Untitled

matrix z has not been set to a value
no data set is currently open for output
File WORK.MYDATA2.DATA does not exist

DATA allsamp0;

  SET sample;

RUN;


%macro loop;


DATA test;

  SET sample1;

  IF ext_opt = 0 THEN ext_opt = .0001;

  ylow = LOG(debt_face);

  KEEP csho t_debt va siga debt_face exp_rf rf_net exp_divex exp_rfex x lambda ext_opt ylow;

RUN;


DATA test;

  RETAIN csho t_debt va siga debt_face exp_rf rf_net exp_divex exp_rfex x lambda ext_opt ylow;

  SET test;

  KEEP csho t_debt va siga debt_face exp_rf rf_net exp_divex exp_rfex x lambda ext_opt ylow;

RUN;


* Read data into IML ;

PROC IML;

  USE test;

  READ all var _ALL_ into B;

CLOSE close test;


csho = B[1,1];

t_debt = B[1,2];

va = B[1,3];

siga = B[1,4];

debt_face = B[1,5];

exp_rf = B[1,6];

rf_net = B[1,7];

exp_divex= B[1,8];

exp_rfex = B[1,9];

x = B[1,10];

lambda = B[1,11];

ext_opt = B[1,12];

ylow = B[1,13];


/* Define the integr/


START FUN(y) GLOBAL (va, rf_net, siga, t_debt, debt_face, csho, x, exp_divex, exp_rf, exp_rfex, lambda, ext_opt, vd, ylow);


  IF ext_opt = 0 THEN ext_opt = .0001;


  f1d = (y - LOG((debt_face + csho * x)) + (rf_net + 0.5 * siga**2) * ext_opt) / (siga * SQRT(ext_opt));

  f2d = f1d - (siga * SQRT(ext_opt)) ;


  opt = (EXP(y) * exp_divex * PROBNORM(f1d) - (debt_face + csho * x) * exp_rfex * PROBNORM(f2d)) ;


  mu = LOG(va) + (rf_net - 0.5 * siga**2) * t_debt;

  sigma = siga * SQRT(t_debt);

  a0 = (LOG(debt_face + csho * x) -mu) / sigma;


  pdf = EXP(-((y - mu)**2/(2 * sigma**2))) / (SQRT (2 * CONSTANT('PI')) * sigma);


  pre = lambda * exp_rf;

  int = pre * opt* pdf;


return(int);

finish;


/*

    SAS does not like very low lower bounds. no value if 2 std below face?

*/


    mu = LOG(va) + (rf_net - 0.5 * siga**2) * t_debt;

    sigma = siga * SQRT(t_debt);

    yhigh = mu + 5 * sigma;

    mid = (yhigh + ylow) / 2;

    call quad(z, "fun", ylow || yhigh) peak= mid;


create MyData2 from z;

append from z;

close MyData2;

quit ;


DATA MyData2;

  SET MyData2;

  RENAME COL1 = w_later;

RUN;


DATA new;

  SET MyData2;

RUN;


%mend loop;


%macro bigloop ;


%DO i=1 %TO &nobs;

DATA sample;

  SET allsamp0;

  IF observ = &i;


PROC SORT;

  BY co_per_rol year;

RUN;


DATA allsamp;

  SET sample;

RUN;


/*

    solve for va, siga numerically

*/

%macro newton ;


%LET tol = 0.00000001;

%LET absg = 1;


%DO iter = 1 %TO 100;

%IF &absg <= &tol %THEN %GOTO leave;


DATA sample1;

  SET sample;

  ext_opt = t_opt - t_debt;

  KEEP va rf_net siga t_debt debt_face csho x exp_divex exp_rf exp_rfex lambda observ ext_opt t_opt t_debt;

RUN;


%loop;


DATA new;

  SET new;

  w_later = w_later;

RUN;


DATA sample;

  MERGE sample new;

RUN;


PROC DATASETS NOLIST;

  DELETE new MYDATA2 test;

QUIT;

RUN;


/*

    solving for derivatives in va

*/

DATA sample;

  SET sample;

  inc = 0.0000001;

RUN;


DATA sample1;

  SET sample;

  va = va + inc;

  ext_opt = t_opt - t_debt;

  KEEP va rf_net siga t_debt debt_face csho x exp_divex exp_rf exp_rfex lambda observ ext_opt t_opt t_debt ;

RUN;


