* VolRpt.sas K.Cheung & D.Brockman 20040312 Report Ann Vol (part C);
;
%macro VolRpt(VolRes);
;
/*;
* Produces a simple report showing the estimates of annual ;
* volatilities of currency prices. The measured volatilities ;
* are equivalent to the standard deviation of daily change;
* in the logarithm of the price. The estimated annual ;
* volatilities are proportional to the measured volatilities;
* as the square root of the ratio of the number of days in;
* a year to the number of days for which there is a measure.;
*;
* Args:                                                       ;
*                                                             ;
*     VolRes = data set containing estimated annual volatility,;
*             measured volatility and number of days for which;
*             volatility was measured, for each currency.;
*             VolRes has many vars, one obs.;
*/ 

data VolTrans (keep = cur sdv days annvol); 
  set &VolRes; ;
 *Output for label current;
  LABEL cur='Currency'
        sdv='Sample Std Dev'
        days='Obs in Sample'
        annvol='Est Annual Volatility'
        ;
  FORMAT sdv 10.6 days 6.0 annvol 10.6;

 *Output for each individual currency type;
  cur="British Pound" ;
  sdv=S_bp ;
  days=N_bp ;
  annvol=V_bp;
  output VolTrans;

  cur="Canadian Dollar" ;
  sdv=S_cd ;
  days=N_cd ;
  annvol=V_cd;
  output VolTrans;

  cur="Deutsche Mark" ;
  sdv=S_dm ;
  days=N_dm ;
  annvol=V_dm;
  output VolTrans;

  cur="Japanese Yen" ;
  sdv=S_jy ;
  days=N_jy ;
  annvol=V_jy;
  output VolTrans;

  cur="Swiss Franc" ;
  sdv=S_sf ;
  days=N_sf ;
  annvol=V_sf;
  output VolTrans;
run;

proc print data=VolTrans width=FULL noobs LABEL;
title3 Annualized Volatility Calculation (Req C);
run;
  
%mend VolRpt;