Problem Note 47315: If _cash_ is a missing value, the final output values should also be missing values
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In SAS® Risk Dimensions®, if the value of _cash_ is missing, the final value should be adjusted to missing. However, instead the following occurs:
- If in the base case _cash_ is missing, the adjustment effect of _cash_ is 0.
- In simulations (historical, covariance, Monte Carlo, scenario simulation, and potential exposure) and scenario analyses, there is no check if _cash_ is missing before performing the adjustment. If _cash_ is missing, a floating point exception occurs.
- In other analyses (profit/loss curves and surfaces, sensitivity, and Delta-Normal), there is no adjustment made for _cash_.
The workaround is to avoid setting _cash_ to missing.
Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS Risk Dimensions Enterprise Edition | Microsoft Windows Server 2003 Enterprise Edition | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Standard Edition | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2003 for x64 | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2003 Datacenter Edition | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft® Windows® for x64 | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2008 | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2008 for x64 | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Microsoft Windows XP Professional | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows 7 Enterprise 32 bit | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows 7 Enterprise x64 | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows 7 Home Premium 32 bit | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows 7 Home Premium x64 | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows 7 Professional 32 bit | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows 7 Professional x64 | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows 7 Ultimate 32 bit | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows 7 Ultimate x64 | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows Vista | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Windows Vista for x64 | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| 64-bit Enabled AIX | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| 64-bit Enabled HP-UX | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| 64-bit Enabled Solaris | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| HP-UX IPF | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Linux | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Linux for x64 | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
| Solaris for x64 | 5.3_M1 | 5.5 | 9.2 TS2M3 | 9.3 TS1M0 | ||
A fix for this issue for Risk Dimensions Offering 5.31 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/I51.html#47315A fix for this issue for Risk Dimensions Offering 5.4 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/I52.html#47315| Type: | Problem Note |
| Priority: | alert |
| Topic: | Analytics ==> Financial Analysis Analytics ==> Simulation |
| Date Modified: | 2012-08-28 23:27:41 |
| Date Created: | 2012-08-24 16:16:27 |