第9章市场风险指标分解算法.docVIP

9.2.3 实现程序 准备行业分类数据集compufin.sector： data a; length hexcd $6.; set compufin.indcls; if substr(hstocd,3,1)=6 or substr(hstocd,1,5)=21000; hexcd=substr(hstocd,3,6); label hexcd=最新交易所代码; data compufin.sector; set a; keep hexcd hcomnam sector; run; 确定计算周期中满足条件的所以上市股票，即2000年交易天数超过100天的股票。并按板块SECTOR排序： data compufin.day2000; delete; options nodate nonotes nosource; %macro a(x,y); data a(keep=date); set stoindiv.ax ; where year(date)=2000; data a (keep=n hexcd); set a nobs=tdays; n=tdays; if _n_=n; hexcd=x; data compufin.day2000; set compufin.day2000 a; %mend a; %include D:\基于SAS系统的金融计算光盘\Compufin\宏文本\全部A股.txt; run; 删除交易小于100天的股票： data compufin.day2000; set compufin.day2000; if n100 then delete; run; roc sort data=compufin.sector; by hexcd; proc sort data=compufin.day2000; by hexcd; data a; merge compufin.sector compufin.day2000; by hexcd; if n=. then delete; proc sort data=a; by sector; run; 按板块SECTOR排列： data a; set a; by sector; las_sec=last.sector; data a; set a; if las_sec=1 then sec_n=_n_; run; data b(keep=sec_n ni); set a; if sec_n=. then delete; ni=dif(sec_n); if ni=. then ni=sec_n; else ni=ni; data c(keep=sector); set a; if las_sec=1; run; data b; merge b c; data; set b; file D:\基于SAS系统的金融计算光盘\Compufin\宏文本\sector2000.txt ; put sector $ ni sec_n; run; proc export data= b outfile= d:\sector2000.xls dbms=excel2000 replace; run; 计算复权收益率宏文本 data a; merge compufin.sector compufin.day2000; by hexcd; if n=. then delete; proc sort data=a; by sector; data; set a; a=%a(; b=,; c=);; file D:\基于SAS系统的金融计算光盘\Compufin\宏文本\sector2000.txt; put a $ hexcd $ b $ sector c $; run; 计算复权收益率，存于COMPUFIN.R2000. options nodate nonotes nosource; data compufin.r2000(keep=date); set stoindiv.a1a0001; where year(date)=2000; %macro a(x,y); data a(keep=date r_1); set stoindiv.ax; where year(date)=2000; r_1=log(clpr)-log(lag(clpr)); clpr_1=clpr*(1+divrat+rigrat+reisvol/lag(shrout))-rigpr*rigrat –reispr* reisvol/lag(shrout)+divamt; if clpr_1=. then clpr_1=clpr; r_2=log(clpr_1)-log(l