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. please help me, thx~ 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; ... 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i have a data1 like following. i want to do following step 1. see the last day in the different optionid group. if the OTM > 0.1 then output dataA else output dataB 2. in dataA and dataB, the hold =absolute value of the delta 3. , the AAA is the hold -lag(hold) at the first day in the optionid group in dataA, the AAA is AAA+strike_price in dataB, the AAA is remained. please help me thanks~~ the result is as following data data1; input date: yymmdd10. optionid SPXClose strike_price delta OTM ; format date yymmdd10. ; datalines; 2004/1/2 21213832 1108.48 995 -0.030962 0.002374423 2004/1/5 21213832 1122.22 995 -0.015296 0.013364581 2004/1/6 21213832 1123.67 995 -0.013465 0.014508708 2004/1/7 21213832 1126.33 995 -0.009658 0.016599931 2004/1/8 21213832 1131.92 995 -0.009319 0.020962612 2004/1/9 21213832 1121.86 995 -0.008953 0.013080064 2004/1/12 21213832 1127.23 995 -0.004376 0.017305253 2004/1/13 21213832 1121.22 995 -0.005754 0.012573804 2004/1/14 21213832 1130.52 995 0 0.01987404 2004/1/15 21213832 1132.05 995 0 0.021063557 2008/1/8 21238884 1390.19 1340 -0.180018 0.063897021 2008/1/9 21238884 1409.13 1340 -0.099134 0.050941361 2008/1/10 21238884 1420.33 1340 -0.067354 0.043442721 2008/1/11 21238884 1401.02 1340 -0.063845 0.056446018 2008/1/14 21238884 1416.25 1340 -0.026838 0.046160635 2008/1/15 21238884 1380.95 1340 -0.101002 0.070346501 2008/1/16 21238884 1373.2 1340 -0.126768 0.075822895 2008/1/17 21238884 1333.25 1340 -1 0.105062816 ; run; data dataA; input date: yymmdd10. optionid SPXClose strike_price delta OTM hold AAA; format date yymmdd10. ; datalines; 2004/1/2 21213832 1108.48 995 -0.030962 0.002374423 0.030962 0.030962 2004/1/5 21213832 1122.22 995 -0.015296 0.013364581 0.015296 -0.015666 2004/1/6 21213832 1123.67 995 -0.013465 0.014508708 0.013465 -0.001831 2004/1/7 21213832 1126.33 995 -0.009658 0.016599931 0.009658 -0.003807 2004/1/8 21213832 1131.92 995 -0.009319 0.020962612 0.009319 -0.000339 2004/1/9 21213832 1121.86 995 -0.008953 0.013080064 0.008953 -0.000366 2004/1/12 21213832 1127.23 995 -0.004376 0.017305253 0.004376 -0.004577 2004/1/13 21213832 1121.22 995 -0.005754 0.012573804 0.005754 0.001378 2004/1/14 21213832 1130.52 995 0 0.01987404 0 -0.005754 2004/1/15 21213832 1132.05 995 0 0.021063557 0 995 ; run; data dataB; input date: yymmdd10. optionid SPXClose strike_price delta OTM hold AAA; format date yymmdd10. ; datalines; 2008/1/8 21238884 1390.19 1340 -0.180018 0.063897021 0.180018 0.180018 2008/1/9 21238884 1409.13 1340 -0.099134 0.050941361 0.099134 -0.080884 2008/1/10 21238884 1420.33 1340 -0.067354 0.043442721 0.067354 -0.03178 2008/1/11 21238884 1401.02 1340 -0.063845 0.056446018 0.063845 -0.003509 2008/1/14 21238884 1416.25 1340 -0.026838 0.046160635 0.026838 -0.037007 2008/1/15 21238884 1380.95 1340 -0.101002 0.070346501 0.101002 0.074164 2008/1/16 21238884 1373.2 1340 -0.126768 0.075822895 0.126768 0.025766 2008/1/17 21238884 1333.25 1340 -1 0.105062816 1 0.873232 ; run; ... View more

