## calculate the value with the forward value

Occasional Contributor
Posts: 16

# calculate the value with the forward value

i want to do the following step:

1. the shares holding is the delta

2. the shares purchased is the latter value minus the forward value
for example: on the 2004/1/5 the shares purchased 0.015666=-0.0153-(-0.03096)
However, the first value of shares purchase is equal to the shares holding

3. the first value of cumulative cost including interest equal to the value of shares purchased*SPX

4. the interest is the forward cumulative cost including interest*rate
for example, on the 2004/1/5 the cumulative cost including interest,
-0.37817=-34.3208*0.011019

5. the latter cumulative cost including interest equal to the sum of cost of shares purchased, forward cost of shares purchased, and interest.
for example: on the 2004/1/15, the cumulative cost including interest,
-17.1182=17.5807+(-34.3208)+(-0.37817)

6. if the OTM on the last trading day is bigger than 0.12, the cumulative cost including interest must minus the K
for example on the 2004/2/19, optionid is 21278521 cumulative cost including interest is -1.36945-(-990)=988.6305

the following is the data, data1 is the ordinary, data1 after the above steps is the data2.

data data1;
input Date yymmdd10. SPX optionid K delta rate OTM;
format date:yymmdd10.;
datalines;
2004/1/2 1108.48 21213832 990 -0.030962 0.01107094 0.002374423
2004/1/5 1122.22 21213832 990 -0.015296 0.011018561 0.013364581
2004/1/6 1123.67 21213832 990 -0.013465 0.01098864 0.014508708
2004/1/7 1126.33 21213832 990 -0.009658 0.01092533 0.016599931
2004/1/8 1131.92 21213832 990 -0.009319 0.010853256 0.020962612
2004/1/9 1121.86 21213832 990 -0.008953 0.0108289 0.013080064
2004/1/12 1127.23 21213832 990 -0.004376 0.010809861 0.017305253
2004/1/13 1121.22 21213832 990 -0.005754 0.010954211 0.012573804
2004/1/14 1130.52 21213832 990 0 0.010925194 0.01987404
2004/1/15 1132.05 21213832 990 0 0.010892781 0.021063557
2004/2/6 1142.76 21266383 990 -0.013135 0.010861995 1.78E-06
2004/2/9 1139.81 21266383 990 -0.007781 0.010911943 0.001159593
2004/2/10 1145.54 21266383 990 -0.012066 0.01095 0.003282342
2004/2/11 1157.76 21266383 990 -0.005021 0.010980483 0.007710792
2004/2/12 1152.11 21266383 990 -0.01159 0.010910774 0.000290589
2004/2/13 1145.81 21266383 990 -0.007482 0.010911757 0.003998297
2004/2/17 1156.99 21266383 990 -0.003989 0.010849384 0.000804481
2004/2/18 1151.82 21266383 990 -0.010775 0.010821329 0.00660581
2004/2/19 1147.06 21266383 990 0 0.010818377 0.007813259
2004/2/6 1142.76 21278521 990 -0.015639 0.010861995 0.01390295
2004/2/9 1139.81 21278521 990 -0.014962 0.010911943 0.013078146
2004/2/10 1145.54 21278521 990 -0.014319 0.01095 0.019917743
2004/2/11 1157.76 21278521 990 -0.014036 0.010980483 0.017086561
2004/2/12 1152.11 21278521 990 -0.01365 0.010910774 0.015238054
2004/2/13 1145.81 21278521 990 -0.01899 0.010911757 0.025821166
2004/2/17 1156.99 21278521 990 -0.012253 0.010849384 0.017171452
2004/2/18 1151.82 21278521 990 -0.012702 0.010821329 0.004990784
2004/2/19 1147.06 21278521 990 0 0.010818377 0.12
;

run;

