再次请教

就是用你发的NSS.txt (4.25 KB) 中把
*计算权重*/
data weight;
set bonds040927 end=end;
Dur1=1/Dur;
sumDur1+Dur1;
if end;
call symput('ddd',sumDur1);
data weight(keep=weight);
merge bonds040927 weight;
weight=(1/Dur/&ddd);
run;
这几行代码删掉后（其实是多余的），再运行得到的。

我给后面加了一下输出，怎结果是这样的
-0.076，-0.098，0.094，0.056，12.5，4.2
后面这三个参数怎么么都超出设定范围了？
程序是这样的：
data bonds040927(label='2004年9月27日上交所22只付息国债收盘价');
input bdname $8. matdt:yymmdd10. freq coupond Cldirpr dur term@;
format matdt yymmdd10.;
label
bdname='债券名称'
matdt='到期日'
freq='年付息频率'
coupond='票面利息'
Cldirpr='市场价格'
dur='久期'
term='年限';
cards;
96国债6  2006-6-14   1 11.83   114.85  1.90262 10
97国债4  2007-9-5    1 9.78    116.6   2.76666 10
99国债5  2007-8-20   1 3.28    98.48   2.9076  8
99国债8  2009-9-23   1 3.3     94.62   4.70122 10
21国债3  2008-4-24   1 3.27    96.66   3.81898 7
21国债7  2021-7-31   2 4.26    92.09   12.9768 20
21国债10 2011-9-25   1 2.95    89.13   6.44658 10
21国债12 2011-10-30  1 3.05    89.67   7.25293 10
21国债15 2008-12-18  1 3       94.16   4.72472 7
02国债3  2012-4-18   1 2.54    86      7.3555  10
02国债10 2009-8-16   1 2.39    90.71   4.77451 7
02国债13 2017-9-20   2 2.6     77.36   11.1914 15
02国债14 2007-10-24  1 2.65    95.96   3.84993 5
02国债15 2009-12-6   1 2.93    92.5    5.60126 7
03国债11 2010-2-19   1 2.66    90.65   5.63273 7
03国债3  2023-4-17   2 3.4     80.64   14.6887 20
03国债7  2010-8-20   1 2.66    89.69   5.63273 7
03国债8  2013-9-17   1 3.02    87.26   8.06064 10
03国债11 2010-11-19  1 3.5     93.7    6.36469 7
04国债3  2009-4-19   1 4.4164  99.92   4.61904 5
04国债4  2011-5-25   1 4.89    101.04  6.17962 7
04国债7  2011-8-25   1 4.71    99.97   6.20199 7
;
run;
/*  现金流分解 */
data float(keep=bdname c1-c38);
set bonds040927;
sdate='27sep2004'd;  
edate=Matdt;  
yrdif=yrdif(sdate, edate, '30/360');  
dif=yrdif-int(yrdif);  
if Freq=1 then if dif=0 then do;
y=yrdif;
a=coupond;
end;
else do;
y=int(yrdif)+1;  
a=coupond;
end;
if Freq=2 then if dif=0.5 then do;
y=yrdif*2;
a=coupond/2;
end;
else if dif>0.5 then do;
y=int(yrdif)*2+2;
a=coupond/2;
end;
     
else do;
y=int(yrdif)*2+1;
a=coupond/2;
end;
array c{38};   
do i=1 to y;
if i<y then c[i]=a;  
         else c[i]=a+100;
end;
do j=y+1 to 38;
c[j]=0;
end;
run;
/*  现金流对应的时刻 */
data time(keep=bdname t1-t38);
set bonds040927;
sdate='27sep2004'd;
edate=Matdt;
yrdif=yrdif(sdate, edate, '30/360');
dif=yrdif-int(yrdif);
if Freq=1 then if dif=0 then do;
y=yrdif;  
a=1;
end;
else do;
y=int(yrdif)+1;
a=dif;
end;
if Freq=2 then if dif=0.5 then do;
y=yrdif*2;
a=0.5;
end;
else if dif>0.5 then do;
y=int(yrdif)*2+2;
a=dif-0.5;
end;
else do;
y=int(yrdif)*2+1;
a=dif;
end;
array t{38};
do i=1 to y;
t[i]=a+(1/Freq)*(i-1);
end;
do j=y+1 to 38;
t[j]=1;
end;
run;
data float_time;
merge float time;
run;

