Problem Note 16997: Exposure and Collateral are not calculated correctly when a RUNPROJECT breakup is used
When using a RUNPROJECT breakup with VALUES as the starting point, the SAS
® Risk Dimensions
® Exposure results might not be correct. In particular, offsetting negative position values are set to 0 and therefore cannot offset the resulting Exposure. Similarly, Collateral values are also not accounted for in the Exposure results when a RUNPROJECT breakup is used.
There is no workaround for this problem.
Select the Hot Fix tab in this note to access the hot fix for this issue.
Operating System and Release Information
| SAS System | SAS Risk Dimensions Enterprise Edition | Microsoft Windows NT Workstation | 4.2 | | 9.1 TS1M3 SP2 | |
| Microsoft Windows XP Professional | 4.2 | 5.2 | 9.1 TS1M3 SP2 | 9.2 TS2M0 |
| Microsoft Windows 2000 Professional | 4.2 | | 9.1 TS1M3 SP2 | |
| Microsoft Windows 2000 Server | 4.2 | | 9.1 TS1M3 SP2 | |
| Microsoft Windows 2000 Advanced Server | 4.2 | | 9.1 TS1M3 SP2 | |
| Microsoft Windows 2000 Datacenter Server | 4.2 | | 9.1 TS1M3 SP2 | |
| Solaris | 4.2 | 5.2 | 9.1 TS1M3 SP2 | 9.2 TS2M0 |
| 64-bit Enabled Solaris | 4.2 | 5.2 | 9.1 TS1M3 SP2 | 9.2 TS2M0 |
| 64-bit Enabled HP-UX | 4.2 | 5.2 | 9.1 TS1M3 SP2 | 9.2 TS2M0 |
| Linux | 4.2 | 5.2 | 9.1 TS1M3 SP2 | 9.2 TS2M0 |
| HP-UX | 4.2 | 5.2 | 9.1 TS1M3 SP2 | 9.2 TS2M0 |
| 64-bit Enabled AIX | 4.2 | 5.2 | 9.1 TS1M3 SP2 | 9.2 TS2M0 |
| Tru64 UNIX | 4.2 | 5.2 | 9.1 TS1M3 SP2 | 9.2 TS2M0 |
| AIX | 4.2 | 5.2 | 9.1 TS1M3 SP2 | 9.2 TS2M0 |
*
For software releases that are not yet generally available, the Fixed
Release is the software release in which the problem is planned to be
fixed.
| Type: | Problem Note |
| Priority: | medium |
| Date Modified: | 2008-08-28 14:48:55 |
| Date Created: | 2006-02-02 10:12:37 |
