Problem Note 42571: Cash flows with maturity dates before the start date or after the end date are bucketed incorrectly
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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
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS Risk Dimensions Enterprise Edition | Microsoft Windows 95/98 | 4.2 | |||
| Microsoft Windows 2000 Advanced Server | 4.2 | |||||
| Microsoft Windows 2000 Datacenter Server | 4.2 | |||||
| Microsoft Windows 2000 Server | 4.2 | |||||
| Microsoft Windows 2000 Professional | 4.2 | |||||
| Microsoft Windows NT Workstation | 4.2 | |||||
| Microsoft Windows Server 2003 Datacenter Edition | 4.2 | 5.3 | 9.2 TS2M0 | |||
| Microsoft Windows Server 2003 Enterprise Edition | 4.2 | 5.3 | 9.2 TS2M0 | |||
| Microsoft Windows Server 2003 Standard Edition | 4.2 | 5.3 | 9.2 TS2M0 | |||
| Microsoft Windows Server 2003 for x64 | 4.2 | 5.3 | 9.2 TS2M0 | |||
| Microsoft Windows Server 2008 | 4.2 | |||||
| Microsoft Windows Server 2008 for x64 | 4.2 | 5.3 | 9.2 TS2M0 | |||
| Microsoft Windows XP Professional | 4.2 | 5.3 | 9.2 TS2M0 | |||
| Windows 7 Enterprise 32 bit | 4.2 | |||||
| Windows 7 Enterprise x64 | 4.2 | |||||
| Windows 7 Home Premium 32 bit | 4.2 | |||||
| Windows 7 Home Premium x64 | 4.2 | |||||
| Windows 7 Professional 32 bit | 4.2 | |||||
| Windows 7 Professional x64 | 4.2 | |||||
| Windows 7 Ultimate 32 bit | 4.2 | |||||
| Windows 7 Ultimate x64 | 4.2 | |||||
| Windows Millennium Edition (Me) | 4.2 | |||||
| Windows Vista | 4.2 | 5.3 | 9.2 TS2M0 | |||
| Windows Vista for x64 | 4.2 | 5.3 | 9.2 TS2M0 | |||
| 64-bit Enabled AIX | 4.2 | 5.3 | 9.2 TS2M0 | |||
| 64-bit Enabled HP-UX | 4.2 | 5.3 | 9.2 TS2M0 | |||
| 64-bit Enabled Solaris | 4.2 | 5.3 | 9.2 TS2M0 | |||
| HP-UX IPF | 4.2 | 5.3 | 9.2 TS2M0 | |||
| Linux | 4.2 | 5.3 | 9.2 TS2M0 | |||
| Tru64 UNIX | 4.2 | 5.3 | 9.2 TS2M0 | |||