data w1;
set bonds040927 end=end;
Dur1=1/(dur**0.5);/*权重设为久期的算术平方根的倒数*/
sumDur1+Dur1;
if end;
call symput('ddd',sumDur1);
data w1(keep=w1);
merge bonds040927 w1;
w1=(1/(dur**0.5)/&ddd);
run;
proc iml;
reset deflib=work;
use bonds040927;
read all var{Cldirpr} into Cldirpr;
read all var{Dur} into Dur;
use float_time;
read all var('c1': 'c38') into float;
read all var('t1': 't38') into time;
use w1;
read all var{w1} into wei;
store Cldirpr Dur float time wei;
run;
quit;
proc iml;
reset deflib=work;
load Cldirpr Dur float time wei;
y=j(1099560,7);
A=j(38,1,1.);
do b1=-0.086 to -0.076 by 0.001;
do b2=-0.109 to -0.098 by 0.001;
do b0=0.086 to 0.094 by 0.0005;
do t1=9 to 12 by 0.5;
do b3=0.042 to 0.054 by 0.002;
do t2=2.2 to 4 by 0.2;
i=(b1+0.086)/0.001*99960+(b2+0.109)/0.001*8330+(b0-0.086)/0.0005*490+(t1-9)/0.5*70+(b3-0.042)/0.002*10+(t2-2.2)/0.2+1;
y[i,1]=b1;
end;
y[i,2]=b2;
end;
y[i,3]=b0;
end;
y[i,4]=b3;
end;
y[i,5]=t1;
end;
y[i,6]=t2;
end;
y[i,7]=ssq((((float#exp(-time#(b0+(b1+b2)#((1-exp(-time/t1))/(time/t1))-b2#exp(-time/t1)+b3#((1-exp(-time/t2))/(time/t2)-exp(-time/t2)))))*A-Cldirpr)#wei)/22);
create yyy from y;
append from y;
quit;
proc sort data=yyy;
by col7;
run;
quit;
proc printto print='d:\shuchu.et';
proc print data=yyy;
run;

也不知道程序哪里的问题

data bonds040927(label='2004年9月27日上交所22只付息国债收盘价');
input bdname $8. matdt:yymmdd10. freq coupond Cldirpr dur term@;
format matdt yymmdd10.;
label
bdname='债券名称'
matdt='到期日'
freq='年付息频率'
coupond='票面利息'
Cldirpr='市场价格'
dur='久期'
term='年限';
cards;
96国债6  2006-6-14   1 11.83   114.85  1.90262 10
97国债4  2007-9-5    1 9.78    116.6   2.76666 10
99国债5  2007-8-20   1 3.28    98.48   2.9076  8
99国债8  2009-9-23   1 3.3     94.62   4.70122 10
21国债3  2008-4-24   1 3.27    96.66   3.81898 7
21国债7  2021-7-31   2 4.26    92.09   12.9768 20
21国债10 2011-9-25   1 2.95    89.13   6.44658 10
21国债12 2011-10-30  1 3.05    89.67   7.25293 10
21国债15 2008-12-18  1 3       94.16   4.72472 7
02国债3  2012-4-18   1 2.54    86      7.3555  10
02国债10 2009-8-16   1 2.39    90.71   4.77451 7
02国债13 2017-9-20   2 2.6     77.36   11.1914 15
02国债14 2007-10-24  1 2.65    95.96   3.84993 5
02国债15 2009-12-6   1 2.93    92.5    5.60126 7
03国债11 2010-2-19   1 2.66    90.65   5.63273 7
03国债3  2023-4-17   2 3.4     80.64   14.6887 20
03国债7  2010-8-20   1 2.66    89.69   5.63273 7
03国债8  2013-9-17   1 3.02    87.26   8.06064 10
03国债11 2010-11-19  1 3.5     93.7    6.36469 7
04国债3  2009-4-19   1 4.4164  99.92   4.61904 5
04国债4  2011-5-25   1 4.89    101.04  6.17962 7
04国债7  2011-8-25   1 4.71    99.97   6.20199 7
;
run;
/*  现金流分解 */
data float(keep=bdname c1-c38);
set bonds040927;
sdate='27sep2004'd;  
edate=Matdt;  
yrdif=yrdif(sdate, edate, '30/360');  
dif=yrdif-int(yrdif);  
if Freq=1 then if dif=0 then do;
y=yrdif;
a=coupond;
end;
else do;
y=int(yrdif)+1;  
a=coupond;
end;
if Freq=2 then if dif=0.5 then do;
y=yrdif*2;
a=coupond/2;
end;
else if dif>0.5 then do;
y=int(yrdif)*2+2;
a=coupond/2;
end;
     
