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Proc FCMP Creating a Call Routine and Function

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  1. proc fcmp outlib = sasuser.exsubs.pkt1;
  2.  
  3.  Note about code 	
  4.  
  5.    subroutine calc_years(maturity, current_date, years);
  6.       outargs years;
  7.       years = (maturity - current_date) / 365.25;
  8.    endsub;
  9.  
  10.  Note about code 	
  11.  
  12.    function garkhprc (type$, buysell$, amount,
  13.                       E, t, S, rd, rf, sig);
  14.       if buysell = "Buy" then sign = 1.;
  15.       else do;
  16.          if buysell = "Sell" then sign = -1.;
  17.          else sign = .;
  18.       end;
  19.  
  20.       if type = "Call" then
  21.          garkhprc = sign * amount 
  22.                          * garkhptprc (E, t, S, rd, rf, sig);
  23.       else do;
  24.          if type = "Put" then
  25.             garkhprc = sign * amount 
  26.                             * garkhptprc (E, t, S, rd, rf, sig);
  27.          else garkhprc = .;
  28.       end;
  29.  
  30.  Note about code 	
  31.  
  32.       return (garkhprc);
  33.    endsub;
  34.  
  35.  Note about code 	
  36.  
  37. run;

URL: http://support.sas.com/documentation/cdl/en/proc/59565/HTML/default/a002890491.htm

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