PROC DATASETS NOLIST;

  DELETE new MYDATA2 test;

QUIT;

RUN;


%loop ;


DATA new;

  SET new;

  w_later_up = w_later;

  DROP w_later;

RUN;


DATA sample;

  MERGE sample new;

  warr_delta = optosey * (w_later_up - w_later) / inc;


  dd = (LOG(va / debt_face) + (rf_net + 0.5 * siga**2) * t_debt) / (siga * SQRT(t_debt));

  dd1 = dd - (siga * SQRT(t_debt));


  debt_bs = debt_face * EXP(-r_debt * t_debt) * (1 - PROBNORM(-dd + siga * SQRT(t_debt)) ) + va * exp_div * PROBNORM(-dd);

  eqcall = (va * exp_div * PROBNORM(dd) - debt_face * exp_rf * PROBNORM(dd1)) + va * (1 - exp_div);


  tva = va + inc;

  dd = (LOG(tva / debt_face) + (rf_net + 0.5 * siga**2) * t_debt) / (siga * SQRT(t_debt));

  dd1 = dd - (siga * SQRT(t_debt));

  debt_bs_up = debt_face * EXP(-r_debt*t_debt) * (1 - PROBNORM(-dd + siga * SQRT(t_debt)) ) + tva * exp_div * PROBNORM(-dd);

  debt_delta = (debt_bs_up - debt_bs) / inc;

  stk_delta = 1 - debt_delta - warr_delta;


  eqcall1 = tva * exp_div * PROBNORM(dd) - debt_face * exp_rf * PROBNORM(dd1) + tva * (1 - exp_div);

  eq_delta=(eqcall1 - eqcall)/inc ;

RUN;


DATA sample;

  SET sample;

  g1 = mve + optosey * w_later - eqcall;

  g2 = siga * (va / mve) * stk_delta - sige;


  dg1a = warr_delta - eq_delta;

  dg2a = siga * (1 / mve) * stk_delta;

  dg2b = (va / mve) * stk_delta;

  DROP tva debt_bs_up w_later_up inc;

RUN;


/*

    now derivatives wrt siga

*/

DATA sample;

  SET sample;

  inc = 0.0000001;

RUN;


DATA sample1;

  SET sample;

  siga = siga + inc;

  ext_opt=t_opt - t_debt;

  KEEP va rf_net siga t_debt debt_face csho x exp_divex exp_rf exp_rfex lambda observ   ext_opt t_opt t_debt eqcall;

RUN;


PROC DATASETS NOLIST;

  DELETE new MYDATA2 test ;

QUIT;

RUN;


%loop;


DATA new;

  SET new ;

  w_later_up = w_later;

  DROP w_later;

RUN;


DATA sample;

  MERGE sample new;

  warr_dsig = optosey * (w_later_up - w_later) / inc;


  dd =(LOG( va / debt_face) + (rf_net + 0.5 * siga**2) * t_debt) / (siga * SQRT(t_debt));

  dd1 = dd - (siga * SQRT(t_debt));

  eqcall = (va * exp_div * PROBNORM(dd) - debt_face * exp_rf * PROBNORM(dd1) + va * (1 - exp_div));


  tsiga = siga + inc;

  dd =(LOG( va / debt_face) + (rf_net + 0.5 * tsiga**2) * t_debt) / (tsiga * SQRT(t_debt));

  dd1 = dd - (tsiga * SQRT(t_debt));

  eqcall1 = (va * exp_div * PROBNORM(dd) - debt_face * exp_rf * PROBNORM(dd1) + va * (1 - exp_div));


  call_dsig = (eqcall1 - eqcall) / inc;

RUN;


DATA sample ;

  SET sample ;

  old_va = va;

  old_siga = siga;

  dg1b = warr_dsig - call_dsig;


  det = 1 / ((dg1a * dg2b) - (dg1b * dg2a));


  va = va - det * ((dg2b*g1) - (dg1b * g2));

  IF va < 0 THEN va = old_va;

  siga = siga - det * ( -(dg2a*g1) + (dg1a * g2));

  IF siga < 0 THEN siga = old_siga;


  gtg = g1 * g1 + g2 * g2;

  absg = sqrt(gtg);

  j = &iter ;

RUN;


DATA _null_;

  SET sample;

  call symput('absg', strip(put(absg,8.)) );

RUN;


%end;


%leave:

DATA sample;

