Problem Note 48770: Possibility of incorrect results when using Holding in a pricing method and including trading in the project
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In SAS® Risk Dimensions®, if a pricing method references the Holding variable and the project includes trading, then the holding value in the method and the holding adjustment after pricing might use inconsistent values.
When this problem occurs, a message similar to the following is generated:
WARNING: The project indicates to run a trading method on the position "my_instid"
which uses the pricing method "my_pricing_method." This method references the variable
HOLDING and might produce incorrect values.
The workaround is to avoid referencing the Holding variable in a pricing method, when the project includes trading.
which uses the pricing method "my_pricing_method." This method references the variable
HOLDING and might produce incorrect values.
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 | 5.5 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 5.5 | 9.3 TS1M1 | ||||
| Microsoft Windows Server 2003 Enterprise Edition | 5.5 | 9.3 TS1M1 | ||||
| Microsoft Windows Server 2003 Standard Edition | 5.5 | 9.3 TS1M1 | ||||
| Microsoft Windows Server 2003 for x64 | 5.5 | 9.3 TS1M1 | ||||
| Microsoft Windows Server 2008 | 5.5 | 9.3 TS1M1 | ||||
| Microsoft Windows Server 2008 for x64 | 5.5 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Microsoft Windows XP Professional | 5.5 | 9.3 TS1M1 | ||||
| Windows 7 Enterprise 32 bit | 5.5 | 9.3 TS1M1 | ||||
| Windows 7 Enterprise x64 | 5.5 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Windows 7 Home Premium 32 bit | 5.5 | 9.3 TS1M1 | ||||
| Windows 7 Home Premium x64 | 5.5 | 9.3 TS1M1 | ||||
| Windows 7 Professional 32 bit | 5.5 | 9.3 TS1M1 | ||||
| Windows 7 Professional x64 | 5.5 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Windows 7 Ultimate 32 bit | 5.5 | 9.3 TS1M1 | ||||
| Windows 7 Ultimate x64 | 5.5 | 9.3 TS1M1 | ||||
| Windows Vista | 5.5 | 9.3 TS1M1 | ||||
| Windows Vista for x64 | 5.5 | 9.3 TS1M1 | ||||
| 64-bit Enabled AIX | 5.5 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| 64-bit Enabled HP-UX | 5.5 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| 64-bit Enabled Solaris | 5.5 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| HP-UX IPF | 5.5 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Linux | 5.5 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Linux for x64 | 5.5 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Solaris for x64 | 5.5 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Type: | Problem Note |
| Priority: | high |
| Date Modified: | 2013-05-16 14:28:00 |
| Date Created: | 2012-12-19 18:33:49 |