下面是一个遗传算法的参数估计,请帮我改下。我那个数据调用的地方老是出错!
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 sql;
select Cldirpr into: index from bonds040927;
quit;
proc sql;
select w1 into: index from w1;
quit;
proc ga seed=5555 maxiter = 30;
function y(selected[*]);
array x[6] /nosym;
call ReadMember(selected,1,x);
x1=x[1];
x2=x[2];
x3=x[3];
x4=x[4];
x5=x[5];
x6=x[6];
array sum1{38,22};
sum1[i,j]=0;
sum2=0;
do i=1 to 38;
do j=1 to 22;
sum1[i,j]=sum1[i,j]+c[i]*exp(-t[i]*(x1+(x2+x3)*((1-exp(-t[i]/x5))/(t[i]/x5)-x3*exp(-t[i]/x5)+x4*((1-exp(-t[i]/x6))/(t[i]/x6)-exp(-t[i]/x6)));
sum2=sum2+((p[j]-sum1[i,j])**2)*w[j];
end;
end;
result=sum2;
return(result);
endsub;
call SetEncoding('R2');
array LowerBound[6] /nosym (0.086 -0.086 -0.109 0.042 9 2.2);
array UpperBound[6] /nosym (0.094 -0.076 -0.098 0.054 12 4);
call SetBounds(LowerBound, UpperBound);
call SetObjFunc('y',0);
call SetCrossProb(0.65);
call SetCrossHeuristic();
call SetMutProb(0.15);
array delta[2] /nosym (0.2 0.2);
call SetMutDelta(delta, 1);
call SetSelTournament(2);
call SetElite(2);
call Initialize('DEFAULT',120);
run;
quit;