Problem Note 47177: Identical positions, price caching, and missing values can lead to incorrect valuations
In SAS® Risk Dimensions®, situations can arise which thwart the use of cached instrument values. The situation occurs when a position with a missing mark-to-market value (MtM) is between two instances of a single instrument. Suppose your portfolio data source looks something like the following.
XYZ_stock
missing_stock (_value_=. for basecase)
XYZ_stock
SAS Risk Dimensions prices the first instance of XYZ_stock and caches its prices. After pricing the base case of missing_stock, it does not run the pricing methods on the non-base case market states. However, it does initialize the output variable (outvar) buffer with zeros. When processing the third position, it uses the zeroed buffer. This causes all non-base case market state outvar values to equal 0 for the third position.
There are the following workarounds to avoid this issue.
- Remove positions that have missing values from the portfolio.
- Sort the portfolio to where cache-able positions are adjacent.
There are no warnings or errors.
Operating System and Release Information
| SAS System | SAS Risk Dimensions Enterprise Edition | Windows 7 Enterprise x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 for x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 for x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Standard Edition | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Enterprise Edition | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft® Windows® for x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Enterprise 32 bit | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows XP Professional | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Home Premium 32 bit | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Home Premium x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Professional 32 bit | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Professional x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Ultimate 32 bit | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Ultimate x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows Vista | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows Vista for x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| 64-bit Enabled AIX | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| 64-bit Enabled HP-UX | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| 64-bit Enabled Solaris | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| HP-UX IPF | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Linux | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Linux for x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Solaris for x64 | 5.4 | 5.5 | 9.3 TS1M0 | 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: | alert |
| Date Modified: | 2012-08-28 23:55:08 |
| Date Created: | 2012-08-08 15:50:25 |
