sas金融计算清华朱世武数据集char04.docx

sas金融计算清华朱世武数据集char04.docx

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sas金融计算清华朱世武数据集char04

4.1.2通用计算程序

数据集准备：

（程序时点设为2000年12月31日）

dataa;

setcompufin.header_genius（keep=f0001f0002f0003f0004）;

procsortdata=a;

byf0001;

run;

datab（keep=f0001gb002gb004gb008gb009gb016gb017gb018）;

setcompufin.shares_genius;

procsortdata=b;

byf0001gb002;

datac;

mergeab;

byF0001;

iff0002=.thendelete;

iff0003=’A’;/*只算A股*/

run;

datac;

setc;

date=datepart（gb002）;

ifdate>'31dec2000'dthendelete;/*2000年12月31日，其它时点可修改此处*/

run;

datac;

setc;

byf0001;

iflast.f0001;

run;

datac;

setc;

a_state=gb008+gb009;

a_all=gb004-gb017-gb018;/*全部a股股本，求全市场股票比率修改此处*/

run;

datac_1（keep=suma_statesuma_allsuma_pubratio_stateratio_pub）;

setcend=aaa;

suma_all+a_all;

suma_state+a_state;

suma_pub+gb016;

ratio_state=100*suma_state/suma_all;

ratio_pub=100*Suma_pub/suma_all;

Ifaaa=1;

putsuma_state/Suma_pub/suma_all/Ratio_state/ratio_pub=;

Run;

A股计算结果：

2000年12月31日:

Suma_State=215044425739

Suma_Pub=103400844064

Suma_All=346763200649

Ratio_State=62.01477704

Ratio_Pub=29.818863095

20001年8月31日:

Suma_State=287393936240

Suma_Pub=121828508426

Suma_All=438426705492

Ratio_State=65.551193082

Ratio_Pub=27.787656842

Suma_State=287393936240

Suma_All=438426705492

Ratio=65.551193082

4.1.3指数300成份股股本比例计算

创建数据集STALL_GENIUS：

dataa;

setcompufin.header_genius（keep=f0001f0002f0003f0004）;

procsortdata=a;

byf0001;

run;

datab（keep=f0001gb002gb004gb008gb009gb016gb017gb018）;

setcompufin.shares_genius;

procsortdata=b;

byf0001gb002;

datastall_genius;

mergeab;

byf0001;

iff0002=.thendelete;

iff0003='A';/*只算A股*/

run;

datacompufin.stall_genius;

setstall_genius;

date=datepart（gb002）;

ifdate>='18jan2001'dthendelete;/*2001年1月18日前全部A股*/

run;

datacompufin.stall_genius;

setcompufin.stall_genius;

byf0001;

iflast.f0001;

run;

求数据集C_1，股本数据集，包括2001年1月18日前全部A股股票并标识INX300_GENIUS中的股票。

datacode300;

setcompufin.inx300_genius;

lengthf0002$6.;

ifsubstr（hstocd,1,1）='1'thenf0002=substr（hstocd,3,6）;

ifsubstr（hstocd,1,1）='2'thenf0002=substr（hstocd,5,4）;

formatf0002$6.;

run;

procsortdata=code300;

byf0002;

run;

procsortdata=compufin.stall_genius;

byf0002;

datac_1;

mergecompufin.stall_geniuscode300;

byf0002;

run;

全部1127支A股股票的股本计算结果：

datac_2;

setc_1;

a_state=gb008+gb009;

a_all=gb004-gb017-gb018;/*全部a股股本，求全市场股票比率修改此处*/

run;

datac_2（keep=suma_statesuma_allsuma_pubratio_stateratio_pub）;

setc_2end=aaa;

suma_all+a_all;

suma_state+a_state;

suma_pub+gb016;

ratio_state=100*suma_state/suma_all;

ratio_pub=100*suma_pub/suma_all;

ifaaa=1;

putsuma_state=/suma_pub=/suma_all=/ratio_state=/ratio_pub=;

run;

计算结果：

suma_state=215416057679

suma_pub=104347783661

suma_all=347518799628

ratio_state=61.986878957

ratio_pub=30.026514759

300支成份股的股本计算结果：

datac_3;

setc_1;

ifhstocd=.thendelete;

a_state300=gb008+gb009;

a_all300=gb004-gb017-gb018;

run;

datac_3（keep=suma_state300suma_all300suma_pub300ratio_state300ratio_pub300）;

setc_3end=aaa;

suma_all300+a_all300;

suma_state300+a_state300;

suma_pub300+gb016;

ratio_state300=100*suma_state300/suma_all300;

ratio_pub300=100*suma_pub300/suma_all300;

ifaaa=1;

putsuma_state300=;

putSuma_pub300=;

putsuma_all300=;

putRatio_state300=;

putratio_pub300=;

Run;

