* K.sas -- K.Cheung & D.Brockman 20040310 macro report stats;

* For term project X405, UC Berkeley Extension, Spring 2004.

*****;
* K *;
*****;
* K calculates and reports correlations, covariance 
* matrix, skew and kurtosis for a data set for which 
* the observations are the natural logs of daily returns.
*
* Invocation:
* &K(data_set);
*
*****;
* K *;
*****;
* Where data_set is the name of a dataset containing 
* at least 3 variables 
*
*    date  -- date in format yymmdd. 
*
*    dow   -- day of week corresponding to date,
*               represented by a number where 
*               1=Mon, 2=Tue, 3=Wed, 4=Thu, 5=Fri
*               Observations will be ignored if 
*               dow isn't one of these values.
*
*    other variables -- each variable represents the 
*               natural log of daily return for the
*               date of the observation. If the price
*               on the current day is p1, and the price
*               on the previous day is p0, then the 
*               value of the variable is ln(p1/p0).
*
*               K expects these other variables:
*               lgbp, lgcd, lgdm, lgjy, lgsf,
*               representing british pounds, 
*               canadian dollars, deutsche marks,
*               japanese yen and swiss francs 
*               respectively.
*
* Caveat: K performs minimal data checking. GIGO.
*;

%macro K(data_set);

* we expect date and dow, because that's the kind of
* data we wrote this macro for. But we haven't any use
* for them beyond a cursory data check.
*;

data ktemp (drop = date dow); 
  set &data_set;
  if (dow in (1,2,3,4,5));
run;

*************************** Begin Parts G & I *************************;
* produce report;
proc corr data=ktemp cov nosimple;
  title3 Covariance and Correlation (Parts G, I);
run;
*************************** End Parts G & I ***************************;

*************************** Begin Part J *************************;
proc means data=ktemp noprint;
  title3 'Kurtosis and Skew (Part J)';
  var lgbp lgcd lgdm lgjy lgsf;
  output out=Ltemp
         kurt=kurt_bp kurt_cd kurt_dm kurt_jy kurt_sf
         skew=skew_bp skew_cd skew_dm skew_jy skew_sf
         ;
run;

data _NULL_ ; * output only;
  set Ltemp;
  FILE PRINT;
  put '  ';
  put '  ';
  put '  ';
  put '        Currency' '  Kurtosis' '      Skew';
  put '  ';
  put '   British Pound' (kurt_bp skew_bp) (10.6);
  put ' Canadian Dollar' (kurt_cd skew_cd) (10.6);
  put '   Deutsche Mark' (kurt_dm skew_dm) (10.6);
  put '    Japanese Yen' (kurt_jy skew_jy) (10.6);
  put '     Swiss Franc' (kurt_sf skew_sf) (10.6);
  put '  ';
run;
/*
proc print data=Ltemp (drop= _TYPE_ _FREQ_) noobs;
  title3 Kurtosis and Skew;
run;
*/
*************************** End Part J ***************************;

%mend K;