 13 Dec 2018 22:26:34 GMT johnsville 2018-12-13T22:26:34Z linear interpolation https://communities.sas.com/t5/SAS-Programming/linear-interpolation/m-p/519831#M140881 <P>Hi all,</P><P>&nbsp;</P><P>I am trying to add US treasury yield to my dataset based on issue and maturity dates. For observations without exact matches I want to use linear interpolation. Matching the observation with the same issue and maturity dates is easy, but using linear interpolation for those that don't have a exact maturity match is what I am having trouble with. Here is samples of my dataset. I have also attached the US treasury yield dataset.</P><P>&nbsp;</P><P>MySample:</P><P>Issuedate&nbsp;&nbsp;&nbsp;&nbsp; MaturityDate&nbsp;&nbsp;&nbsp;&nbsp; ticker</P><P>1/11/1990&nbsp;&nbsp;&nbsp;&nbsp;1/15/1994 &nbsp; &nbsp; &nbsp; &nbsp;&nbsp;&nbsp; EK</P><P>1/18/1990&nbsp;&nbsp;&nbsp;&nbsp;1/15/1996 &nbsp; &nbsp; &nbsp; &nbsp;&nbsp;&nbsp; CO</P><P>3/07/1990&nbsp;&nbsp;&nbsp; 3/15/2002 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DP</P><P>&nbsp;</P><P>&nbsp;</P><P>There are multiple observations in the treasury file that have the same issue date but different maturity dates. To do linear interpolation, for any observation in my data, I need the two closest observations on maturity dates in the treasury file so that I could use proc expand and linear interpolate. If I could get something like this, then I can use proc expand and do linear interpolation.</P><P>&nbsp;</P><P>Issuedate&nbsp;&nbsp;&nbsp;&nbsp; MaturityDate&nbsp;&nbsp;&nbsp;&nbsp;ticker&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; Issue&nbsp;&nbsp;&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; Maturity&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Yield</P><P>1/11/1990&nbsp;&nbsp;&nbsp;&nbsp;1/15/1994 &nbsp; &nbsp; &nbsp; &nbsp;&nbsp;&nbsp; EK&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1/11/1990&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1/11/1993&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.95</P><P>1/11/1990&nbsp;&nbsp;&nbsp;&nbsp;1/15/1994&nbsp; &nbsp; &nbsp;&nbsp; &nbsp;&nbsp;&nbsp; EK&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1/11/1990&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1/11/1994&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp; &nbsp; .</P><P>1/11/1990&nbsp;&nbsp;&nbsp;&nbsp;1/15/1994 &nbsp; &nbsp; &nbsp; &nbsp;&nbsp;&nbsp; EK&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1/11/1990&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1/11/1995&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.94</P><P>1/18/1990&nbsp;&nbsp;&nbsp;&nbsp;1/15/1996 &nbsp; &nbsp; &nbsp; &nbsp;&nbsp;&nbsp; CO&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1/18/1990&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1/18/1995 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.27</P><P>1/18/1990&nbsp;&nbsp;&nbsp;&nbsp;1/15/1996 &nbsp; &nbsp; &nbsp; &nbsp;&nbsp;&nbsp; CO&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1/18/1990&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1/18/1996 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp; &nbsp;&nbsp; .</P><P>1/18/1990&nbsp;&nbsp;&nbsp;&nbsp;1/15/1996 &nbsp; &nbsp; &nbsp; &nbsp;&nbsp;&nbsp; CO&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1/18/1990&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1/18/1997 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.31</P><P>3/07/1990&nbsp;&nbsp;&nbsp; 3/15/2002 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DP&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3/07/1990&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3/07/2000 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.58</P><P>3/07/1990&nbsp;&nbsp;&nbsp; 3/15/2002 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DP&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3/07/1990&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3/07/2002 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; .</P><P>3/07/1990&nbsp;&nbsp;&nbsp; 3/15/2002 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DP&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3/07/1990&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3/07/2010 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp; &nbsp;&nbsp; .</P><P>&nbsp;</P><P>&nbsp;</P><P>&nbsp;</P><P>Any help is much appreciated</P> Mon, 10 Dec 2018 04:25:16 GMT https://communities.sas.com/t5/SAS-Programming/linear-interpolation/m-p/519831#M140881 AmirSari 2018-12-10T04:25:16Z Re: linear interpolation https://communities.sas.com/t5/SAS-Programming/linear-interpolation/m-p/521309#M141423 <P>data samples ;<BR />infile datalines ;<BR />input<BR />&nbsp;&nbsp; &nbsp;issuedate :mmddyy10.<BR />&nbsp;&nbsp; &nbsp;maturitydate :mmddyy10.<BR />&nbsp;&nbsp; &nbsp;ticker :$2.<BR />;<BR />format issuedate maturitydate mmddyys10. ;<BR />datalines;<BR />1/11/1990&nbsp;&nbsp;&nbsp; 1/15/1994&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EK<BR />1/18/1990&nbsp;&nbsp;&nbsp; 1/15/1996&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CO<BR />3/07/1990&nbsp;&nbsp;&nbsp; 3/15/2002&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DP<BR />;<BR /><BR />libname UST "/folders/myfolders/data/treasuries" ;<BR /><BR />proc sql noprint ;<BR />&nbsp;&nbsp; &nbsp;create table two as<BR />&nbsp;&nbsp; &nbsp;select s.issuedate<BR />&nbsp;&nbsp; &nbsp;&nbsp;&nbsp; &nbsp;, s.maturitydate<BR />&nbsp;&nbsp; &nbsp;&nbsp;&nbsp; &nbsp;, s.ticker<BR />&nbsp;&nbsp; &nbsp;&nbsp;&nbsp; &nbsp;, t.issue<BR />&nbsp;&nbsp; &nbsp;&nbsp;&nbsp; &nbsp;, t.maturity<BR />&nbsp;&nbsp; &nbsp;&nbsp;&nbsp; &nbsp;, t.yield<BR />&nbsp;&nbsp; &nbsp;FROM samples s<BR />&nbsp;&nbsp; &nbsp;JOIN UST.treasury t<BR />&nbsp;&nbsp; &nbsp;on s.issuedate eq t.issue<BR />&nbsp;&nbsp; &nbsp;and s.maturitydate le t.maturity<BR />&nbsp;&nbsp; &nbsp;;<BR />quit ;<BR />&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;</P> Thu, 13 Dec 2018 22:26:34 GMT https://communities.sas.com/t5/SAS-Programming/linear-interpolation/m-p/521309#M141423 johnsville 2018-12-13T22:26:34Z