Problem Note 46321: Reverse prorate of cash flows cannot be performed
In SAS
® Risk Dimensions
®, the prorating of cash flows refers to the fraction of a cash flow that is assigned to a specific time bucket. For example, the bucketing time grid is (30 day, 60 day) and one cash flow position with two cash flows (amounts CFAmt1 and CFAmt2) to bucket as described by the following portion of a PROC COMPILE method.
_cashflow_.n = 2;
_cashflow_.matdate[1] = basedate + 10;
_cashflow_.matamt[1] = CFAmt1;
_cashflow_.matdate[2] = basedate + 40;
_cashflow_.matamt[2] = CFAmt2;
The following picture helps visualize the cash flows relative to the bucket dates. The "Bucket Date 1" is the basedate; the "Bucket Date 2" is 30 days after the basedate; and the "Bucket Date 3" is 60 days after the basedate.
Bucket Bucket Bucket
Date 1 Date 2 Date 3
| | |
--------------------------------------------------------------> time
| |
CFAmt1 CFAmt2
Bucketing these cash flows with standard prorating assigns 1/3*CFAmt1 to bucket1, 2/3*CFAmt1 + 1/3*CFAmt2 to bucket2, and 2/3*CFAmt2 to bucket3.
Bucketing these cash flows with reverse prorating assigns 2/3*CFAmt1 to bucket1, 1/3*CFAmt1 + 2/3*CFAmt2 to bucket2, and 1/3*CFAmt2 to bucket3.
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 for x64 | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Linux | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| HP-UX IPF | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled Solaris | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled HP-UX | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled AIX | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows Vista for x64 | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows Vista | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Ultimate x64 | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Ultimate 32 bit | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Professional x64 | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Professional 32 bit | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Home Premium x64 | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Home Premium 32 bit | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Enterprise x64 | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Enterprise 32 bit | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows XP Professional | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 for x64 | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 for x64 | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Standard Edition | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Enterprise Edition | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Solaris for x64 | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 5.2_M1 | 5.4 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft® Windows® for x64 | 5.2_M1 | 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: | 2012-04-18 14:05:17 |
| Date Created: | 2012-04-16 15:35:14 |
