SAS Support Communities

Hi all, I am building a formula which shows below by referring Sum a series in SAS When I run, start Sumcon(n); i = 1:n; /* index of terms */ return( sum((deltak/k[i]##2)#exp(r[i]#T[i])#Q[i]) ); /* sum of terms */ finish; n = T(1:68); sum = j(nrow(n),1); /* allocate a vector for the results */ do k = 1 to nrow(n); sum[k] = Sumcon( n[k] ); end; It returns ERROR: (execution) Matrix has not been set to a value. where the variables k, r, t, Q are all (68,1) vectors, the deltak is a fixed value 5. How can I achieve this formula? Thanks a lot.  ... View more

Hi all, I have 3 data vectors read in iml which are  I want to mark these data by following discipline: label = put where k<k0; label = call where k>k0; label = mix where k=k0.    How can I do? Thank you! ... View more

Hi all, A basic question here. I have a VIX 2014 dataset, which is shown as: date tau K call_option_price S r put_option_price 2014/1/2 16 1735 98.6 1831.98 0.0018 2.175 2014/1/2 16 1740 93.9 1831.98 0.0018 2.175 2014/1/2 16 1745 88.85 1831.98 0.0018 2.525 2014/1/2 16 1750 84.05 1831.98 0.0018 2.6 2014/1/2 16 1755 79.4 1831.98 0.0018 2.825 ... 2014/1/2 36 1740 97.7 1831.98 0.0022 7.6 2014/1/2 36 1745 93.4 1831.98 0.0022 8.05 2014/1/2 36 1750 89 1831.98 0.0022 8.55 2014/1/2 36 1755 84.6 1831.98 0.0022 9.15 2014/1/2 36 1760 80.25 1831.98 0.0022 9.8 2014/1/2 36 1765 75.95 1831.98 0.0022 10.45 2014/1/2 36 1770 71.5 1831.98 0.0022 11.25 ... 2014/1/3 15 1735 97.25 1831.37 0.0018 1.625 2014/1/3 15 1740 92.6 1831.37 0.0018 1.775 2014/1/3 15 1745 87.5 1831.37 0.0018 1.925 2014/1/3 15 1750 82.65 1831.37 0.0018 1.925 2014/1/3 15 1755 77.8 1831.37 0.0018 2.25 2014/1/3 15 1760 73 1831.37 0.0018 2.45 2014/1/3 15 1765 68.45 1831.37 0.0018 2.75 2014/1/3 15 1770 63.75 1831.37 0.0018 3.05 2014/1/3 15 1775 59.05 1831.37 0.0018 3.375 2014/1/3 15 1780 54.25 1831.37 0.0018 3.7 ... 2014/1/3 35 1740 96.45 1831.37 0.0022 6.9 2014/1/3 35 1745 92.45 1831.37 0.0022 7.3 2014/1/3 35 1750 87.95 1831.37 0.0022 7.85 2014/1/3 35 1755 83.55 1831.37 0.0022 8.35 2014/1/3 35 1760 79.2 1831.37 0.0022 9 2014/1/3 35 1765 74.9 1831.37 0.0022 9.7 2014/1/3 35 1770 70.65 1831.37 0.0022 10.4 2014/1/3 35 1775 66.5 1831.37 0.0022 11.2 2014/1/3 35 1780 62.4 1831.37 0.0022 12.1 2014/1/3 35 1785 58.35 1831.37 0.0022 13.05 The data is imported by proc import. Just focus the variable 'tau', where is defined as the near-term expiration (T1) by tau=16 for 2014/1/2 and next-term expiration (T2) by tau=36 for 2014/1/2. Similarly, the T1 for 2014/1/3 is 15 and T2 for the same day is 35. The question is, how can I extract the T1 and T2 with corresponding other variables in the same row separately into two different tables or matrixes? and make it is available to conduct matrix calculation, such as i = 0 to n, Y = a*T1[ i ] * b*T2[ i ]  (Just a simple example, I have to conduct a complex calculation then)? Thank you. ... View more

When I run the code following  proc iml; start main; varNames = {"tau" "K" "call_option_price" "S" "r" "put_option_price" "T" }; use cboe; * use the import data set; read all var varNames; T = tau/365; F = K + exp(r*T) * (call_option_price - put_option_price); K0 = int(F); finish; It returns  ERROR: (execution) Matrices do not conform to the operation.  where operation : * at line 89 column 14 operands  : r, T r   2531 rows      1 col     (numeric) T   2531 rows      1 col     (numeric)   I know the calculations should be conducted between matched matrixes. However, I found the variable r and T have the same structure with 2531 rows and 1 col.      ... View more