When you specify a SAS date as the cashflow bucket start type using the CFBUCKETLIST= option of PROJECT statement in SAS Risk Dimensions 5.2, the specification is not observed if the associated RUNPROJECT statement appears after an environment save and reopen. In this case, the start type is set to the default value of ABSOLUTE.
For example, consider the following SAS code:
proc risk; environment new=work.sample; ... project cash ... ... cfbucketlist= maturity(timegrid1("28JUN2010"d)); ... environment save; run; proc risk; environment open=work.sample; runproject cash; run; |
The results produced by the RUNPROJECT statement above will be for a cashflow analysis using an ABSOLUTE start type. In contrast, if the RUNPROJECT statement is moved into the previous PROC RISK step (following the PROJECT statement), then the "28JUN2010"d specification will be observed.
For a detailed example, see the Full Code tab of this SAS Note.
Note that there is no problem with an ABSOLUTE or a RELATIVE specification. In either case, the start type is correctly observed, regardless of where the RUNPROJECT statement appears.The recommended workaround if you specify a SAS date as the start type using the CFBUCKETLIST= option of the PROJECT statement in SAS Risk Dimensions is to include the RUNPROJECT statement in the PROC RISK step in which the start type is defined.
Click the Hot Fix tab in this note to access the hot fix for this issue.
Note that because SAS® Risk Management for Banking uses the start type functionality of SAS Risk Dimensions, this issue affects cashflow analyses in SAS Risk Management for Banking 2.1. For SAS Risk Management for Banking 2.1, there is no recommended workaround other than applying the SAS Risk Dimensions hot fix.
Product Family | Product | System | Product Release | SAS Release | ||
Reported | Fixed* | Reported | Fixed* | |||
SAS System | SAS Risk Management for Banking | Microsoft® Windows® for x64 | 2.1 | 3.1 | 9.2 TS2M0 | |
Microsoft Windows 95/98 | 2.1 | |||||
Microsoft Windows 2000 Advanced Server | 2.1 | |||||
Microsoft Windows 2000 Datacenter Server | 2.1 | |||||
Microsoft Windows 2000 Server | 2.1 | |||||
Microsoft Windows 2000 Professional | 2.1 | |||||
Microsoft Windows NT Workstation | 2.1 | |||||
Microsoft Windows Server 2003 Datacenter Edition | 2.1 | 3.1 | 9.2 TS2M0 | |||
Microsoft Windows Server 2003 Enterprise Edition | 2.1 | 3.1 | 9.2 TS2M0 | |||
Microsoft Windows Server 2003 Standard Edition | 2.1 | 3.1 | 9.2 TS2M0 | |||
Microsoft Windows Server 2003 for x64 | 2.1 | 3.1 | 9.2 TS2M0 | |||
Microsoft Windows Server 2008 | 2.1 | |||||
Microsoft Windows Server 2008 for x64 | 2.1 | 3.1 | 9.2 TS2M0 | |||
Microsoft Windows XP Professional | 2.1 | 3.1 | 9.2 TS2M0 | |||
Windows 7 Enterprise 32 bit | 2.1 | |||||
Windows 7 Enterprise x64 | 2.1 | |||||
Windows 7 Home Premium 32 bit | 2.1 | |||||
Windows 7 Home Premium x64 | 2.1 | |||||
Windows 7 Professional 32 bit | 2.1 | |||||
Windows 7 Professional x64 | 2.1 | |||||
Windows 7 Ultimate 32 bit | 2.1 | |||||
Windows 7 Ultimate x64 | 2.1 | |||||
Windows Millennium Edition (Me) | 2.1 | |||||
Windows Vista | 2.1 | 3.1 | 9.2 TS2M0 | |||
Windows Vista for x64 | 2.1 | 3.1 | 9.2 TS2M0 | |||
64-bit Enabled AIX | 2.1 | 3.1 | 9.2 TS2M0 | |||
64-bit Enabled HP-UX | 2.1 | 3.1 | 9.2 TS2M0 | |||
64-bit Enabled Solaris | 2.1 | 3.1 | 9.2 TS2M0 | |||
