SUPPORT / SAMPLES & SAS NOTES
Problem Note 51086: Cash flows and instrument values for instruments that use floating rates are incorrect
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The cash flows that are generated by SAS® Risk Management for Banking or SAS® Risk Management for Insurance for instruments that use floating rates are incorrect. The calculated values of such instruments are also incorrect. The difference from the correct value is, in most cases, small.
The reason for the difference is that the function RSK_IMPLIED_FWD_RATE calculates the implied forward rate based on continuous rates. This is incorrect, and discrete annual rates should be used instead.
Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS Risk Management for Banking | Microsoft® Windows® for x64 | 3.11 | 3.2 | 9.4 TS1M0 | |
| Microsoft Windows 8 Enterprise 32-bit | 3.11 | 3.2 | 9.4 TS1M0 | |||
| Microsoft Windows 8 Enterprise x64 | 3.11 | 3.2 | 9.4 TS1M0 | |||
| Microsoft Windows 8 Pro 32-bit | 3.11 | 3.2 | 9.4 TS1M0 | |||
| Microsoft Windows 8 Pro x64 | 3.11 | 3.2 | 9.4 TS1M0 | |||
| Microsoft Windows Server 2008 R2 | 3.11 | 3.2 | 9.4 TS1M0 | |||
| Microsoft Windows Server 2008 for x64 | 3.11 | 3.2 | 9.4 TS1M0 | |||
| Microsoft Windows Server 2012 Datacenter | 3.11 | 3.2 | 9.4 TS1M0 | |||
| Microsoft Windows Server 2012 Std | 3.11 | 3.2 | 9.4 TS1M0 | |||
| Windows 7 Enterprise x64 | 3.11 | 3.2 | 9.4 TS1M0 | |||
| Windows 7 Professional x64 | 3.11 | 3.2 | 9.4 TS1M0 | |||
| 64-bit Enabled AIX | 3.11 | 3.2 | 9.4 TS1M0 | |||
| 64-bit Enabled HP-UX | 3.11 | 3.2 | 9.4 TS1M0 | |||
| 64-bit Enabled Solaris | 3.11 | 3.2 | 9.4 TS1M0 | |||
| HP-UX IPF | 3.11 | 3.2 | 9.4 TS1M0 | |||
| Linux | 3.11 | 3.2 | 9.4 TS1M0 | |||
| Linux for x64 | 3.11 | 3.2 | 9.4 TS1M0 | |||
| Solaris for x64 | 3.11 | 3.2 | 9.4 TS1M0 | |||
| SAS System | SAS Risk Management for Insurance | Microsoft® Windows® for x64 | 2.1 | |||
| Microsoft Windows 8 Enterprise 32-bit | 2.1 | |||||
| Microsoft Windows 8 Enterprise x64 | 2.1 | |||||
| Microsoft Windows 8 Pro 32-bit | 2.1 | |||||
| Microsoft Windows 8 Pro x64 | 2.1 | |||||
| Microsoft Windows Server 2008 R2 | 2.1 | |||||
| Microsoft Windows Server 2008 for x64 | 2.1 | |||||
| Microsoft Windows Server 2012 Datacenter | 2.1 | |||||
| Microsoft Windows Server 2012 Std | 2.1 | |||||
| Windows 7 Enterprise 32 bit | 2.1 | |||||
| Windows 7 Enterprise x64 | 2.1 | |||||
| Windows 7 Professional 32 bit | 2.1 | |||||
| Windows 7 Professional x64 | 2.1 | |||||
| 64-bit Enabled AIX | 2.1 | |||||
| 64-bit Enabled HP-UX | 2.1 | |||||
| 64-bit Enabled Solaris | 2.1 | |||||
| HP-UX IPF | 2.1 | |||||
| Linux | 2.1 | |||||
| Linux for x64 | 2.1 | |||||
| Solaris for x64 | 2.1 | |||||