Problem Note 45823: Spawned project results might be incorrect when a trading group is specified
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
SAS System | SAS Risk Dimensions Enterprise Edition | Linux | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
HP-UX IPF | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
64-bit Enabled Solaris | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
64-bit Enabled HP-UX | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
64-bit Enabled AIX | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows Vista for x64 | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows Vista | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows 7 Ultimate x64 | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows 7 Ultimate 32 bit | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows 7 Professional x64 | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows 7 Professional 32 bit | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows 7 Home Premium x64 | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows 7 Home Premium 32 bit | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows 7 Enterprise x64 | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Windows 7 Enterprise 32 bit | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows XP Professional | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows Server 2008 for x64 | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows Server 2008 R2 | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows Server 2008 | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows Server 2003 for x64 | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows Server 2003 Standard Edition | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows Server 2003 Enterprise Edition | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Linux for x64 | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft Windows Server 2003 Datacenter Edition | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Microsoft® Windows® for x64 | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
Solaris for x64 | 5.3_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M2 |
*
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: | 2014-12-03 05:57:01 |
Date Created: | 2012-02-27 20:36:12 |