  SET sample;

  absg = &absg;

  j = j + 1;

RUN;


%mend newton;


%newton;


/*

    now have va and siga -- solve warrant value and vega

*/


DATA allsamp;

  SET allsamp;

  DROP va siga;

RUN;


PROC SQL;

  CREATE TABLE sample AS

    SELECT DISTINCT a.*, b.va, b.siga, b.absg, b.j

    FROM allsamp AS a LEFT JOIN sample AS b

    ON (a.co_per_rol = b.co_per_rol) AND

       (a.year = b.year);

QUIT;


DATA sample1;

  SET sample;

  ext_opt = t_opt - t_debt;

  KEEP va rf_net siga t_debt debt_face csho x exp_divex exp_rf exp_rfex lambda observ ext_opt t_opt t_debt;

RUN;


%loop ;

/*

DATA sample;

  SET sample;

  DROP w_later;

RUN;

*/

DATA new;

  SET new;

  KEEP w_later;

RUN;


DATA sample;

  MERGE sample new;

RUN;


PROC DATASETS NOLIST;

  DELETE new MYDATA2 test;

QUIT;

RUN;


DATA sample1;

  SET sample ;

* for ceo -- see AN p.1203 ;

  csho = -optosey + ex2un / (lambda * x);

  x = x;

  ext_opt = t_opt - t_debt;

  KEEP va rf_net siga t_debt debt_face csho x exp_divex exp_rf exp_rfex lambda observ   ext_opt t_opt t_debt;

RUN;


%loop ;


DATA new;

  SET new;

  unceo_later = w_later;

  DROP w_later;

RUN;


DATA sample;

  MERGE sample new;

RUN;


PROC DATASETS NOLIST;

  DELETE new MYDATA2 test;

QUIT;

RUN;


DATA sample1;

  SET sample ;

* for ceo -- see AN p.1203 ;

  csho = -optosey + ex2ex / (lambda * x);

  x = x;

  ext_opt = t_opt - t_debt;

  keep va rf_net siga t_debt debt_face csho x exp_divex exp_rf exp_rfex lambda observ ext_opt t_opt t_debt;

RUN;


%loop;


DATA new;

  SET new;

  exceo_later = w_later;

  DROP w_later;

RUN;


DATA sample;

  MERGE sample new;

RUN;


PROC DATASETS NOLIST;

  DELETE new MYDATA2 test;

QUIT;

RUN;


DATA sample;

  SET sample;

  dd = (LOG( va / debt_face) + (rf_net + 0.5 * siga**2) * t_debt) / (siga * SQRT(t_debt));

  dd1 = dd - (siga * SQRT(t_debt));


  eqcall = va * exp_div * PROBNORM(dd) - debt_face * exp_rf * PROBNORM(dd1) + va * (1 - exp_div);

  checkmv = eqcall - w_later * optosey;


DATA sample;

  SET sample;

  siga1 = 1.01 * siga;

RUN;


DATA sample1;

  SET sample;

  siga = siga1;

  ext_opt = t_opt - t_debt;

  KEEP va rf_net siga t_debt debt_face csho x exp_divex exp_rf exp_rfex lambda observ ext_opt t_opt t_debt;

RUN;


%loop ;


DATA new;

  SET new;

  w_later1 = w_later  ;

  DROP w_later;

RUN;


DATA sample;

  MERGE sample new;

RUN;


PROC DATASETS NOLIST;

  DELETE new MYDATA2 test;

QUIT;

RUN;


DATA sample1;

  SET sample;

  siga = siga1;

* for ceo AN p.1203;

  x = x;

  csho = -optosey + ex2ex / (lambda * x);

  ext_opt = t_opt - t_debt;

  KEEP va rf_net siga t_debt debt_face csho x exp_divex exp_rf exp_rfex lambda observ ext_opt t_opt t_debt;

RUN;


%loop ;


DATA new;

  SET new;

  exceo_later1 = w_later;

  DROP w_later;

RUN;


DATA sample;

  MERGE sample new;

RUN;


PROC DATASETS NOLIST;

  DELETE new MYDATA2 test;

QUIT;

RUN;


DATA sample1;

  SET sample;

  siga = siga1;

* for ceo AN p.1203;

  x = x;

  csho = -optosey + ex2un / (lambda * x);

  ext_opt = t_opt - t_debt;

