topic Re: Understanding of MIP iteration approach in SAS Risk Management

Understanding of MIP iteration approach

pierrevanstulov — Wed, 22 Aug 2018 13:45:10 GMT

Hello!

My question is about SAS MIP 2.4.

I have a test portfolio with 2 dates for 3 loans (01JUL and 01AUG), so I have 6 records in portfolio DS. I have economics scenario data set with only one (base) scenario. My As-of-date is 01JUL, Monte Carlo simulation is disabled, and number of horizons to simulate is 1. I created the following simple UDL to see MIP iteration approach:

BEGINBLOCK LOAN_INIT;													
ENDBLOCK;

BEGINBLOCK MAIN;
	if (simulationhorizon eq 0) then do;		
	end; else do;
	end;
	
        put "SIMULATION_HORIZON=" simulationhorizon;
        put "InstId=" InstId;
        put "MCSimulationRep=" MCSimulationRep;
            		
	_VALUE_ = 1.0; 
ENDBLOCK;

As a result I got the following output in log:

SIMULATION_HORIZON= 0
InstId= L1
MCSimulationRep= 1

SIMULATION_HORIZON= 0
InstId= L2
MCSimulationRep= 1

SIMULATION_HORIZON= 0

InstId= L2
MCSimulationRep= 1

SIMULATION_HORIZON= 0
InstId= L3
MCSimulationRep= 1

SIMULATION_HORIZON= 0
InstId= L1
MCSimulationRep= 1

SIMULATION_HORIZON= 1
InstId= L1
MCSimulationRep= 1

SIMULATION_HORIZON= 0
InstId= L1
MCSimulationRep= 1

SIMULATION_HORIZON= 1
InstId= L1
MCSimulationRep= 1

SIMULATION_HORIZON= 0
InstId= L2
MCSimulationRep= 1

SIMULATION_HORIZON= 1
InstId= L2
MCSimulationRep= 1

SIMULATION_HORIZON= 0
InstId= L2
MCSimulationRep= 1

SIMULATION_HORIZON= 1
InstId= L2
MCSimulationRep= 1

SIMULATION_HORIZON= 0
InstId= L3
MCSimulationRep= 1

SIMULATION_HORIZON= 1
InstId= L3
MCSimulationRep= 1

SIMULATION_HORIZON= 0
InstId= L3
MCSimulationRep= 1

SIMULATION_HORIZON= 1
InstId= L3
MCSimulationRep= 1

But according to documentation I expected to see the following:

SIMULATION_HORIZON= 0
InstId= L1
MCSimulationRep= 1

SIMULATION_HORIZON= 1
InstId= L1
MCSimulationRep= 1

SIMULATION_HORIZON= 0
InstId= L2
MCSimulationRep= 1

SIMULATION_HORIZON= 1
InstId= L2
MCSimulationRep= 1

SIMULATION_HORIZON= 0
InstId= L3
MCSimulationRep= 1

SIMULATION_HORIZON= 1
InstId= L3
MCSimulationRep= 1

Why does MIP perform so many iterations with the same combination of SIMULATION_HORIZON and InstId?

Re: Understanding of MIP iteration approach

AMSAS — Thu, 23 Aug 2018 14:26:52 GMT

Hello,

I have been investigating your question, and I suspect that you have duplicate values for InstId in your portfolio dataset and the values are required to be unique. Please check, correct and retest your portfolio dataset if that is the case.

If you are still having issues, please open a SAS Technical Support track (link below) and I will investigate further.

https://support.sas.com/en/support-home.html

Thanks

Andy

Re: Understanding of MIP iteration approach

DmitryErshov — Thu, 30 Aug 2018 11:11:51 GMT

Hi, Andy!

Thanks for reply. You are right. We can't load data for several dates to portfolio data set. After I removed duplicate values the output was much more expectable:

SIMULATION_HORIZON= 0
InstId= L1
MCSimulationRep= 1

SIMULATION_HORIZON= 0
InstId= L2
MCSimulationRep= 1

SIMULATION_HORIZON= 0
InstId= L1
MCSimulationRep= 1

SIMULATION_HORIZON= 1
InstId= L1
MCSimulationRep= 1

SIMULATION_HORIZON= 0
InstId= L2
MCSimulationRep= 1

SIMULATION_HORIZON= 1
InstId= L2
MCSimulationRep= 1

But, one question remains: why does MIP iterate through all loans at SIMULATION_HORIZON = 0 (these iterations highlited with red color)?

Regards,

Dmitry

Re: Understanding of MIP iteration approach

AMSAS — Fri, 07 Sep 2018 12:45:46 GMT

Hi Dmitry,

Sorry for the delay getting back on this question - I've been testing and researching the answer

SAS &reg Model Implementation Platform, generates and executes SAS &reg High-Performance Risk code. The behavior you are seeing is legacy code from SAS HP Risk. Customers who used earlier releases of HP Risk, used this behavior in their User Defined Logic, so to insure their UDL did not break in newer versions the behavior was maintained.

There is a automatic variable that you can print to the log (_BASELINE_), for your 2 log lines in red this will be set to 0 (zero) and then set to 1 for all the remaining lines.

Thanks

Andy

Re: Understanding of MIP iteration approach

DmitryErshov — Mon, 10 Sep 2018 10:23:48 GMT

Thanks a lot for clarification, Andy!

Regards,

Dmitry