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SUPPORT / SAMPLES & SAS NOTES
 

Support

Problem Note 46321: Reverse prorate of cash flows cannot be performed

DetailsHotfixAboutRate It
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

Product FamilyProductSystemProduct ReleaseSAS Release
ReportedFixed*ReportedFixed*
SAS SystemSAS Risk Dimensions Enterprise EditionLinux for x645.2_M15.49.2 TS2M39.3 TS1M0
Linux5.2_M15.49.2 TS2M39.3 TS1M0
HP-UX IPF5.2_M15.49.2 TS2M39.3 TS1M0
64-bit Enabled Solaris5.2_M15.49.2 TS2M39.3 TS1M0
64-bit Enabled HP-UX5.2_M15.49.2 TS2M39.3 TS1M0
64-bit Enabled AIX5.2_M15.49.2 TS2M39.3 TS1M0
Windows Vista for x645.2_M15.49.2 TS2M39.3 TS1M0
Windows Vista5.2_M15.49.2 TS2M39.3 TS1M0
Windows 7 Ultimate x645.2_M15.49.2 TS2M39.3 TS1M0
Windows 7 Ultimate 32 bit5.2_M15.49.2 TS2M39.3 TS1M0
Windows 7 Professional x645.2_M15.49.2 TS2M39.3 TS1M0
Windows 7 Professional 32 bit5.2_M15.49.2 TS2M39.3 TS1M0
Windows 7 Home Premium x645.2_M15.49.2 TS2M39.3 TS1M0
Windows 7 Home Premium 32 bit5.2_M15.49.2 TS2M39.3 TS1M0
Windows 7 Enterprise x645.2_M15.49.2 TS2M39.3 TS1M0
Windows 7 Enterprise 32 bit5.2_M15.49.2 TS2M39.3 TS1M0
Microsoft Windows XP Professional5.2_M15.49.2 TS2M39.3 TS1M0
Microsoft Windows Server 2008 for x645.2_M15.49.2 TS2M39.3 TS1M0
Microsoft Windows Server 20085.2_M15.49.2 TS2M39.3 TS1M0
Microsoft Windows Server 2003 for x645.2_M15.49.2 TS2M39.3 TS1M0
Microsoft Windows Server 2003 Standard Edition5.2_M15.49.2 TS2M39.3 TS1M0
Microsoft Windows Server 2003 Enterprise Edition5.2_M15.49.2 TS2M39.3 TS1M0
Solaris for x645.2_M15.49.2 TS2M39.3 TS1M0
Microsoft Windows Server 2003 Datacenter Edition5.2_M15.49.2 TS2M39.3 TS1M0
Microsoft® Windows® for x645.2_M15.49.2 TS2M39.3 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.