Problem Note 48140: Incorrect handling of cash flow legs when buckets are of unequal lengths
SAS® Risk Dimensions handles cash flow bucketing incorrectly when a position has buckets with different lengths. The manifestations of this problem are as follows.
- Suppose a position sets these _cashflow_ properties: _cashflow_.num=N1, _cashflow_.leg contains L1 entries, and L1>N1. The entries N1+1 through L1 of the leg are ignored. (In particular, if _cashflow_.num=0 (that is, N1=0), then none of the legs are bucketed.)
- Suppose a portfolio has two consecutive _cashflow_ positions (position1 and position2) with these properties.
- For position1, _cashflow_.num=0, _cashflow_.leg contains L1 entries, and L1>0.
- For position2, _cashflow_.num=N2, N2>0, _cashflow_.leg contains L2 entries, L2<N2, and L2<L1.
Then _cashflow_.leg of position2 borrows entries L2+1 to N2 from position1's unused _cashflow_.leg.
There are no warnings or errors.
A workaround is to force all legs to have the same length. You can pad the shorter legs with matamt=0 and matdate=0.
Click the Hot Fix tab in this note to access the hot fix for this issue.
Operating System and Release Information
| SAS System | SAS Risk Dimensions Enterprise Edition | Microsoft® Windows® for x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Enterprise Edition | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Standard Edition | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 for x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 for x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows XP Professional | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Enterprise 32 bit | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Enterprise x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Home Premium 32 bit | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Home Premium x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Professional 32 bit | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Professional x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Ultimate 32 bit | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Ultimate x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows Vista | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows Vista for x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| 64-bit Enabled AIX | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| 64-bit Enabled HP-UX | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| 64-bit Enabled Solaris | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| HP-UX IPF | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Linux | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Linux for x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Solaris for x64 | 5.31 | 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: | high |
| Topic: | Analytics ==> Financial Analysis
|
| Date Modified: | 2012-11-09 09:12:49 |
| Date Created: | 2012-10-12 13:41:51 |
