SUPPORT / SAMPLES & SAS NOTES
Problem Note 30571: Weighted output variables are incorrectly computed when using the AGLIB option in the RUNPROJECT statement within PROC RISK
 |  |  |  |  |
Weighted variables are variables which do not simply sum but require a weight when aggregating. Examples include RETURN, value-weighted variables, and exposure-weighted variables.
When using an aggregation library to compute output variables in SAS Risk Dimensions, the weighted output variables are incorrectly computed. No errors or warnings are produced. The following specification will produce the incorrect results:
-
RUNPROJECT <project-name> PORTFOLIO=<portfolio-name>(AGLIB=<libname>);
- <project-name>
- is the name of the analysis project
- <portfolio-name>
- is the name of the portfolio file
- <libname>
- is the name of the aggregation library
To circumvent this problem, run the project without using the AGLIB option when computing weighted output variables.
Click on the Hot Fix tab to access the hot fix that addresses this issue.
Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS Risk Dimensions Enterprise Edition | Microsoft® Windows® for x64 | 4.2.1 | 5.2 | 9.1 TS1M3 SP4 | 9.2 TS2M0 |
| Microsoft Windows 2000 Advanced Server | 4.2.1 | 5.2 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Microsoft Windows 2000 Datacenter Server | 4.2.1 | 5.2 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Microsoft Windows 2000 Server | 4.2.1 | 5.2 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Microsoft Windows 2000 Professional | 4.2.1 | 5.2 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Microsoft Windows NT Workstation | 4.2.1 | 9.1 TS1M3 SP4 | ||||
| Microsoft Windows Server 2003 Datacenter Edition | 4.2.1 | 5.2 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Microsoft Windows Server 2003 Enterprise Edition | 4.2.1 | 5.2 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Microsoft Windows Server 2003 Standard Edition | 4.2.1 | 5.2 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Microsoft Windows XP Professional | 4.2.1 | 5.2 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Windows Vista | 4.2.1 | 5.2 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| 64-bit Enabled AIX | 4.2.1 | 5.2 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| 64-bit Enabled HP-UX | 4.2.1 | 5.2 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| 64-bit Enabled Solaris | 4.2.1 | 5.2 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| HP-UX IPF | 4.2.1 | 5.2 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Linux | 4.2.1 | 5.2 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||