Posts Tagged ‘ finance ’

A subroutine in SAS to simulate asset pricing paths

April 17, 2011
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A subroutine in SAS to simulate asset pricing paths

For matrix computation in SAS, SAS/IML is the choice. This module has its own syntax, functions and even plotting subsystem. Some statisticians used it to realize the algorithms beyond the reach of SAS’s procedures, for example, boosting . Ho...
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Quasi-Monte Carlo simulation by functional programming in SAS

April 2, 2011
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Quasi-Monte Carlo simulation by functional programming in SAS

The concept of functional programming could be next big thing for those data-driven computer languages. Compared with encapsulation, inheritance, overloading, design pattern, and many other must-learn contents based on class and super-class, functions ...
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Array 2.0: matrix-friendly array in Proc Fcmp

March 18, 2011
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Array 2.0: matrix-friendly array in Proc Fcmp

Array is probably the only number-indexed data type in SAS. SAS programmers adopt it mainly for multiple-variable batch-processing. For example, longitudinal summation can be achieved by specifying a one-dimensional array and then adding all array elem...
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Proc Fcmp(4): Binomial tree vs. Black-Scholes model

December 12, 2010
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Proc Fcmp(4):  Binomial tree vs. Black-Scholes model

The very truth is that SAS has limited financial functions. Thanks to SAS Institute, they finally added some option pricing functions in the base module of SAS 9.2, such as Black-Scholes put/call functions, Garman-Kohlhagen put/call functions, etc. Thu...
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Proc Fcmp(2): a subroutine for Binomial-CRR model

December 5, 2010
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Problems: Quote for six-month American style euro currency options on plain vanilla, Maxand 〖Max〗^0.5. Exchange rate S_0=$1.3721 /euroSix-month continuously compounded inter-bank rates: r=0.4472%,r_f=1.2840%.Assumptions:The exchange r...
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