1. Haas MFE SAS Workshop Lecture 3:
Peng Liu
Haas School of Business, Berkeley, MFE 2006

2. Peng Liu http://faculty.haas.berkeley.edu/peliu/computing
SAS IML
Peng Liu
Haas School of Business, Berkeley, MFE 2006

3. PROC IML - What OUTLINES Defining Matrix Creating Matrix
Combining Matrix
Matrix Algebra (Function, Reduction Operators)
Read-In SAS data sets
Create SAS data sets
Haas School of Business, Berkeley, MFE Peng Liu AND Alexander Vedrashko 3

4. Defining and Referencing matrices
PROC IML; RESET PRINT; A=3; B={1 2 3}; *row vector; C={1,2,3}; *column vector; D={1 2 3, 4 5 6};*2 X 3 matrix; QUIT;
PROC IML;
D={1 2 3, 4 5 6};
E1=D[,2]; E2=D[1,];
E3=D[2,3];
E4=D[{1 3},{2 3}];
PRINT D E1 E2 E3 E4;
QUIT;
Begin with PROC IML; end with QUIT;
RESET PRINT produce all output; otherwise specify what you want to PRINT , but you have to assign first.
Use curly brackets { } to create vector or matrix
Use square bracket [] to refer to elements
E4=D[{1 3},{2 3}]; assigns submatrix to E4 consisting 1,3 rows and 2,3 columns of matrix D
Haas School of Business, Berkeley, MFE Peng Liu AND Alexander Vedrashko 4

5. Creating matrices
PROC IML; RESET PRINT; index=1:5; rindex=5:1; vars='X1':'X8'; series = do(0,84,12);
aa = I(6);
bb = j(5,5,0);
cc = j(6,1);
dd = diag({1 2 4});
ee = diag({1 2,3 4});
QUIT;
Index operator : creates a row vector of consecutive integers or character strings
Do function creates series with any increment
Identity matrix: I(size)
Constant matrix J(nrow, ncol, value)
Diagonal matrices: DIAG(VECTOR)
Haas School of Business, Berkeley, MFE Peng Liu AND Alexander Vedrashko 5

6. Combining matrices Transpose operation using t()
PROC IML; RESET PRINT; b={ }; bt=t(b); c={ , , , }; i1=c//b;i2=c||bt; QUIT;
Transpose operation using t()
"//" and ||" concatenates matrices vertically and horizontally respectively
Haas School of Business, Berkeley, MFE Peng Liu AND Alexander Vedrashko 6

7. Matrix Algebra - Basics
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8. Matrix Algebra – Matrix functions
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9. Matrix Algebra – Matrix Reduction Operators
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10. Read SAS data sets PROC IML; RESET PRINT; USE MFE.LOAN;
READ ALL INTO m
WHERE(state='CA');
QUIT;
*READ ALL VAR{id term rate} INTO m;
USE …; specify which SAS data set is to be used
READ ALL INTO …; converts SAS data set into a matrix.
READ ALL only read numerical variables;
Use VAR{term rate} option to select variables
Use WHERE to subset data.
Haas School of Business, Berkeley, MFE Peng Liu AND Alexander Vedrashko 10

11. Create SAS data sets
PROC IML; RESET PRINT; seed=J(3,3,9); r = ranuni(seed); CREATE data FROM r; APPEND FROM r; QUIT;
J function build 3 by 3 matrix with seed=9 for each element
CREATE … FROM opens the new SAS data set
APPEND FROM writes to the SAS data set
Output dataset has default column names COL1 COL2… You can rename by option [COLNAME = “R”]
Haas School of Business, Berkeley, MFE Peng Liu AND Alexander Vedrashko 11