Problem Note 61158: When you use SAS® High-Performance Risk for cashflow scenarios that use pricing methods, the resulting market state caching is incorrect
 |  |  |  |  |
When you use SAS High-Performance Risk for cashflow scenarios that use pricing methods, the resulting market state caching might be incorrect. The problem occurs under the following conditions:
- The pricing method uses arrays,
- the stress scenarios perturb scalar risk factors, and
- you use CACHE=ALL or CACHE=STATES.
There are no errors or warnings.
Workaround
- Do not use market state caching or CACHE=ALL or CACHE=STATES.
- Or avoid reference variables to reference arrays: Either reference the array directly (with no reference variable) or reference the array’s components, perhaps still using reference variables.
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 | Solaris for x64 | 3.7 | 4.1 | 9.4 TS1M4 | 9.4 TS1M5 |
| Linux for x64 | 3.7 | 4.1 | 9.4 TS1M4 | 9.4 TS1M5 | ||
| 64-bit Enabled Solaris | 3.7 | 4.1 | 9.4 TS1M4 | 9.4 TS1M5 | ||
| 64-bit Enabled AIX | 3.7 | 4.1 | 9.4 TS1M4 | 9.4 TS1M5 | ||
| Microsoft® Windows® for x64 | 3.7 | 4.1 | 9.4 TS1M4 | 9.4 TS1M5 | ||
A fix for this issue for SAS High-Performance Risk Server Component 3.9 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/B5E.html#61158A fix for this issue for SAS High-Performance Risk 3.9 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/B6P.html#61158A fix for this issue for SAS High-Performance Risk 3.8 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/B2T.html#61158A fix for this issue for SAS High-Performance Risk 3.7 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/A5W.html#61158
Market state caching is incorrect if pricing methods reference arrays and the stress scenarios perturb scalar risk factors.
| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Financial Analysis |
| Date Modified: | 2017-10-20 13:04:00 |
| Date Created: | 2017-09-26 15:54:30 |