i have 2 data set as following, i want to make it combained like data3. ex i want to pick the data optionid is 21266383. however, i don not want to get the data on 2004/1/2 i just want the data between 2004/1 /5~2004/1/12 please help me thanks~ data data1; input date: yymmdd10. optionid exdate:yymmdd10. strike_price; format date yymmdd10. exdate:yymmdd10. ; datalines; 2004/1/2 20752179 2004/6/19 995 2004/1/5 21266383 2004/2/21 1010 2004/1/7 21273951 2004/1/17 1015 ; run; data data2; input date: yymmdd10. SPXClose optionid exdate:yymmdd10. best_bid bes_offer; format date yymmdd10. exdate:yymmdd10. ; datalines; 2004/1/2 1108.48 20752179 2004/6/19 15.5 17.1 2004/1/2 1108.48 21266383 2004/2/21 0 4.5 2004/1/2 1108.48 21273951 2004/1/17 0 1 2004/1/5 1122.22 20752179 2004/6/19 13.4 15 2004/1/5 1122.22 21266383 2004/2/21 5 3.1 2004/1/5 1122.22 21273951 2004/1/17 1250 0.4 2004/1/6 1123.67 20752179 2004/6/19 11.4 13 2004/1/6 1123.67 21266383 2004/2/21 5 2.6 2004/1/6 1123.67 21273951 2004/1/17 1380 0.1 2004/1/7 1126.33 20752179 2004/6/19 10.3 11.9 2004/1/7 1126.33 21266383 2004/2/21 9 2 2004/1/7 1126.33 21273951 2004/1/17 1391 0.25 2004/1/8 1131.92 21266383 2004/2/21 19 2 2004/1/8 1131.92 21273951 2004/1/17 1391 0.05 2004/1/9 1121.86 21266383 2004/2/21 21 2.7 2004/1/9 1121.86 21273951 2004/1/17 1391 0.05 2004/1/12 1127.23 21266383 2004/2/21 21 2.05 2004/1/12 1127.23 21273951 2004/1/17 1480 0.1 ; run; data data3; input date: yymmdd10. SPXClose optionid exdate:yymmdd10. best_bid bes_offer; format date yymmdd10. exdate:yymmdd10. ; datalines; 2004/1/2 1108.48 20752179 2004/6/19 15.5 17.1 2004/1/5 1122.22 20752179 2004/6/19 13.4 15 2004/1/6 1123.67 20752179 2004/6/19 11.4 13 2004/1/7 1126.33 20752179 2004/6/19 10.3 11.9 2004/1/5 1122.22 21266383 2004/2/21 5 3.1 2004/1/6 1123.67 21266383 2004/2/21 5 2.6 2004/1/7 1126.33 21266383 2004/2/21 9 2 2004/1/8 1131.92 21266383 2004/2/21 19 2 2004/1/9 1121.86 21266383 2004/2/21 21 2.7 2004/1/12 1127.23 21266383 2004/2/21 21 2.05 2004/1/7 1126.33 21273951 2004/1/17 1391 0.25 2004/1/8 1131.92 21273951 2004/1/17 1391 0.05 2004/1/9 1121.86 21273951 2004/1/17 1391 0.05 2004/1/12 1127.23 21273951 2004/1/17 1480 0.1 ; run; ... View more

i want to calculate implied volatility using proc NLP the code is like following proc nlp data=AA outest=BB; min error ; PARMS sig=0.01; d1=(log(SPXclose/(strike_price/1000))+(rate+((sig**2)/2))*TTM)/(sig*sqrt(TTM)); d2=d1-(sig*sqrt(TTM)); ee=((strike_price/1000)*exp((-rate)*TTM)*probnorm(-d2) - SPXclose*probnorm(-d1))-(best_ask+best_bid)/2; error=abs(ee); run; however it does not work the information in the log is following NOTE: Your code contains 4 program statements. NOTE: Gradient is computed using analytic formulas. NOTE: Hessian is computed using analytic formulas. ERROR: The variable SPXclose was referenced but not given a value. ERROR: The variable strike_price was referenced but not given a value. ERROR: The variable rate was referenced but not given a value. ERROR: The variable TTM was referenced but not given a value. ERROR: The variable best_ask was referenced but not given a value. ERROR: The variable best_bid was referenced but not given a value. WARNING: Your program statements contain 6 symbols used but not given a value. WARNING: None of the data set variables are used in the program statements. ERROR: There are references to missing variables when the program code is executed for _OBS_= 1 WARNING: Your program statements cannot be executed completely. WARNING: In a total of 1 calls an error occurred during execution of the program statements. NLP attempted to recover by using a shorter step size. i can not understand where is the problem? please help me, thanks for your help~ ... View more

i have 2 datasets, data1, data2.as following data data1; input date : yymmdd10. exdate:yymmdd10. TTM ; format date yymmdd10. exdate :yymmdd10. ; datalines; 2004/1/2 2004/1/17 15 2004/1/2 2004/2/21 50 2004/1/2 2004/3/20 78 2004/1/5 2004/1/17 12 2004/1/5 2004/2/21 47 2004/1/5 2004/3/20 75 ; run; data data2; input date : yymmdd10. days rate ; format date yymmdd10.; datalines; 2004/1/2 19 1.11326 2004/1/2 47 1.156422 2004/1/2 75 1.178702 2004/1/5 16 1.108422 2004/1/5 44 1.154383 2004/1/5 72 1.170505 ; run; i want to calculate the rate by linear Interpolation and linear Extrapolation as following. data data3; input date : yymmdd10. exdate:yymmdd10. TTM rate ; format date yymmdd10. exdate :yymmdd10. ; datalines; date exdate TTM rate 2004/1/2 2004/1/17 15 1.107094 2004/1/2 2004/2/21 50 1.158809143 2004/1/2 2004/3/20 78 1.181089143 2004/1/5 2004/1/17 12 1.101856143 2004/1/5 2004/2/21 47 1.156110357 2004/1/5 2004/3/20 75 1.172232357 ; run; please help me, thx ... View more