  KEEP va rf_net siga t_debt debt_face csho x exp_divex exp_rf exp_rfex lambda observ ext_opt t_opt t_debt;

RUN;


%loop ;


DATA new;

  SET new;

  unceo_later1 = w_later  ;

  DROP w_later;

RUN;


DATA sample;

  MERGE sample new;

RUN;


PROC DATASETS NOLIST;

  DELETE new MYDATA2 test;

QUIT;

RUN;


/*

        solving for delta derivatives in va

*/

DATA sample;

  SET sample;

  inc = 0.0000001;

RUN;


DATA sample1;

  SET sample;

  va = va + inc;

  ext_opt = t_opt - t_debt;

  KEEP va rf_net siga t_debt debt_face csho x exp_divex exp_rf exp_rfex lambda observ ext_opt t_opt t_debt;

RUN;


%loop ;


DATA new;

  SET new;

  w_later_up = w_later  ;

  DROP w_later;

RUN;


DATA sample;

  MERGE sample new;

  warr_delta = optosey * (w_later_up - w_later) / inc;


  dd = (LOG(va / debt_face) + (rf_net + 0.5 * siga**2) * t_debt) / (siga * SQRT(t_debt));

  dd1 = dd - (siga * SQRT(t_debt));


  debt_bs = debt_face * EXP(-r_debt * t_debt) * (1 - PROBNORM(-dd + siga * SQRT(t_debt)) ) + va * exp_div * PROBNORM(-dd);

  eqcall = (va * exp_div * PROBNORM(dd) - debt_face * exp_rf * PROBNORM(dd1)) + va * (1 - exp_div);


  tva = va+inc ;

  dd = (LOG(tva / debt_face) + (rf_net + 0.5 * siga**2) * t_debt) / (siga * SQRT(t_debt));

  dd1 = dd - (siga * SQRT(t_debt));

  debt_bs_up = debt_face * EXP(-r_debt * t_debt) * (1 - PROBNORM(-dd + siga * SQRT(t_debt)) ) + tva * exp_div * PROBNORM(-dd);

  debt_delta = (debt_bs_up - debt_bs) / inc;


/*

    Estimate stk_delta using old volatility

*/


  stk_delta = 1 - debt_delta - warr_delta;


/*

    estimate sige using new volatility

*/

  sige = siga * (va / mve) * stk_delta;


/*

    estimate sige1 using new vola.

*/

  dd = (LOG( va / debt_face) + (rf_net + 0.5 * siga1**2) * t_debt) / (siga1 * SQRT(t_debt));

  dd1 = dd - (siga1 * SQRT(t_debt));


  eqcall1 = va * exp_div * PROBNORM(dd) - debt_face * exp_rf * PROBNORM(dd1) + va * (1 - exp_div);

  debt_bs1 = debt_face * EXP(-r_debt * t_debt) * (1 - PROBNORM(-dd + siga1 * SQRT(t_debt)) ) + va * exp_div * PROBNORM(-dd);

  mve1 = eqcall1 - optosey * w_later1;

  prc1 = mve1 /csho;

  firm_stock_sens = csho * (prc1 - prcc_f);

  sige1 = siga1 * (va / mve1) * stk_delta;

  firm_debt_sens = debt_bs1 - debt_bs;

RUN;


DATA sample;

  SET sample;

  r_ex = r_opt;

  r_un = r_opt;

  mat_ex = t_opt;

  mat_un = t_opt;


  mgr_stock_sens = shrown_excl_opts * (prc1 - prcc_f);


  mgr_option_sens = (exceo_later1 - exceo_later) * opt_unex_exer_num * 1000 + (unceo_later1 - unceo_later) * opt_unex_unexer_num * 1000;


  mgr_debt_sens = . ;

  IF inside_debt >= 0 THEN mgr_debt_sens = (inside_debt / debt_contract) * firm_debt_sens;


  mgr_total_sens = mgr_debt_sens + mgr_stock_sens + mgr_option_sens;

  mgr_equity_sens = mgr_stock_sens + mgr_option_sens;


