SAS RD Cap pricing

srijan_rc — Mon, 05 Mar 2018 06:39:46 GMT

Hi,

I am trying to price a cap using pm_cf_cashflow_structure. I am using HULLWHITE as the model to be used for cap pricing. I am getting an error where the parameter matrix values are not getting allocated as required. Request help on steps to be followed to set up the required parameter matrix.

Currently I have tried using ANALYTICAL_MODEL_PARAMETER table to pass the parameters and created a parameter table HULLWHITE using ANALYTICAL_MODEL_PARAMETER as the market data source. I am getting the following error during execution of the analysis.

"WARNING: '008' passed to PMXELEM is not a valid row or column name.
ERROR: An exception has been encountered.
Please contact technical support and provide them with the following traceback information:

The SAS task name is [RISK (2)]
Segmentation Violation

520 The SAS System 10:12 Monday, March 5, 2018

Traceback of the Exception:

rskpid+0x27c
get_pmx_index+0x214
rskpme+0x550
0x29ea56c8c(?)
cmpfrun@AF8_7+0x104
cmpfrun+0x38 -- bridge stub
rskrcmp+0x220
rskexab@AF50_25+0x6c
rskrun2+0xb3c
rskrun+0x2158
rskrun+0x38 -- bridge stub
runproject_stmt+0x1b8
rspstmt+0x218
sasrisk+0x7e0
vvtentr+0x194
_pthread_body+0xf0

Re: SAS RD Cap pricing

SASKiwi — Mon, 05 Mar 2018 07:24:36 GMT

As recommended in the SAS log, this type of problem is best resolved by opening a track with SAS Technical Support. They are in the best position to analyse traceback logs.

topic SAS RD Cap pricing in SAS Risk Management

SAS RD Cap pricing

Re: SAS RD Cap pricing