SAS^® Risk Dimensions^® enables you to specify how to distribute cash flows that have maturity dates before or after (rather than exactly on) the specified cash flow bucket dates. Using the RISK procedure, you specify this method of cash flow distribution using the CFDIST= option of the PROJECT statement.

Prior to release 5.3, however, SAS Risk Dimensions incorrectly distributes cash flows that have maturity dates falling outside of the analysis interval bounded by the simulation start date and end date. For these cash flows, the distribution is always the same, regardless of what you specify. Cash flows that have a maturity date before the start date are always put in the first time bucket, and cash flows that have a maturity date after the end date are always ignored. Note that cash flows that have maturity dates falling within the simulation start/end date interval, are handled correctly for all specifications.

Beginning with release 5.3, cash flows outside of the interval are also handled correctly as follows:

• CFDIST= BACKWARD: cash flows before the start date are ignored and those after the end date are placed into the last bucket.
• CFDIST= FORWARD: cash flows before the start date are placed in the first bucket and those after the end date are ignored.
• CFDIST= PRORATE: cash flows before the start date are placed in the first bucket and those after the end date are placed in the last bucket.
• CFDIST= RATIO(r): Cash flows before the start date are multiplied by r and placed in the first bucket and those after the end date are multiplied by 1 - r and placed in the last bucket.

Click the Hot Fix tab in this note to access the hot fix for this issue.

Operating System and Release Information

A fix for this issue for SAS Risk Dimensions Server Component 5.2_M1 is available at: