Here's
some SAS information I found curious. I am currently taking a time series course, and in the first homework assignment we are asked
to calculate the log returns as lnreturn = log(ret + 1). This must be a
common operation, because SAS has a builtin function for that purpose.
The function is log1px and is used as follows: lnreturn = log1px(ret);
Big deal, right? I mean it's not as if the other way (log(ret + 1)) is hard to code. Yes, but according to the documentation (http://support.sas.com/documentation/cdl/en/lrdict/64316/HTML/default/viewer.htm#a003121132.htm), "when x is close to 0, LOG1PX(x) can be more accurate than LOG(1+x)."
(I assume the 1PX stands for "1 plus x".)
Big deal, right? I mean it's not as if the other way (log(ret + 1)) is hard to code. Yes, but according to the documentation (http://support.sas.com/documentation/cdl/en/lrdict/64316/HTML/default/viewer.htm#a003121132.htm), "when x is close to 0, LOG1PX(x) can be more accurate than LOG(1+x)."
(I assume the 1PX stands for "1 plus x".)
No comments:
Post a Comment