pick daily data at different condition

RemusWayne — Fri, 13 May 2011 15:07:40 GMT

CASE we want write loop to pick data. Every day has many data we just simple the data as follow.

When DATE is 2008/1/2, find the minimum value of the absolute value of SETTLE PRICE minus STRIKE PRICE.
Then, there are two data left, and that is what we need to buy. A CALL and a PUT (they both have the same EXDATE and STRIKE PRICE)

1/3 we buy the call and put that strike price = 22.5

Data data1;
Input Date Exdate CP_FLAG Bid Ask Volum Strike_Price Settle_Price
format date yymmdd10. exdate :yymmdd10. ;
datalines;
2008/1/2 2008/1/16 C 2.3 2.6 2000 27.0 23.15
2008/1/2 2008/1/16 P 2.1 2.7 3000 27.0 23.15
2008/1/2 2008/1/16 C 2.4 2.5 5528 22.5 23.15
2008/1/2 2008/1/16 P 1.1 1.2 5617 22.5 23.15
Set an ASSET ACCOUNT (the value of the option we hold is the mid price of bid and ask)

When date comes to 2008/1/3;we still have to find the minimum value of absolute value of SETTLE PRICE minus STRIKE PRICE.
And the data we left are showed as follow:

Datalines;
2008/1/2 2008/1/16 C 2.47 2.5 528 22.5 23.15
2008/1/2 2008/1/16 P 1.10 1.2 617 22.5 23.15
1008/1/3 2008/1/16 C 1,99 2.0 756 25.0 23.42
2008/1/3 2008/1/16 P 2.99 3.0 654 25.0 23.42
2008/1/3 2008/1/16 C 2.05 2.2 783 22.5 23.42
2008/1/3 2008/1/16 P 1.20 1.2 150 22.5 23.42

Compared with the data left in 2008/1/2, on 1/3 we buy the call and put that strike price is 22.5
because
Minimum ABS(strike price-settle price)= 22.5-13.42 not
25-23.42

Message was edited by: RemusWayne

Message was edited by: RemusWayne Message was edited by: RemusWayne

Re: pick daily data at different condition

Ksharp — Mon, 16 May 2011 07:34:30 GMT

After spending ten minutes,Finally understand somewhat you post.

1008/1/3 2008/1/16 C 1,99 2.0 756 25.0 23.42

Minimum ABS(strike price-settle price)= 22.5 13.42

You can use sql 's Cartestian Product to get it easily.

[pre]
Data data1;
input Date : yymmdd10. Exdate : yymmdd10. CP_FLAG $ Bid Ask Volum Strike_Price Settle_Price ;
format date yymmdd10. exdate :yymmdd10. ;
datalines;
2008/1/2 2008/1/16 C 2.3 2.6 2000 27.0 23.15
2008/1/2 2008/1/16 P 2.1 2.7 3000 27.0 23.15
2008/1/2 2008/1/16 C 2.4 2.5 5528 22.5 23.15
2008/1/2 2008/1/16 P 1.1 1.2 5617 22.5 23.15
2008/1/3 2008/1/16 C 1.99 2.0 756 25.0 23.42
2008/1/3 2008/1/16 P 2.99 3.0 654 25.0 23.42
2008/1/3 2008/1/16 C 2.05 2.2 783 22.5 23.42
2008/1/3 2008/1/16 P 1.20 1.2 150 22.5 23.42
;
run;
proc sql;
create table want as
select *
from data1
group by date
having abs(strike_price-settle_price)=min(abs(strike_price-settle_price))
;
run;
[/pre]

So weird , Why my post is always truncated.

Ksharp

Message was edited by: Ksharp Message was edited by: Ksharp

topic pick daily data at different condition in SAS Procedures

pick daily data at different condition

Re: pick daily data at different condition