Create new variables from format values

Update to add an _ underscore to the end of each name. It looks like there is not option for PROC TRANSREG to put an underscore between the variable name and the value of the class variable so we can just do a temporary rename. Create rename name=newname pairs to rename class variable to end in underscore and to rename them back. CAT functions and SQL into macro variables.

data have;
   call streaminit(1234);
   do caseID = 1 to 1e4;
      fumert1 = rand('table',.2,.2,.2) - 1;
      sex = first(substrn('MF',rand('table',.5),1));
      output;
      end;
   stop;
   run;
%let class=sex fumert1;
proc transpose data=have(obs=0) out=vnames;
   var &class;
   run;
proc print;
   run;
proc sql noprint;
   select catx('=',_name_,cats(_name_,'_')), catx('=',cats(_name_,'_'),_name_), cats(_name_,'_')
      into :rename1 separated by ' ', :rename2 separated by ' ', :class2 separated by ' '
      from vnames;
   quit;
%put NOTE: &=rename1;
%put NOTE: &=rename2;
%put NOTE: &=class2;
proc transreg data=have(rename=(&rename1));
   model class(&class2 / zero=none);
   id caseid;
   output out=design(drop=_: inter: rename=(&rename2)) design;
   run;
%put NOTE: _TRGIND(&_trgindn)=&_trgind;

First try: Looking at the code you supplied and the output from Joe's I don't really understand the need for the formats. It looks to me like you just want to create dummies for a list of class variables. That can be done with TRANSREG.

data have;
   call streaminit(1234);
   do caseID = 1 to 1e4;
      fumert1 = rand('table',.2,.2,.2) - 1;
      sex = first(substrn('MF',rand('table',.5),1));
      output;
      end;
   stop;
   run;

proc transreg data=have;
   model class(sex fumert1 / zero=none);
   id caseid;
   output out=design(drop=_: inter:) design;
   run;
proc contents;
   run;
proc print data=design(obs=40);
   run;