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SAS is a very popular tool to analyze the market risks of a portfolio of stocks,bonds including non linear components like options.

Assuming that option analysis uses advanced calculus and even stock price modelling uses stochastic differential equations, and considering that SAS is mostly a statistical software with no support for calculus, how does SAS do the job?

Victor
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3 Answers3

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It depends on the PROC you are using. SAS is fairly good at providing documentation for the underlying functions for each of these functions. For applications without closed form solutions, most software not just SAS can perform integration via interpolation, or simulation.

For Economic Time Series (ETS) this link may be worth visiting http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_model_sect068.htm

Jonathan Lisic
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SAS iml can do the calculus numerically.

Deep North
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  • Thanks. I have SAS enterprise guide. Does the IML package come with it or I need to install it separately? – Victor Jun 01 '15 at 01:21
  • use " proc setinit; run;" to check (in log window) liscense to see if you have iml installed, if not, you need to buy liscense I think. – Deep North Jun 01 '15 at 01:26
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I don't know the specifics of SAS, but a package doesn't have to expose a general-purpose, user-accessible calculus capability in order to do it internally. Nor even have a general-purpose capability, in order to do something specific.

Wayne
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