If you run an analysis project with the TRADEMETHODS= and PORTFOLIOPART= options specified, the analysis results might be incorrect. There are no error or warning messages.

The problem occurs because the positions in the trading group might be distributed across processors with no regard to their associated trading group. Positions in a trading group must be processed in a single analysis project that does not use distributed processing.

Spawning macros like %RDGSPAWN and %RDCSPAWN are susceptible to this problem. Do not use these macros as shipped with a project that uses trading groups. You can still adapt those macros to projects that use trading groups, but you should avoid using the PORTFOLIOPART= option in the RUNPROJECT statement.

There are three workarounds:

• Create multiple, smaller portfolios where you distribute the positions, being careful to keep trading groups together. You can then run the analysis project with those multiple portfolios without using the PORTFOLIOPART= option.
• Split processing by market states instead of by instruments.
• Do not spawn a risk project that uses trading groups to perform trades.

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 Risk Dimensions Offering 5.31 is available at:

A fix for this issue for SAS Risk Dimensions Server Component 5.3_M1 is available at:

A fix for this issue for Risk Dimensions 5.3_M1 is available at:

A fix for this issue for SAS Risk Management for Insurance 2.1_M1 is available at: