topic Re: Return computation with PROC EXPAND in SAS Procedures

Return computation with PROC EXPAND

somebody — Thu, 29 Nov 2018 00:45:58 GMT

I would like to calculate returns using PROC EXPAND. I could use just a simple DATA step but I would like to learn more about PROC EXPAND.

My dataset has 3 columns containing stock, date, and price. I could use the following DATA step:

data stocks;
    set stocks;
    by stock date ;
    return=price/lag(price)-1;
    if first.stock then return=.;
run;

But How do I do this using PROC EXPAND? in particular, what do I put in the TRANSFORMIN and TRANSFORMOUT ?

Thanks

Re: Return computation with PROC EXPAND

learsaas — Thu, 29 Nov 2018 01:57:00 GMT

proc sort data=stocks;
	by stock date;
run;
proc expand data=stocks out=result(drop=time);
	by stock;
	 convert price=return / transformout=( ratio 1 -1);
run;

Re: Return computation with PROC EXPAND

somebody — Thu, 29 Nov 2018 02:36:12 GMT

Thanks. just to confirm if I understand the code correctly,

transformout=( ratio 1 -1)

means getting the ratio of the current value over lag 1 and then minus 1 to get the return right? So, say if I want to get returns between now and 4 periods ago, it should be:

transformout=( ratio 4 -1)

Am I correct?

Re: Return computation with PROC EXPAND

learsaas — Thu, 29 Nov 2018 02:49:56 GMT

well done