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Re: st: Calculating returns between 2 dates using 2 files


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Calculating returns between 2 dates using 2 files
Date   Mon, 24 Apr 2006 16:55:02 -0400

This looks a bit like the min distance problem from a few days ago,
minus the lat/lon, and every other aspect of the problem.
In other words: You could do this by looping over the obs in File 2.

use file2
gen double DateReturn=.
gen obs=_n
* just to emphasize sort order matters
forv i=1/`=_N' {
 local start=Date1[`i']
 local end=Date2[`i']
 preserve
 use file1, clear
 gen double gret=ln(1+Ret)
 keep if Date>=`start' & Date<`end'
 gen double tret=sum(gret)
 scalar lnret=tret[_N]
 restore
 replace DateRet=exp(lnret)-1 in `i'
}

All untested, of course.


On 4/24/06, Hugh Colaco <hmjc66@gmail.com> wrote:
> Hi Statalist,
>
> I have 2 files; one with dates and returns on each date (i.e. File 1)
> and the second, two given dates for each observation. The dates run
> from 1990 to 2004.
>
> I want to calculate "DateRet" (i.e. the return between the two dates
> in file 2) for each obs. I have approx 1000 obs. Note from the example
> that Date2 return is not considered (i.e. the last return considered
> is the date prior to Date2).
>
> Thanks,
>
> Hugh
>
>
>
> File1
>
> Date    Return
> 1/2/1990        0.003
> 1/3/1990        0.006
> 1/4/1990        -0.004
> 1/5/1990        0.001
> 1/8/1990        0.002
> 1/9/1990        -0.001
> 1/10/1990       -0.005
> 1/11/1990       0.002
> 1/12/1990       -0.015
> 1/15/1990       -0.005
> 1/16/1990       -0.001
> 1/17/1990       0.001
> 1/18/1990       -0.003
> 1/19/1990       0.005
> 1/22/1990       -0.011
> 1/23/1990       -0.002
> 1/24/1990       -0.011
> 1/25/1990       -0.001
> 1/26/1990       -0.005
> 1/29/1990       -0.006
> 1/30/1990       -0.011
> 1/31/1990       0.007
> 2/1/1990        0.003
> 2/2/1990        0.007
> 2/5/1990        0.004
> 2/6/1990        0.001
> 2/7/1990        0.006
> 2/8/1990        0.002
> 2/9/1990        0.004
>
>
>
>
> File2
>
> Obs       Date1 Date2                              DateRet
> 1          1/31/1990    2/2/1990                        (1+0.007)*(1+0.003)-1
> 2         1/3/1990      1/8/1990                         (1+0.006)*(1-0.004)*(1+0.001)-1
>
> *
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>

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