SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
Loading...
Searching...
No Matches
irmst_build_synthetic_portfolio.sas
1/*----------------------------------------------------------------------
2 * NAME: irmst_build_synthetic_portfolio.sas
3 *
4 * PURPOSE: Build a MIP portfolio containing a single record for each
5 * portfolio-level model group from the specified input table
6 * model_group_maps
7 *
8 * NOTES:
9 *
10 * MACRO OPTIONS:
11 * MODEL_GROUP_MAP_TBL - Model_group_map output table from
12 * irmst_get_model_group_maps.sas
13 * MIPPORT_LIBREF - Libref pointing to MIP input portfolio
14 * directory
15 * OUTDS - Two-level name for output table
16 *
17 *----------------------------------------------------------------------*/
18%macro irmst_build_synthetic_portfolio(
19 model_group_map_tbl = ,
20 mipport_libref = ,
21 outds =
22 );
23
24 %local num_insttype;
25
26 proc sql noprint;
27 select distinct insttype,
28 model_group_name
29 into :insttype1-,
30 :model_group_name1-
31 from &model_group_map_tbl.;
32 quit;
33
34 %let num_insttype = &sqlobs.;
35
36 data &mipport_libref..&outds.;
37 length instid
38 insttype
39 description $32;
40 %do i=1 %to &num_insttype.;
41 instid = "&&insttype&i";
42 insttype = "&&insttype&i";
43 description = "&&model_group_name&i";
44 output;
45 %end;
46 run;
47
48%mend irmst_build_synthetic_portfolio;