Problem Note 47222: If the base case value is missing, the pricing method is not run for non-base case market states; results based on output variables can be incorrect
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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
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS Risk Dimensions Enterprise Edition | Microsoft® Windows® 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 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 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#47222A fix for this issue for Risk Dimensions Offering 5.4 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/I52.html#47222| Type: | Problem Note |
| Priority: | alert |
| Topic: | Analytics ==> Financial Analysis Analytics ==> Simulation |
| Date Modified: | 2012-08-28 23:52:06 |
| Date Created: | 2012-08-13 16:43:07 |