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.

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.

Operating System and Release Information

• Replace test-environment-directory with the path of a directory where the test environment should be saved. This directory must exist prior to running the code below.
• Replace test-output-directory with the path of a directory where the output for one case should be saved. This directory must exist prior to running the code below.
• Replace test-output-directory with the path of a directory where the output from the other case should be saved. This directory must exist prior to running the code below.
• Replace SAS-Risk-Dimensions-sample-directory with the path to the SAS Risk Dimensions sample directory. On Windows, the default location of this directory is C:\Program Files\SAS\SASFoundation\9.2\risk\sample.

/* 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: