Date | Maturity | Rate |
01-Mar | 1 | 5 |
01-Mar | 2 | 6 |
01-Mar | 3 | |
01-Mar | 4 | 8 |
01-Mar | 5 | |
02-Mar | 1 | |
02-Mar | 2 | 11 |
02-Mar | 3 | 12 |
02-Mar | 4 | 13 |
02-Mar | 5 | 14 |
03-Mar | 1 | 20 |
03-Mar | 2 | 21 |
03-Mar | 3 | 22 |
03-Mar | 4 | |
03-Mar | 5 |
I wish to interpret the missing values of "rate" based on the known values of "maturity" and "rate". As you can see, data is divided into different groups by date. What I want is interpolation by different groups (date).
Output should be:
Date | Maturity | Rate |
01-Mar | 1 | 5 |
01-Mar | 2 | 6 |
01-Mar | 3 | 7 |
01-Mar | 4 | 8 |
01-Mar | 5 | 9 |
02-Mar | 1 | 10 |
02-Mar | 2 | 11 |
02-Mar | 3 | 12 |
02-Mar | 4 | 13 |
02-Mar | 5 | 14 |
03-Mar | 1 | 20 |
03-Mar | 2 | 21 |
03-Mar | 3 | 22 |
03-Mar | 4 | 23 |
03-Mar | 5 | 24 |
Thanks in advance 🙂
If you have a SAS/ETS license, this is by far the easiest
data have;
input Date $ Maturity Rate;
infile datalines missover;
datalines;
01-Mar 1 5
01-Mar 2 6
01-Mar 3
01-Mar 4 8
01-Mar 5
02-Mar 1
02-Mar 2 11
02-Mar 3 12
02-Mar 4 13
02-Mar 5 14
03-Mar 1 20
03-Mar 2 21
03-Mar 3 22
03-Mar 4
03-Mar 5
;
proc expand data=have out=want extrapolate;
convert Rate=Rate / method=join ;
by Date;
id Maturity;
run;
Result:
Date Maturity Rate 01-Mar 1 5 01-Mar 2 6 01-Mar 3 7 01-Mar 4 8 01-Mar 5 9 02-Mar 1 10 02-Mar 2 11 02-Mar 3 12 02-Mar 4 13 02-Mar 5 14 03-Mar 1 20 03-Mar 2 21 03-Mar 3 22 03-Mar 4 23 03-Mar 5 24
data have;
input Date $ Maturity Rate;
cards;
01-Mar 1 5
01-Mar 2 6
01-Mar 3 .
01-Mar 4 8
01-Mar 5 .
02-Mar 1 .
02-Mar 2 11
02-Mar 3 12
02-Mar 4 13
02-Mar 5 14
03-Mar 1 20
03-Mar 2 21
03-Mar 3 22
03-Mar 4 .
03-Mar 5 .
;
data want;
set have;
retain r;
if not missing(rate) then r=rate;
else do;
rate=r+1;
r=rate;
end;
drop r;
run;
If you have a SAS/ETS license, this is by far the easiest
data have;
input Date $ Maturity Rate;
infile datalines missover;
datalines;
01-Mar 1 5
01-Mar 2 6
01-Mar 3
01-Mar 4 8
01-Mar 5
02-Mar 1
02-Mar 2 11
02-Mar 3 12
02-Mar 4 13
02-Mar 5 14
03-Mar 1 20
03-Mar 2 21
03-Mar 3 22
03-Mar 4
03-Mar 5
;
proc expand data=have out=want extrapolate;
convert Rate=Rate / method=join ;
by Date;
id Maturity;
run;
Result:
Date Maturity Rate 01-Mar 1 5 01-Mar 2 6 01-Mar 3 7 01-Mar 4 8 01-Mar 5 9 02-Mar 1 10 02-Mar 2 11 02-Mar 3 12 02-Mar 4 13 02-Mar 5 14 03-Mar 1 20 03-Mar 2 21 03-Mar 3 22 03-Mar 4 23 03-Mar 5 24
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