data data2;
input Date yymmdd10. SPX optionid K delta rate OTM shares_holding shares_purchaded cost_of_shares_purchased cumulative_cost_interest interest
;
format date:yymmdd10.;
datalines;
2004/1/2 1108.48 21213832 990 -0.030962 0.01107094 0.002374423 -0.030962 -0.030962 -34.32075776 -34.32075776 .
2004/1/5 1122.22 21213832 990 -0.015296 0.011018561 0.013364581 -0.015296 0.015666 17.58069852 -17.11822462 -0.378165378
2004/1/6 1123.67 21213832 990 -0.013465 0.01098864 0.014508708 -0.013465 0.001831 2.05743977 -15.24889086 -0.188106008
2004/1/7 1126.33 21213832 990 -0.009658 0.01092533 0.016599931 -0.009658 0.003807 4.28793831 -11.12755171 -0.166599165
2004/1/8 1131.92 21213832 990 -0.009319 0.010853256 0.020962612 -0.009319 0.000339 0.38372088 -10.86460099 -0.120770164
2004/1/9 1121.86 21213832 990 -0.008953 0.0108289 0.013080064 -0.008953 0.000366 0.41060076 -10.57165191 -0.117651678
2004/1/12 1127.23 21213832 990 -0.004376 0.010809861 0.017305253 -0.004376 0.004577 5.15933171 -5.526598294 -0.114278092
2004/1/13 1121.22 21213832 990 -0.005754 0.010954211 0.012573804 -0.005754 -0.001378 -1.54504116 -7.13217898 -0.060539526
2004/1/14 1130.52 21213832 990 0 0.010925194 0.01987404 0 0.005754 6.50501208 -0.705087342 -0.077920441
2004/1/15 1132.05 21213832 990 0 0.010892781 0.021063557 0 0 0 -0.712767704 -0.007680362
2004/2/6 1142.76 21266383 990 -0.013135 0.010861995 1.78E-06 -0.013135 -0.013135 -15.0101526 -15.0101526 .
2004/2/9 1139.81 21266383 990 -0.007781 0.010911943 0.001159593 -0.007781 0.005354 6.10254274 -9.071399793 -0.163789933
2004/2/10 1145.54 21266383 990 -0.012066 0.01095 0.003282342 -0.012066 -0.004285 -4.9086389 -14.07937052 -0.099331828
2004/2/11 1157.76 21266383 990 -0.005021 0.010980483 0.007710792 -0.005021 0.007045 8.1564192 -6.077549607 -0.154598287
2004/2/12 1152.11 21266383 990 -0.01159 0.010910774 0.000290589 -0.01159 -0.006569 -7.56821059 -13.71207097 -0.066310772
2004/2/13 1145.81 21266383 990 -0.007482 0.010911757 0.003998297 -0.007482 0.004108 4.70698748 -9.154706277 -0.149622788
2004/2/17 1156.99 21266383 990 -0.003989 0.010849384 0.000804481 -0.003989 0.003493 4.04136607 -5.212663134 -0.099322926
2004/2/18 1151.82 21266383 990 -0.010775 0.010821329 0.00660581 -0.010775 -0.006786 -7.81625052 -13.08532159 -0.056407941
2004/2/19 1147.06 21266383 990 0 0.010818377 0.007813259 0 0.010775 12.3595715 -0.867312038 -0.141561944
2004/2/6 1142.76 21278521 990 -0.015639 0.010861995 0.01390295 -0.015639 -0.015639 -17.87162364 -17.87162364 .
2004/2/9 1139.81 21278521 990 -0.014962 0.010911943 0.013078146 -0.014962 0.000677 0.77165137 -17.29498641 -0.195014142
2004/2/10 1145.54 21278521 990 -0.014319 0.01095 0.019917743 -0.014319 0.000643 0.73658222 -16.74778429 -0.189380101
2004/2/11 1157.76 21278521 990 -0.014036 0.010980483 0.017086561 -0.014036 0.000283 0.32764608 -16.60403697 -0.183898758
2004/2/12 1152.11 21278521 990 -0.01365 0.010910774 0.015238054 -0.01365 0.000386 0.44471446 -16.34048541 -0.1811629
2004/2/13 1145.81 21278521 990 -0.01899 0.010911757 0.025821166 -0.01899 -0.00534 -6.1186254 -22.63741422 -0.178303408
2004/2/17 1156.99 21278521 990 -0.012253 0.010849384 0.017171452 -0.012253 0.006737 7.79464163 -15.0883746 -0.245602006
2004/2/18 1151.82 21278521 990 -0.012702 0.010821329 0.004990784 -0.012702 -0.000449 -0.51716718 -15.76881804 -0.163276259
2004/2/19 1147.06 21278521 990 0 0.010818377 0.12 0 0.012702 14.56995612 988.6305451 -0.170593021

run;
New Contributor
Posts: 2

## Re: calculate the value with the forward value

which industry role do u work dude
Occasional Contributor
Posts: 16

## Re: calculate the value with the forward value

excuse me, i can not understand what you mean.
could you explain the question in detail?

Message was edited by: bqk Message was edited by: bqk
Occasional Contributor
Posts: 16

## Re: calculate the value with the forward value

could anyone help me?
the main question is the 5 step
i do not how to solve it.
Contributor
Posts: 37

## Re: calculate the value with the forward value

have you try a do statement?
let x= shares purchase
y = shares holding
a = forward value
b = latter value
c= forward cumulative cost
d= interest
e= interest rate
z = latter cumulative cost

if criteria statement then do;
y = b - a;
d= x*d;
c= x + d;
z=x+d+forward cost of shares purchased;
end;
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