Help with CALL QUAD for integration

Jagadeesh_babu — Mon, 14 May 2018 12:34:23 GMT

I have some doubt regarding call quad , getting matrix not performed operation.

PROC IML;

USE test2;

READ all var _ALL_ into B;
CLOSE close test2;
csho = B[1,1];
t_debt = B[1,2];
va = B[1,3];
siga = B[1,4];
debt_face = B[1,5];
exp_rf = B[1,6];
rf_net = B[1,7];
exp_divex= B[1,8];
exp_rfex = B[1,9];

x = B[1,10];

lambda = B[1,11];

ext_opt = B[1,12];

ylow = B[1,13];

/* Define the integrand to estimate warrant price eq. 50 */
START FUN(y) GLOBAL (va, rf_net, siga, t_debt, debt_face, csho, x, exp_divex, exp_rf, exp_rfex, lambda, ext_opt, vd, ylow);
IF ext_opt = 0 THEN ext_opt = .0001;
f1d = (y - LOG((debt_face + csho * x)) + (rf_net + 0.5 * siga**2) * ext_opt) / (siga * SQRT(ext_opt));
f2d = f1d - (siga * SQRT(ext_opt)) ;
opt = (EXP(y) * exp_divex * PROBNORM(f1d) - (debt_face + csho * x) * exp_rfex * PROBNORM(f2d)) ;
mu = LOG(va) + (rf_net - 0.5 * siga**2) * t_debt;
sigma = siga * SQRT(t_debt);
a0 = (LOG(debt_face + csho * x) -mu) / sigma;
pdf = EXP(-((y - mu)**2/(2 * sigma**2))) / (SQRT (2 * CONSTANT('PI')) * sigma);
pre = lambda * exp_rf;
int = pre * opt* pdf;
return(int);
finish;
/* SAS does not like very low lower bounds. no value if 2 std below face?
*/
mu = LOG(va) + (rf_net - 0.5 * siga**2) * t_debt;
sigma = siga * SQRT(t_debt);
yhigh = mu + 5 * sigma;
mid = (yhigh + ylow) / 2;
/* interval = ylow||yhigh;*/
%put &ylow;
%put &yhigh;
call quad(z,"START FUN(y) GLOBAL",[1,13]||mu + 5 * sigma) ;

run;

z value is not performing please guide me how to proceed.

Re: Help with CALL QUAD for integration

Rick_SAS — Mon, 14 May 2018 12:42:36 GMT

You are not calling the QUAD routine correctly. See the documentation for examples. The second argument is the name of the function ("FUN") and the third is a two-element vector that gives the endpoints of the domain of integration:

call quad(z,"FUN", yLow || yHigh); /* integral on interval [yLow, yHigh] */
print z;

call quad(z,"FUN", {1 13}); /* integral on interval [1, 13] */
print z;

topic Help with CALL QUAD for integration in SAS/IML Software and Matrix Computations

Help with CALL QUAD for integration

Re: Help with CALL QUAD for integration