About AaronAardvaark

AaronAardvaark · ‎06-14-2013

Thanks Rick, all sorted now.

AaronAardvaark · ‎06-14-2013

Rick, Thanks so much for your reply. It is much appreciated (as are your other posts to this forum). I understand the concerns around this code, but I just cant think of a better way to do it. What I am trying to calculate is the volume weighted average price of a portfolio of assets. A person buys and sell shares - column 2 of the xxx matrix is the size of the trade and column 3 is the price (column 1 is a buy sell indicator and at the moment I only have buys (=10) until I get the code right). The problem with calculating VWAP is when an investor sells that shares as, depending on what assumption you make about which shares are being sold, the vwap of the remaining shares held in the portfolio will be different. The two standard conventions are last in, first out (LIFO) and first in, first out (FIFO). My approach to this was to create a vector consisting of a price entry for each share (hence why I am using the repetition factor set equal to volume to stack up a vector of prices). The average of this vector is the vwap of the holding. When a sale of shares happens, I can modify this vector by deleting a number of rows equal to the number of shares sold either at the beginning or the end of the vector depending on whether the LIFO or FIFO assumption is employed . By taking the average of the remaining values in the vector I will get the vwap of the shares held in the portfolio after the sale. Then we move on to the next trade. I hope all this makes sense. Not the most elegant solution, but I am not sure how else to do it. Thanks again.

AaronAardvaark · ‎06-14-2013

Dear IML Users, I initially posted this query elsewhere, but realised it should be posted here instead. I am populating a matrix using the row values of another matrix (this is a part of a bigger programming issue I have and I have tried to simplify the issue down to its basics - I understand that do loops should be avoided in Proc IML, but in this case it is unavoidable) The issue is that the program works fine as individual statements, but when I insert a do loop, the 'vwap' matrix no longer updates properly - it inserts the number of rows and values from the last iteration and remain unchanged thereafter. I dont understand this as all the other elements update correctly and their properties are the same, so I cant see why it should fail. To see what is happening run the code below, I have hard coded the first two iterations and they work fine, vwap updates with the correct number of rows and the right values inserted. When I used a do loop to control the third execution, the same number of rows and values are inserted from the last iteration. Any help you could give would be most appreciated as this really has be perplexed. proc iml; reset print; xxx = {10 2 2.91, 10 3 3.05, 10 1 3.07}; volume = xxx[1,2]; price = xxx[1,3]; call symput ('volume', char(volume)); call symput ('price', char(price)); vwap = {[&volume] &price}`; volume = xxx[2,2]; price = xxx[2,3]; call symput ('volume', char(volume)); call symput ('price', char(price)); vwap = vwap//{[&volume] &price}`; do i = 3 to 3; volume = xxx[i,2]; price = xxx[i,3]; call symput ('volume', char(volume)); call symput ('price', char(price)); vwap = VWAP//{[&volume] &price}`; end; quit;

AaronAardvaark · ‎06-11-2013

The first code works perfectly, that is why it is so perplexing. It should be easy to just set a do statement to iterate to the end of the matrix, but when I do the code stops working. Both price and volume have exactly the same attributes in each section of code, which is why I just cant understand why it no longer works.

AaronAardvaark · ‎06-11-2013

I am not trying to extract the columns - this is a part of a bigger program I am writing whereby I am taking some data and using the matrix language to manipulate it before sending it back. I have simplified the issue as much as I can to make it easier to understand. I am using information from each row of the matrix xxx to create a vector (VWAP) whose length changes as each row is considered. The problem is why does putting it in a loop stop it from working when the attributes of volume and price are exactly the same in both versions.

AaronAardvaark · ‎06-09-2013

I am trying to automate a do loop in a Proc IML statement, but I cant figure out why the matrix called ''vwap'' doesnt update properly. I have put two versions of the code below. The first is just the standard code with each iteration hard coded, the second is the code with the do loop inserted. Can anyone please help me understand why this do loop is not working. Thanks for your help proc iml; reset print; xxx = {10 2 3.01, 10 3 3.05, 10 1 3.07}; volume = xxx[1,2]; price = xxx[1,3]; call symput ('volume', char(volume)); call symput ('price', char(price)); vwap = {[&volume] &price}`; volume = xxx[2,2]; price = xxx[2,3]; call symput ('volume', char(volume)); call symput ('price', char(price)); vwap = {[&volume] &price}`; volume = xxx[3,2]; price = xxx[3,3]; call symput ('volume', char(volume)); call symput ('price', char(price)); vwap = {[&volume] &price}`; quit; ****** The second version of the code with the do loop inserted - VWAP does not update for some reason. proc iml; reset print; xxx = {10 2 2.91, 10 3 3.05, 10 1 3.07}; do i = 1 to 3; volume = xxx[i,2]; price = xxx[i,3]; call symput ('volume', char(volume)); call symput ('price', char(price)); vwap = {[&volume] &price}`; end; quit;

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