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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