Proc Fcmp(2): a subroutine for Binomial-CRR model
Problems: Quote for six-month American style euro currency options on plain vanilla, Max[S-K,0]and 〖Max[S-K,0]〗^0.5. Exchange rate S_0=$1.3721 /euroSix-month continuously compounded inter-bank rates:...
View ArticleProc 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...
View ArticleArray 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...
View ArticleQuasi-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...
View ArticleA 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...
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