This document describes a SAS programming project to calculate the moving volatility and correlation matrix for 15 currency daily quote ratios over a user-defined time period using array, macro, and system functions. The program is required to filter out bad dates, allow customization via macro programming, and output the variables' volatilities and lower triangle of the correlation matrix to a text file.

1. Advance SAS Programming Currency Volatilities and CorrelationsUC Berkeley Extension

2. Project DetailCurrency Vol and CorrProgram Focus: Array, Macro Programming, Sys Functions and ModularityVariables: Date & 15 currency daily quote ratiosConstraints: Missing values present Program Objective: Calculate the moving volatility and correlation matrix for the given variables and a user defined time period.Program Results: Display, within a text file, variables’ volitilities and the lower triangle of the variables’ correlation matrix

3. Project RequirementsCurrency Vol and CorrBuilt-in filter to flag and exclude bad datesUser defined time window for volatility calculationCustomize and extend modularity via macro programming

4. Project ResultsCurrency Vol and Corr