i have 2 dataset data1 data2 as following data data1; input date : yymmdd10. best_offer ; format date yymmdd10.; datalines; 2006/2/24 1.6 2006/2/24 0.3 2006/2/24 4.3 2006/2/24 1.4 2006/2/24 0.85 2006/3/20 2.5 2006/3/20 2.6 2006/3/20 1.57 2006/3/20 1.45 2006/4/19 1.78 2006/4/19 1.45 ; run; data data2; input futures_date : yymmdd10. futures_price ; format futures_date yymmdd10.; datalines; 2004/5/12 18.2 2004/5/13 19.58 2004/5/14 19.67 2004/5/17 20.21 2004/5/18 20.07 2004/5/19 19.17 2006/2/11 19.34 2006/3/15 19.17 2006/4/20 18.77 2006/5/10 17.5 2006/6/15 17.61 2006/7/20 17.35 ; run; data data2; input futures_date : yymmdd10. futures_price ; format futures_date yymmdd10.; datalines; 2004/5/12 18.2 2004/5/13 19.58 2004/5/14 19.67 2004/5/17 20.21 2004/5/18 20.07 2004/5/19 19.17 2006/2/11 19.34 2006/3/15 19.17 2006/4/20 18.77 2006/5/10 17.5 2006/6/15 17.61 2006/7/20 17.35 ; run; i want to set the 2 dataset in the above merge as the data3 data data3; input date : yymmdd10. best_offer futures_date : yymmdd10. futures_price ; format date : yymmdd10. futures_date yymmdd10.; datalines; 2006/02/24 1.6 2006/02/11 19.34 2006/02/24 0.3 2006/02/11 19.34 2006/02/24 4.3 2006/02/11 19.34 2006/02/24 1.4 2006/02/11 19.34 2006/02/24 0.85 2006/02/11 19.34 2006/03/20 2.5 2006/03/15 19.17 2006/03/20 2.6 2006/03/15 19.17 2006/03/20 1.57 2006/03/15 19.17 2006/03/20 1.45 2006/03/15 19.17 2006/04/19 1.78 2006/04/20 18.77 2006/04/19 1.45 2006/04/20 18.77 ; run; the question is i have to merge them but they have the same year and month but the date is different. i want to combine them with the same year and month please help me , thx ... View more

i want to merge figure1. and 2 to figure 3. the data is complicate you can see here http://min.us/mvoikgu#1 http://min.us/mvoikgu#2 http://min.us/mvoikgu#3 data is as following figure1. Code CVX0504(PS) CVX0604(PS) CVX0704(PS) 2004/5/12 18.2 19.61 #NA 2004/5/13 18.38 19.58 #NA 2004/5/14 18.55 19.67 #NA 2004/5/17 19.37 20.21 #NA 2004/5/18 19.25 20.07 #NA 2004/5/19 18.35 19.17 #NA 2004/5/20 #NA 19.34 #NA 2004/5/21 #NA 19.17 #NA 2004/5/24 #NA 18.77 19.04 2004/5/25 #NA 17.5 18 2004/5/26 #NA 17.61 18.09 2004/5/27 #NA 17.35 17.9 figure 2. Type STDT CVX0504 2004/5/19 CVX0604 2004/6/16 CVX0704 2004/7/14 figure3. date code exdate settle_price 2004/5/12 CVX0504 2004/5/19 18.2 2004/5/12 CVX0604 2004/6/16 19.61 2004/5/13 CVX0504 2004/5/19 18.38 2004/5/13 CVX0604 2004/6/16 19.58 2004/5/14 CVX0504 2004/5/19 18.55 2004/5/14 CVX0604 2004/6/16 19.67 2004/5/17 CVX0504 2004/5/19 19.37 2004/5/17 CVX0604 2004/6/16 20.21 2004/5/18 CVX0504 2004/5/19 19.25 2004/5/18 CVX0604 2004/6/16 20.07 2004/5/19 CVX0504 2004/5/19 18.35 2004/5/19 CVX0604 2004/6/16 19.17 2004/5/20 CVX0604 2004/6/16 19.34 2004/5/21 CVX0604 2004/6/16 19.17 2004/5/24 CVX0604 2004/6/16 18.77 2004/5/24 CVX0704 2004/7/14 19.04 2004/5/25 CVX0604 2004/6/16 17.5 2004/5/25 CVX0704 2004/7/14 18 2004/5/26 CVX0604 2004/6/16 17.61 2004/5/26 CVX0704 2004/7/14 18.09 2004/5/27 CVX0604 2004/6/16 17.35 2004/5/27 CVX0704 2004/7/14 17.9 in detail i want a data there are settle price of various expiration date daily please help me, thx Message was edited by: bqk Message was edited by: bqk ... View more