10. New financial functions
34 pre-compiled financial functions were shipped with SAS for free, which can be called in DATA step.
9. A management GUI
There is a nice-looking Java-powered GUI to manage the user-defined functions: SAS FCmp functi…
Tag: market risk
Rolling regressions for backtesting
Market always generates huge volume time series data with millions of records. Running regressions to obtain the coefficients in a rolling time window is common for many backtesing jobs. In SAS, writing a macro based on the GLM procedu…
Create Nelson-Siegel function for yield curve
U.S. Treasury bonds with maturity ranging from 1 year to 30 years are daily updated on the Treasury’s website. However, some yields, such as from 4 years maturity bond, have to be inferred. The Nelson-Siegel function is probably one of the most impor…
Create Nelson-Siegel function for yield curve
U.S. Treasury bonds with maturity ranging from 1 year to 30 years are daily updated on the Treasury’s website. However, some yields, such as from 4 years maturity bond, have to be inferred. The Nelson-Siegel function is probably one of the most impor…
Create Nelson-Siegel function for yield curve
U.S. Treasury bonds with maturity ranging from 1 year to 30 years are daily updated on the Treasury’s website. However, some yields, such as from 4 years maturity bond, have to be inferred. The Nelson-Siegel function is probably one of the most impor…
Using PROC COPULA in a more volatile market
The last week witnessed one of the wildest fluctuations in the market. Copula could measure the nonlinear dependence of multiple assets in a portfolio, and most importantly, is pronounced as \`kä-pyə-lə\(Thanks to the tip by Rick). The latest COPUL…
Using PROC COPULA in a more volatile market
The last week witnessed one of the wildest fluctuations in the market. Copula could measure the nonlinear dependence of multiple assets in a portfolio, and most importantly, is pronounced as \`kä-pyə-lə\(Thanks to the tip by Rick). The latest COPUL…
Using PROC COPULA in a more volatile market
The last week witnessed one of the wildest fluctuations in the market. Copula could measure the nonlinear dependence of multiple assets in a portfolio, and most importantly, is pronounced as \`kä-pyə-lə\(Thanks to the tip by Rick). The latest COPUL…