Problem Note 37518: Foreign exchange rate not applied to simulated values
When you run a simulation analysis in SAS® Risk Dimensions® that involves a foreign currency and a cashflow object such as a cashflow structure in a pricing method or a cashflow analysis, the currency conversion might not get applied to some simulated instrument position valuations.
There are several workarounds for this issue. The following list of workarounds is ordered, beginning with the workaround that has the least amount of performance impact to the job:
- Include a current exposure analysis in the analysis project which contains the simulation analysis.
- Specify the EXPOSURE option in the KIND= option of the simulation analysis.
- Specify the NOOPTIMIZE option in a SETOPTIONS statement prior to specifying the project that contains the simulation analysis.
For more information about specifying RISK procedure statements and options, refer to the SAS Risk Dimensions documentation.
Operating System and Release Information
| SAS System | SAS Risk Dimensions Enterprise Edition | Microsoft Windows 2000 Advanced Server | 4.2.1 | | 9.1 TS1M3 SP4 | |
| Microsoft Windows 2000 Datacenter Server | 4.2.1 | | 9.1 TS1M3 SP4 | |
| Microsoft Windows 2000 Server | 4.2.1 | | 9.1 TS1M3 SP4 | |
| Microsoft Windows 2000 Professional | 4.2.1 | | 9.1 TS1M3 SP4 | |
| 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.
| Type: | Problem Note |
| Priority: | high |
| Date Modified: | 2010-08-31 12:17:56 |
| Date Created: | 2009-10-21 10:53:09 |
