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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.

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Operating System and Release Information

Product FamilyProductSystemProduct ReleaseSAS Release
ReportedFixed*ReportedFixed*
SAS SystemSAS High-Performance Risk64-bit Enabled AIX3.73.89.4 TS1M49.4 TS1M4
Microsoft® Windows® for x643.73.89.4 TS1M49.4 TS1M4
Linux for x643.73.89.4 TS1M49.4 TS1M4
Solaris for x643.73.89.4 TS1M49.4 TS1M4
64-bit Enabled Solaris3.73.89.4 TS1M49.4 TS1M4
* 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.