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st: Missing values in internal rate of return calculation


From   Tanja Berg <tanja.berg86@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Missing values in internal rate of return calculation
Date   Wed, 23 May 2012 19:25:17 +0200

Hi,

I want to do an internal rate of return calculation in Mata.

That is what I have programmed so far:

mata
v=J(4850,50,.)
v=st_data(.,"zspread pricenew cf1-cf16 spot1-spot16 mat1-mat16")

function y(zspread,v) {

pricenew=v[.,2];cf1=v[.,3];cf2=v[.,4];cf3=v[.,5];cf4=v[.,6];cf5=v[.,7];cf6=v[.,8];cf7=v[.,9];cf8=v[.,10];cf9=v[.,11];cf10=v[.,12];cf11=v[.,13];cf12=v[.,14];cf13=v[.,15];cf14=v[.,16];cf15=v[.,17];cf16=v[.,18];spot1=v[.,19];spot2=v[.,20];spot3=v[.,21];spot4=v[.,22];spot5=v[.,23];spot6=v[.,24];spot7=v[.,25];spot8=v[.,26];spot9=v[.,27];spot10=v[.,28];spot11=v[.,29];spot12=v[.,30];spot13=v[.,31];spot14=v[.,32];spot15=v[.,33];spot16=v[.,34];mat1=v[.,35];mat2=v[.,36];mat3=v[.,37];mat4=v[.,38];mat5=v[.,39];mat6=v[.,40];mat7=v[.,41];mat8=v[.,42];mat9=v[.,43];mat10=v[.,44];mat11=v[.,45];mat12=v[.,46];mat13=v[.,47];mat14=v[.,48];mat15=v[.,49];mat16=v[.,50]

return(pricenew-((cf1/(1+spot1+zspread)^mat1)+(cf2/(1+spot2+zspread)^mat2)+(cf3/(1+spot3+zspread)^mat3)+(cf4/(1+spot4+zspread)^mat4)+(cf5/(1+spot5+zspread)^mat5)+(cf6/(1+spot6+zspread)^mat6)+(cf7/(1+spot7+zspread)^mat7)+(cf8/(1+spot8+zspread)^mat8)+(cf9/(1+spot9+zspread)^mat9)+(cf10/(1+spot10+zspread)^mat10)+(cf11/(1+spot11+zspread)^mat11)+(cf12/(1+spot12+zspread)^mat12)+(cf13/(1+spot13+zspread)^mat13)+(cf14/(1+spot14+zspread)^mat14)+(cf15/(1+spot15+zspread)^mat15)+(cf16/(1+spot16+zspread)^mat16)))
}

for (i=1;i<=rows(v);i++) {
r=mm_root(zspread=.,&y(),0,1,1e-9,1000,v[i,.])
v[i,1]=zspread
}
end

The variable "zspread" is the internal rate of return I want to get.
But I always get missing values for the zspread. I think this is the case because my data I imported from Stata includes missing values, but I can't just delete the observations with missing values because all the observations include at least one missing value.
I tried to replace the missing values by zero, but then I get zero as a result for the "zspread".

Is it possible that Mata can somehow ignores missing values and calculate only with the data available for each observation??

I really need your help! I am searching the web for hours and can't find any solution for this problem.
It has to work somehow.

Thanks and regards!


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