300成份股中股本占全部A股票（1127支）股本的相关比例计算：

datac_4;

mergec_2c_3;

ratio_all=100*Suma_all300/Suma_all;

ratio_state=100*Suma_state300/Suma_state;

ratio_pub=100*Suma_pub300/Suma_pub;

putratio_all=;

putratio_state=;

putratio_pub=;

run;

4.2.1成指300市值比例计算

创建数据集STALL_GENIUS：

dataa;

setcompufin.header_genius（keep=f0001f0002f0003f0004）;

procsortdata=a;

byf0001;

run;

datab（keep=f0001gb002gb004gb008gb009gb016gb017gb018）;

setcompufin.shares_genius;

procsortdata=b;

byf0001gb002;

datastall_genius;

mergeab;

byF0001;

iff0002=.thendelete;

iff0003='A';/*只算A股*/

run;

datacompufin.stall_genius;

setstall_genius;

date=datepart（gb002）;/*返回日期时间值的日期部分*/

ifdate>='31dec2000'dthendelete;/*2000年12月31日，其它时点可修改此处*/

run;

datacompufin.stall_genius;

setcompufin.stall_genius;

byf0001;

iflast.f0001;

run;

求数据集C_1，股本数据集，包括2000年12月31日前全部A股股票并标识INX300_GENIUS中的股票。

datacode300;

setcompufin.inx300_genius;

lengthf0002$6.;

ifsubstr（hstocd,1,3）='116'thenf0002=substr（hstocd,3,6）;

ifsubstr（hstocd,1,5）='21000'thenf0002=substr（hstocd,3,6）;

formatf0002$6.;

run;

procsortdata=code300;

byf0002;

run;

dataa;

setcompufin.stall_genius;

lengthf0002$6.;

ifsubstr（f0002,1,1）='0'thenf0002a='00'||f0002;/*||起连接作用*/

elsef0002a=f0002;

f0002=f0002a;

run;

procsortdata=compufin.stall_genius;

byf0002;

datac_1;

mergeacode300;

byf0002;

run;

求2000年12月31日的个股票收盘价，个股以当天收盘价为准，如果停盘则用最近有交易日收盘价。

从行情数据集COMPUFIN.QUOT中求得有效A股数为1060支。

dataquot;

setcompufin.quot（keep=dateclprhstocd）;

ifyear（date）=2000;

run;

procsortdata=quot;

byhstocddate;

run;

dataquot;

setquot;

byhstocd;

iflast.hstocd;

run;

dataquot;

setquot;

ifsubstr（hstocd,1,3）='116'thenf0002=substr（hstocd,3,6）;

ifsubstr（hstocd,1,5）='21000'thenf0002=substr（hstocd,3,6）;

iff0002=.thendelete;/*结果显示，行情数据中1060支A股有数据*/

run;

计算2000年12月31日1060支A股的市值：

procsortdata=quot;

byf0002;

dataquot_c;

mergequotc_1;

byf0002;

a_state=gb008+gb009;

a_all=gb004-gb017-gb018;

a_pub=gb016;

cap_state=clpr*a_state;

cap_pub=clpr*a_pub;

cap_all=clpr*a_all;

run;

dataquot_c（keep=sumcap_allsumcap_statesumcap_pubratio_stateratio_pub）;

setquot_cend=aaa;

sumcap_all+cap_all;

sumcap_state+cap_state;

sumcap_pub+cap_pub;

ratio_state=100*sumcap_state/sumcap_all;

ratio_pub=100*sumcap_pub/sumcap_all;

ifaaa=1;

putsumcap_all=;

putsumcap_state=;

putsumcap_pub=;

putratio_state=;

putratio_pub=;

run;

/*300支A股的市值数据*/

datac_2;

setc_1;

ifhstocd=.thendelete;

id=1;

run;

datacap300;

mergequotc_2（drop=date）;

byf0002;

ifid=.thendelete;

run;

datacap300;

setcap300end=aaa;

state300=gb008+gb009;

pub300=gb016;

all300=gb004-gb017-gb018;

cap_state300=clpr*state300;

cap_pub300=clpr*pub300;

cap_all300=clpr*all300;

sumcap_state300+cap_state300;

sumcap_pub300+cap_pub300;

sumcap_all300+cap_all300;

ratio_state300=100*sumcap_state300/sumcap_all300;

ratio_pub300=100*sumcap_pub300/sumcap_all300;

ifaaa=1;

putsumcap_state300=;

putsumcap_pub300=;

putsumcap_all300=;

putratio_state300=;

putratio_pub300=;

run;

300支A股的市值占相应总市值比例计算：

dataa;

mergequot_ccap300;

r300all_all=100*sumCap_all300/SumCap_all;

r300state_all=100*sumCap_State300/SumCap_all;

r300state_state=100*sumCap_State300/SumCap_state;

r300pub_all=100*sumCap_pub300/SumCap_pub;

putr300all_all=;

putr300state_all=;

putr300state_state=;

putr300pub_all=;

run;

