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>);

where

<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

and the <project-name> project uses an analysis that contains a weighted variable in its KIND option.

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

* 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.

---

A fix for this issue for SAS Risk Dimensions 4.2.1 is available at:

http://www.sas.com/techsup/download/hotfix/ri421.html#030571

---

Type:	Problem Note
Priority:	high

Date Modified:	2008-06-18 10:23:04
Date Created:	2007-11-15 13:43:30