[求助]怎样用SAS把日回报转换为周回报

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我现在有一系列日回报数据，

19260102    0.001533742
19260104    -0.004594181
19260105    0.001538462
19260106    0.002304148
19260107    0.009578544
19260108    0.020113852
19260109    0.017485119
19260111    -0.001462523
19260112    0.015378982
19260113    -0.016227912
19260114    -0.008797654
19260115    -0.008505917
19260116    0.001118986
19260118    0.000745157

现在要把日回报转换为周回报。请问用SAS怎么转换？希望提供程序。

谢谢！

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关键词：SAS 回报

周一回报，还是这个周的平均值回报

谢谢你的回复。

这指的是一周的回报，就是rw=(1+r1)(1+r2)...(1+rn)-1.n 是一周的交易日总数。这个问题首先是利用第一列的日期来判断一周的开始和结束，然后再累乘。我初学SAS，不知道该怎么编这个程序。

weekday这个函数可以得到星期几

**你需要用 week() function,把 days  分成几大组, 再求平均值.***;

data a;
input days: yymmdd10. return;
format days yymmdd10.;
cards;
19260102    0.001533742
19260104    -0.004594181
19260105    0.001538462
19260106    0.002304148
19260107    0.009578544
19260108    0.020113852
19260109    0.017485119
19260111    -0.001462523
19260112    0.015378982
19260113    -0.016227912
19260114    -0.008797654
19260115    -0.008505917
19260116    0.001118986
19260118    0.000745157
;
run;
proc print data=a;
run;

data b;
set a;
weeks=week(days);
run;
proc print data=b;
run;

proc means data=b;
class weeks;
var return;
run;

哪个高手来解决下这事情，楼上朋友只能算出平均周回报，不能算累积周收益的啊！我研究好久，弄不出来！

data test;                                                                                                                             
input days: yymmdd10. return;                                                                                                          
format days yymmdd10.;                                                                                                                 
cards;                                                                                                                                 
19260102    0.001533742                                                                                                                
19260104    -0.004594181                                                                                                               
19260105    0.001538462                                                                                                                
19260106    0.002304148                                                                                                                
19260107    0.009578544                                                                                                                
19260108    0.020113852                                                                                                                
19260109    0.017485119                                                                                                                
19260111    -0.001462523                                                                                                               
19260112    0.015378982                                                                                                                
19260113    -0.016227912                                                                                                               
19260114    -0.008797654                                                                                                               
19260115    -0.008505917                                                                                                               
19260116    0.001118986                                                                                                                
19260118    0.000745157                                                                                                                
;                                                                                                                                      
run;                                                                                                                                   
proc sort;                                                                                                                             
      by days;                                                                                                                         
run;                                                                                                                                   
                                                                                                                                       
data test1;                                                                                                                            
      set test;                                                                                                                        
      lr=log(return+1);clr+lr;                                                                                                         
      weeks=intck('week','02jan1926'd,days)+1;                                                                                         
                                                                                                                                       
run;                                                                                                                                   
                                                                                                                                       
data test2(keep=days weeks wr);                                                                                                        
      set test1;                                                                                                                       
      index=last.weeks;                                                                                                                
            by weeks;                                                                                                                  
        if index=1;                                                                                                                    
      dif=dif(clr);                                                                                                                    
      if dif=. then wr=clr;                                                                                                            
      else wr=dif;                                                                                                                     
      wr=exp(wr)-1;                                                                                                                    
run;                                                                                                                                   
                                                                                                                                       
proc print data=test2;                                                                                                                 
run;

非常感谢这位兄台