Problem Note 60393: In the cash flow output data set, the maturity amount (MatAmt) might be missing if the maturity date (MatDate) is missing
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SAS® High-Performance Risk does not write the maturity amount (MatAmt) in the cash flow output data set if the maturity date (MatDate) is missing, but SAS® Risk Dimensions® does.
This behavior occurs because SAS High-Performance Risk does not pull a foreign exchange rate (fxrate) from a curve to convert the MatAmt to the proper numeraire value, and the value is set to missing. However, SAS Risk Dimensions reverts to the spot fxrate, and the MatAmt value is nonmissing. SAS High-Performance Risk should also revert to the spot fxrate for the MatAmt conversion calculation.
Click the Hot Fix tab in this note to access the hot fix for this issue.
Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS High-Performance Risk | 64-bit Enabled AIX | 3.7 | 3.8 | 9.4 TS1M4 | 9.4 TS1M4 |
| Microsoft® Windows® for x64 | 3.7 | 3.8 | 9.4 TS1M4 | 9.4 TS1M4 | ||
| Linux for x64 | 3.7 | 3.8 | 9.4 TS1M4 | 9.4 TS1M4 | ||
| Solaris for x64 | 3.7 | 3.8 | 9.4 TS1M4 | 9.4 TS1M4 | ||
| 64-bit Enabled Solaris | 3.7 | 3.8 | 9.4 TS1M4 | 9.4 TS1M4 | ||
A fix for this issue for SAS High Performance Risk 3.7 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/A5W.html#60393A fix for this issue for SAS High-Performance Risk 3.7 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/A5W.html#60393| Type: | Problem Note |
| Priority: | medium |
| Topic: | Analytics ==> Financial Analysis |
| Date Modified: | 2017-05-11 08:42:32 |
| Date Created: | 2017-05-02 11:28:35 |