SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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synthetic_cashflow.sas File Reference

Cashflow table related to synthetic instruments. More...

Go to the source code of this file.

Detailed Description

Cashflow table related to synthetic instruments.

PK Variable Type Required? Relationships Label Description Required by models
REPORTING_DT NUMERIC(8) Y Reporting Date SAS Date value
ENTITY_ID VARCHAR(32) Y entity.sas Entity Id Entity Identifier
INSTID VARCHAR(64) Y credit_portfolio.sas Instrument Identifier Unique identifier for an instrument/transaction/account.
CASHFLOW_LEG VARCHAR(32) Y Cashflow Leg Cashflow Leg
HORIZON NUMERIC(8) Y Horizon Cashflow horizon: relative to the instrument activation date
INTERVAL VARCHAR(32) Y Interval Cashflow Interval: month, year, etc.
CASHFLOW_AMT NUMERIC(8) N Cashflow Amount Cashflow Amount
  • Sample values for CASHFLOW_LEG:
    • PRINCIPAL: Principal cashflow
    • INTEREST: Interest cashflow
  • Sample values for INTERVAL:

    • DAY
    • MONTH
    • QUARTER
    • YEAR

    The casflow date for each record is computed as the number (<HORIZON>) of intervals (<INTERVAL>) from the instrument activation date.

    Author
    SAS Institute Inc.
    Date
    2018

Definition in file synthetic_cashflow.sas.