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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?

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3 Answers 3

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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

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  • $\begingroup$ Thanks. Is there a PROC to simulate a geometric Brownian motion? $\endgroup$
    – Victor
    Commented Jun 1, 2015 at 1:04
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SAS iml can do the calculus numerically.

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  • $\begingroup$ Thanks. I have SAS enterprise guide. Does the IML package come with it or I need to install it separately? $\endgroup$
    – Victor
    Commented Jun 1, 2015 at 1:21
  • $\begingroup$ 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. $\endgroup$
    – Deep North
    Commented Jun 1, 2015 at 1:26
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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.

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