4.2.2行业市值比例计算

dataquot;

setcompufin.quot（keep=dateclprhstocd）;

ifyear（date）=1999;

run;

procsortdata=quot;

byhstocddate;

run;

dataquot;

setquot;

byhstocd;

iflast.hstocd;

run;

dataquot;

setquot;

ifsubstr（hstocd,1,3）='116'thenf0002=substr（hstocd,3,6）;

ifsubstr（hstocd,1,5）='21000'thenf0002=substr（hstocd,3,6）;

iff0002=.thendelete;/*结果显示，行情数据中923支A股有数据*/

run;

创建数据集STALL_GENIUS，股本数据集，包括1999年12月31日前全部A股股票。

（计算结果一共有1045支股票）

dataa;

setcompufin.header_genius（keep=f0001f0002f0003f0004）;

procsortdata=a;

byf0001;

run;

datab（keep=f0001gb002gb004gb008gb009gb016gb017gb018）;

setcompufin.shares_genius;

procsortdata=b;

byf0001gb002;

datastall_genius;

mergeab;

byf0001;

iff0002=.thendelete;

iff0003='A';/*只算A股*/

run;

datastall_genius;

setstall_genius;

date=datepart（gb002）;

ifdate>='31dec1999'dthendelete;/*1999年12月31日，其它时点可修改此处*/

run;

datastall_genius;

setstall_genius;

byf0001;

iflast.f0001;

run;

datastall_genius;

setstall_genius;

lengthf0002$6.;

ifsubstr（f0002,1,1）='0'thenf0002a='00'||f0002;

elsef0002a=f0002;

f0002=f0002a;

dropf0002a;/*结果显示，有1045支股票的股本数据*/

run;

计算A股市值，即计算1999年12月31日923支A股的市值，结果数据集为QUOT_C：

procsortdata=quot;

byf0002;

procsortdata=stall_genius;

byf0002;

dataquot_c;

mergequotstall_genius;

byf0002;

a_state=gb008+gb009;

a_all=gb004-gb017-gb018;

a_pub=gb016;

cap_state=clpr*a_state;

cap_pub=clpr*a_pub;

cap_all=clpr*a_all;

run;

A股总市值，即，923支A股的市值（注：

这并不是我们要的结果）

datasums（keep=sumcap_allsumcap_statesumcap_pub）;

setquot_cend=aaa;

sumcap_all+cap_all;

sumcap_state+cap_state;

sumcap_pub+cap_pub;

ifaaa=1;

putsumcap_all=;

putsumcap_state=;

putsumcap_pub=;

run;

A股行业分类数据集INDCLS：

Dataindcls;

Setcompufin.indcls;

Lengthf0002$6.;

Ifsubstr（scode,1,1）='0'orsubstr（scode,1,1）='6';

ifsubstr（scode,1,1）='0'thenf0002='00'||scode;

elsef0002=scode;

Run;/*结果显示，有1110支A股股票，但有一些没有进行分类*/

将市值数据集QUOT_C和行业分类数据集INDCLS全并，形成数据集MARKCAP：

procsortdata=quot_c;

byf0002;

procsortdata=indcls;

byf0002;

datamarkcap;

mergequot_cindcls;

byf0002;

run;/*1110个数据*/

删除数据集MARKCAP中的缺失值：

datamarkcap;

setmarkcap;

ifcap_all=.thendelete;

run;/*923个数据*/

按沪深两市将数据集MARKCAP分为MARKCAP_SH和MARKCAP_SZ：

datamarkcap_sh;

setmarkcap;

ifsubstr（f0002,1,1）='6';

run;

datamarkcap_sz;

setmarkcap;

ifsubstr（f0002,1,1）='0';

run;

直接输出EXCEL结果表：

%macrob（y）;

procsortdata=markcap;

by&y;

dataweights_&y（keep=&y）;

setmarkcap;

by&y;

iflast_&y=1;

%macroa（x）;

procsortdata=&x;

by&y;

procmeansdata=&x;

varcap_all;

by&y;

outputout=bsum=sum;

run;

procmeansdata=b;

varsum;

outputout=csum=all;

run;

datab;

mergebc;

sumall+all;

run;

dataa（keep=&yweights_&x）;

setb;

weights_&x=100*sum/sumall;

dataweights_&y;

mergeweights_&ya;

by&y;

ifweights_&x=.thenweights_&x=0;

%menda;

%a（markcap）;

%a（markcap_sh）;

%a（markcap_sz）;

procexportdata=weights_&y

outfile="d:

\基于sas系统的金融计算光盘\compufin\%str（&y）weightsresults.xls"

dbms=excel5replace;

procexportdata=weights_&y

outfile="d:

\基于sas系统的金融计