HaasMFESASWorkshopLecture.ppt

Haas MFE SAS Workshop Lecture 3:,Peng Liu /peliu/computing,Haas School of Business, Berkeley, MFE 2006,SAS IML,Peng Liu /peliu/computing,Haas School of Business, Berkeley, MFE 2006,Haas School of Business, Berkeley, MFE 2006 Peng Liu AND Alexander Vedrashko 3,PROC IML - What,OUTLINES Defining Matrix Creating Matrix Combining Matrix Matrix Algebra (Function, Reduction Operators) Read-In SAS data sets Create SAS data sets,Haas School of Business, Berkeley, MFE 2006 Peng Liu AND Alexander Vedrashko 4,Defining and Referencing matrices,PROC IML; RESET PRINT; A=3; B=1 2 3; *row vector; C=1,2,3; *column vector; D=1 2 3, 4 5 6;*2 X 3 matrix; QUIT;,Begin with PROC IML; end with QUIT; RESET PRINT produce all output; otherwise specify what you want to PRINT , but you have to assign first. Use curly brackets to create vector or matrix Use square bracket to refer to elements E4=D1 3,2 3; assigns submatrix to E4 consisting 1,3 rows and 2,3 columns of matrix D,PROC IML; D=1 2 3, 4 5 6; E1=D,2; E2=D1,; E3=D2,3; E4=D1 3,2 3; PRINT D E1 E2 E3 E4; QUIT;,Haas School of Business, Berkeley, MFE 2006 Peng Liu AND Alexander Vedrashko 5,Creating matrices,PROC IML; RESET PRINT; index=1:5; rindex=5:1; vars=X1:X8; series = do(0,84,12);,Index operator : creates a row vector of consecutive integers or character strings Do function creates series with any increment Identity matrix: I(size) Constant matrix J(nrow, ncol, value) Diagonal matrices: DIAG(VECTOR),aa = I(6); bb = j(5,5,0); cc = j(6,1); dd = diag(1 2 4); ee = diag(1 2,3 4); QUIT;,Haas School of Business, Berkeley, MFE 2006 Peng Liu AND Alexander Vedrashko 6,Combining matrices,PROC IML; RESET PRINT; b=1 2 3 4; bt=t(b); c=1 2 3 4,2 4 6 8, 3 9 7 5 ,9 8 7 6; i1=c/b;i2=c|bt; QUIT;,Transpose operation using t() “/“ and |“ concatenates matrices vertically and horizontally respectively,Haas School of Business, Berkeley, MFE 2006 Peng Liu AND Alexander Vedrashko 7,Matrix Algebra - Basics,Haas School of Business, Berkeley, MFE 2006 Peng Liu AND Alexander Vedrashko 8,Matrix Algebra Matrix functions,Haas School of Business, Berkeley, MFE 2006 Peng Liu AND Alexander Vedrashko 9,Matrix Algebra Matrix Reduction Operators,Haas School of Business, Berkeley, MFE 2006 Peng Liu AND Alexander Vedrashko 10,Read SAS data sets,PROC IML; RESET PRINT; USE MFE.LOAN; READ ALL INTO m WHERE(state=CA); QUIT; *READ ALL VARid term rate INTO m;,USE ; specify which SAS data set is to be used READ ALL INTO ; converts SAS data set into a matrix. READ ALL only read numerical variables; Use VARterm rate option to select variables Use WHERE to subset data.,Haas School of Business, Berkeley, MFE 2006 Peng Liu AND Alexander Vedrashko 11,Create SAS data sets,PROC IML; RESET PRINT; seed=J(3,3,9); r = ranuni(seed); CREATE data FROM r; APPEND FROM r; QUIT;,J function build 3 by 3 matrix with seed=9 for each element CREATE FROM op