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In SAS^® Risk Dimensions^®, the following apply if the base case value for a position is missing:

• The pricing method is not run for the non-base case market states.
• The output variables for non-base case market states remain initialized to zero (0).

What should occur is: if the base case value for a position is missing, then the position should have no effect on any output variable.

There are no warnings or errors.

Either of the following workarounds can be used:

• Remove the positions from the portfolio that have the missing values for the base case.
  • Check the Errors data set to identify positions that have missing values for the base case position.
  • Remove the positions that have missing values for the base case position from the portfolio and then re-create the portfolio file.
  • Rerun the READ statement to re-create the portfolio file either from the Portfolios tab of the UI or by using a PROC RISK step.
• Include code like the following at the end of each pricing method:
  if (_value_ = .) then do; ov1=.; /* adjust for other outvars */ end;
  This example code
  • Initializes "ov1" (a generic, example "output variable 1") to missing.
  • Should be added for all output variables in the methods, adjusting as needed for the specific output variable names.
  • Should be used if additional output variables are added to a risk environment, method, or an analysis.

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 Risk Dimensions Offering 5.4 is available at: