Problem Note 45953: SURFACE_VALUE function returns incorrect results
When you call the SURFACE_VALUE function in SAS® Risk Dimensions®, it might return incorrect results. There are no error or warning messages.
The problem occurs when the dimensions that are specified in the call to the SURFACE_VALUE function are dependent on a risk factor that is not referenced by any pricing methods. The result is that the basecase value of the risk factor is used, instead of a value that is set in an analysis or a transformation method.
For example, suppose that you have the following:
call surface_value(Array1,2,4);
and that the value of Array1 at (2,4) relies on the risk factor RF1.
If no pricing method references RF1, either directly or through a reference variable, then the basecase value of RF1 is used instead of any perturbed value of RF1 that is set in an analysis or a transformation method.
There is no workaround.
Click the Hot Fix tab in this note to access the hot fix for this issue.
Operating System and Release Information
| SAS System | SAS Risk Dimensions Enterprise Edition | Microsoft® Windows® for x64 | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Enterprise Edition | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Standard Edition | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 for x64 | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 for x64 | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows XP Professional | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Enterprise 32 bit | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Enterprise x64 | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Home Premium 32 bit | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Home Premium x64 | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Professional 32 bit | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Professional x64 | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Ultimate 32 bit | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Ultimate x64 | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows Vista | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows Vista for x64 | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled AIX | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled HP-UX | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled Solaris | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| HP-UX IPF | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Linux | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Linux for x64 | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Solaris for x64 | 5.3 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
*
For software releases that are not yet generally available, the Fixed
Release is the software release in which the problem is planned to be
fixed.
| Type: | Problem Note |
| Priority: | high |
| Date Modified: | 2012-03-30 09:05:24 |
| Date Created: | 2012-03-07 11:44:16 |
