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Advance SAS Programming  Currency Volatilities and Correlations UC Berkeley Extension
Project Detail Currency Vol and Corr Program Focus: Array, Macro Programming, Sys Functions and Modularity Variables: Date & 15 currency daily quote ratios Constraints: Missing values present  Program Objective: Calculate the moving volatility and correlation matrix for the given variables and a user defined time period. Program Results: Display, within a text file, variables’ volitilities and the lower triangle of the variables’ correlation matrix
Project Requirements Currency Vol and Corr Built-in filter to flag and exclude bad dates User defined time window for volatility calculation Customize and extend modularity via macro programming
Project Results Currency Vol and Corr

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Currency Vol

  • 1. Advance SAS Programming Currency Volatilities and Correlations UC Berkeley Extension
  • 2. Project Detail Currency Vol and Corr Program Focus: Array, Macro Programming, Sys Functions and Modularity Variables: Date & 15 currency daily quote ratios Constraints: Missing values present Program Objective: Calculate the moving volatility and correlation matrix for the given variables and a user defined time period. Program Results: Display, within a text file, variables’ volitilities and the lower triangle of the variables’ correlation matrix
  • 3. Project Requirements Currency Vol and Corr Built-in filter to flag and exclude bad dates User defined time window for volatility calculation Customize and extend modularity via macro programming
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