  IF opt_unex_exer_num > 0 THEN DO;

    dd_ex_simp = (LOG(prcc_f / ex2ex) + (r_ex -divrate_crsp + 0.5*sige**2) * mat_ex) / (sige * SQRT(mat_ex));

    exbsval_simp = opt_unex_exer_num * (prcc_f * EXP(-1 * divrate_crsp * mat_ex) * PROBNORM(dd_ex_simp) - ex2ex * EXP(-1*r_ex*mat_ex) * PROBNORM(dd_ex_simp - sige*SQRT(mat_ex)) );


    dd_ex_simp = (LOG(prcc_f / ex2ex) + (r_ex - divrate_crsp + 0.5 * sige1**2) * mat_ex) / (sige1 * SQRT(mat_ex));

    exbsval_simp1 = opt_unex_exer_num * (prcc_f * EXP(-1 * divrate_crsp * mat_ex) * PROBNORM(dd_ex_simp) - ex2ex * EXP(-1 * r_ex * mat_ex) * PROBNORM(dd_ex_simp - sige1 * SQRT(mat_ex)));

   END;

  ELSE IF opt_unex_exer_num = 0 THEN DO;

    exbsval_simp = 0;

    exbsval_simp1 = 0;

   END;


 IF opt_unex_unexer_num > 0 THEN DO;

    dd_un_simp = (LOG(prcc_f / ex2un) + (r_un - divrate_crsp + 0.5 * sige**2) * mat_un) / (sige * SQRT(mat_un));

    unbsval_simp = opt_unex_unexer_num * (prcc_f * EXP(-1 * divrate_crsp * mat_un) * PROBNORM(dd_un_simp) - ex2un * EXP(-1 * r_un * mat_un) * PROBNORM(dd_un_simp - sige*SQRT(mat_un)) );


    dd_un_simp = (LOG(prcc_f / ex2un) + (r_un - divrate_crsp + 0.5 * sige1**2) * mat_un) / (sige1 * SQRT(mat_un));

    unbsval_simp1 = opt_unex_unexer_num * (prcc_f * EXP(-1 * divrate_crsp * mat_un) * PROBNORM(dd_un_simp) - ex2un * EXP(-1 * r_un*mat_un) * PROBNORM(dd_un_simp - sige1*SQRT(mat_un)) );

   END;

  ELSE IF opt_unex_unexer_num = 0 THEN DO;

    unbsval_simp = 0;

    unbsval_simp1 = 0;

   END;

  ELSE IF optosey = 0 THEN DO;

    unbsval_simp = 0;

   END;


  totvega = ((exbsval_simp1 - exbsval_simp) + (unbsval_simp1 - unbsval_simp)) * 1000;

  IF ceo_opt = 0 THEN DO;

    mgr_option_sens = 0;

    totvega = 0;

    END;

  mgr_total_sens = mgr_debt_sens + mgr_stock_sens + mgr_option_sens;

  mgr_equity_sens = mgr_stock_sens + mgr_option_sens;

RUN;


%IF &i=1 %THEN %DO;

  DATA finsamp;

    SET sample;

  RUN;

%END;


%IF &i>1 %THEN %DO;

  DATA finsamp;

    SET finsamp sample;

  RUN;

%END;


%END;


%mend bigloop ;


OPTIONS NONOTES;


%bigloop;


OPTIONS NOTES;


PROC MEANS DATA = finsamp;

RUN;


PROC MEANS DATA = equal;

RUN;


PROC SQL;

  CREATE TABLE finsamp AS

    SELECT DISTINCT a.*, b.war_val_eq

    FROM finsamp AS a LEFT JOIN equal AS b

    ON a.co_per_rol = b.co_per_rol and a.year = b.year;

QUIT;


PROC SORT DATA = finsamp;

  BY co_per_rol year;

RUN;


PROC MEANS DATA = finsamp;

  VAR co_per_rol year mgr_option_sens va siga war_val_eq exbsval_simp totvega stk_delta debt_delta warr_delta sige1 sige siga1 siga siga_eq;

RUN;


DATA &output_ds;

  SET finsamp;

RUN;


%winsor(dsetin=finsamp, dsetout=finsamp, vars=mgr_debt_sens mgr_stock_sens mgr_option_sens mgr_equity_sens mgr_total_sens, type=winsor, pctl=1 99);


PROC MEANS DATA=finsamp;

  VAR mgr_debt_sens mgr_stock_sens mgr_option_sens mgr_equity_sens mgr_total_sens;

RUN;


PROC MEANS DATA=finsamp (WHERE=(mgr_total_sens ^= .));

    VAR mgr_debt_sens mgr_stock_sens mgr_option_sens mgr_equity_sens mgr_total_sens;

RUN;