HP-UX IPF | 2.1 | 3.1 | 9.2 TS2M0 | |||
Linux | 2.1 | 3.1 | 9.2 TS2M0 | |||
Linux for x64 | 2.1 | 3.1 | 9.2 TS2M0 | |||
Solaris for x64 | 2.1 | 3.1 | 9.2 TS2M0 | |||
SAS System | SAS Risk Dimensions Enterprise Edition | Microsoft® Windows® for x64 | 5.2 | 5.3 | 9.2 TS2M0 | |
Microsoft Windows 95/98 | 5.2 | |||||
Microsoft Windows 2000 Advanced Server | 5.2 | |||||
Microsoft Windows 2000 Datacenter Server | 5.2 | |||||
Microsoft Windows 2000 Server | 5.2 | |||||
Microsoft Windows 2000 Professional | 5.2 | |||||
Microsoft Windows NT Workstation | 5.2 | |||||
Microsoft Windows Server 2003 Datacenter Edition | 5.2 | 5.3 | 9.2 TS2M0 | |||
Microsoft Windows Server 2003 Enterprise Edition | 5.2 | 5.3 | 9.2 TS2M0 | |||
Microsoft Windows Server 2003 Standard Edition | 5.2 | 5.3 | 9.2 TS2M0 | |||
Microsoft Windows Server 2003 for x64 | 5.2 | 5.3 | 9.2 TS2M0 | |||
Microsoft Windows Server 2008 | 5.2 | |||||
Microsoft Windows Server 2008 for x64 | 5.2 | 5.3 | 9.2 TS2M0 | |||
Microsoft Windows XP Professional | 5.2 | 5.3 | 9.2 TS2M0 | |||
Windows 7 Enterprise 32 bit | 5.2 | |||||
Windows 7 Enterprise x64 | 5.2 | |||||
Windows 7 Home Premium 32 bit | 5.2 | |||||
Windows 7 Home Premium x64 | 5.2 | |||||
Windows 7 Professional 32 bit | 5.2 | |||||
Windows 7 Professional x64 | 5.2 | |||||
Windows 7 Ultimate 32 bit | 5.2 | |||||
Windows 7 Ultimate x64 | 5.2 | |||||
Windows Millennium Edition (Me) | 5.2 | |||||
Windows Vista | 5.2 | 5.3 | 9.2 TS2M0 | |||
Windows Vista for x64 | 5.2 | 5.3 | 9.2 TS2M0 | |||
64-bit Enabled AIX | 5.2 | 5.3 | 9.2 TS2M0 | |||
64-bit Enabled HP-UX | 5.2 | 5.3 | 9.2 TS2M0 | |||
64-bit Enabled Solaris | 5.2 | 5.3 | 9.2 TS2M0 | |||
HP-UX IPF | 5.2 | 5.3 | 9.2 TS2M0 | |||
Linux | 5.2 | 5.3 | 9.2 TS2M0 | |||
Linux for x64 | 5.2 | 5.3 | 9.2 TS2M0 | |||
Solaris for x64 | 5.2 | 5.3 | 9.2 TS2M0 |
/* Define libraries that are referenced in the code below. */
libname test 'test-environment-directory';
libname outa 'test-output-directory';
libname outb 'test-output-directory';
%let sampdir= SAS-Risk-Dimensions-sample-directory;
libname risksamp "&sampdir";
/* Build the sample cashflow environment. */
%include "&sampdir\cfsamp.sas";
/* Define the rundate used below */
%let date="28NOV2008"d;
/* Copy the sample environment to a test location. */
proc risk;
environment open=risksamp.cfsamp;
environment saveas=test.cfsamp;
run;
/* Run the test. */
proc risk;
environment open=test.cfsamp;
project cashc
data = ( CurrentMarket CurrentVDat HistoricalMarket )
rftrans = ( Derived_FX_Fwd_Curves
Derived_FX_Spot
Aliases )
portfolio = Firmwide1
analysis = ( CFtrad CFpartdur )
numeraire = USD
cfbucketlist = ( maturity(bucket1("28JUN2009"d)) ) /* <--start type is a set date here */
rundate = &date
options=( outall );
runproject cashc outlib=outa; /* <--the set-date start type is observed */
environment save;
run;
proc risk;
environment open=test.cfsamp;
runproject cashc outlib=outb; /* <--the set-date start type is not observed (absolute is used instead) */
environment save;
run;
proc compare base=outa.allprice compare=outb.allprice;
run;
A fix for this issue for SAS Risk Dimensions Server Component 5.2_M1 is available at:
http://ftp.sas.com/techsup/download/hotfix/HF2/B42.html#42792Type: | Problem Note |
Priority: | high |
Date Modified: | 2011-06-22 10:06:34 |
Date Created: | 2011-03-28 10:24:16 |