else do;
y=int(yrdif)*2+1;
a=coupond/2;
end;
array c{38};   
do i=1 to y;
if i<y then c[i]=a;  
         else c[i]=a+100;
end;
do j=y+1 to 38;
c[j]=0;
end;
run;
/*  现金流对应的时刻 */
data time(keep=bdname t1-t38);
set bonds040927;
sdate='27sep2004'd;
edate=Matdt;
yrdif=yrdif(sdate, edate, '30/360');
dif=yrdif-int(yrdif);
if Freq=1 then if dif=0 then do;
y=yrdif;  
a=1;
end;
else do;
y=int(yrdif)+1;
a=dif;
end;
if Freq=2 then if dif=0.5 then do;
y=yrdif*2;
a=0.5;
end;
else if dif>0.5 then do;
y=int(yrdif)*2+2;
a=dif-0.5;
end;
else do;
y=int(yrdif)*2+1;
a=dif;
end;
array t{38};
do i=1 to y;
t[i]=a+(1/Freq)*(i-1);
end;
do j=y+1 to 38;
t[j]=1;
end;
run;
data float_time;
merge float time;
run;

data w1;
set bonds040927 end=end;
Dur1=1/(dur**0.5);/*权重设为久期的算术平方根的倒数*/
sumDur1+Dur1;
if end;
call symput('ddd',sumDur1);
data w1(keep=w1);
merge bonds040927 w1;
w1=(1/(dur**0.5)/&ddd);
run;
proc iml;
reset deflib=work;
use bonds040927;
read all var{Cldirpr} into Cldirpr;
read all var{Dur} into Dur;
use float_time;
read all var('c1': 'c38') into float;
read all var('t1': 't38') into time;
use w1;
read all var{w1} into wei;
store Cldirpr Dur float time wei;
run;
quit;
proc iml;
reset deflib=work;
load Cldirpr Dur float time wei;
y=j(1099560,7);
A=j(38,1,1.);
do b1=-0.086 to -0.076 by 0.001;
do b2=-0.109 to -0.098 by 0.001;
do b0=0.086 to 0.094 by 0.0005;
do t1=9 to 12 by 0.5;
do b3=0.042 to 0.054 by 0.002;
do t2=2.2 to 4 by 0.2;
i=(b1+0.086)/0.001*99960+(b2+0.109)/0.001*8330+(b0-0.086)/0.0005*490+(t1-9)/0.5*70+(b3-0.042)/0.002*10+(t2-2.2)/0.2+1;
y[i,1]=b1;
end;
y[i,2]=b2;
end;
y[i,3]=b0;
end;
y[i,4]=b3;
end;
y[i,5]=t1;
end;
y[i,6]=t2;
end;
y[i,7]=ssq((((float#exp(-time#(b0+(b1+b2)#((1-exp(-time/t1))/(time/t1))-b2#exp(-time/t1)+b3#((1-exp(-time/t2))/(time/t2)-exp(-time/t2)))))*A-Cldirpr)#wei)/22);
create yyy from y;
append from y;
quit;
proc sort data=yyy;
by col7;
run;
quit;
proc printto print='d:\shuchu.xls';
proc print data=yyy(obs=10) noobs;
run;
那个输出太多了，输出十个就行！

1# shuiqq19840621
楼主你好！
我也在做利率期限结构的估计，也看到朱世武老师的这个程序
我还有个疑问，NSS模型是描述的远期利率\即期利率\贴现函数\收益率 与期限t之间的参数关系，在拟合参数的时候需要被解释变量远期利率\即期利率\贴现函数\收益率  和解释变量t 。但是远期利率\即期利率\贴现函数\收益率 都是未知的啊？
我想问一下，在估计NSS模型参数的时候被解释变量是带什么啊？
谢谢！！