29%let cashflow_key = ${params.CASHFLOW.key};
35%let mipParameterMatrices = stresstest_coef : mippmx.st_ecl_parameter_&model_run_key.;
36%let mipCashflows = cashflow_dataset : mipcf.cashflow_&base_dt_ymdn._&model_run_key.;
38%macro st_model_prep();
46 %let cashflow_flg = %sysevalf(%superq(cashflow_key) ne,
boolean);
49 data mippmx.st_ecl_parameter_&model_run_key.;
55 _NAME_ =
"FLAG_RWA_CALCULATION_CMatrix"; _VALUE_ = 1; output;
57 _NAME_ =
"STATE_CNT_CMatrix"; _VALUE_ = 9; output;
59 _NAME_ =
"ACTIVE_STATE_CNT_CMatrix"; _VALUE_ = 8; output;
61 _NAME_ =
"DEFAULT_STATE_INDEX_CMatrix"; _VALUE_ = 9; output;
63 _NAME_ =
"FLAG_INITIAL_PD_FROM_PRTF_CMatrix"; _VALUE_ = 1; output;
65 _NAME_ =
"FLAG_PAYMENTS_AS_CASHFLOWS_CMatrix"; _VALUE_ = &cashflow_flg.; output;
69 %
if &cashflow_flg. %then %
do;
71 %let renameStmt = %nrstr(
74 cashflow_leg = valType
75 cashflow_amt = valAmount
81 %let responseStatus =;
82 %irm_rgf_retrieve_analysis_data(key = &cashflow_key.
83 , libref = &dr_libref.
84 , outds = mipcf.cashflow_&base_dt_ymdn._&model_run_key.
85 , outds_partition_list = cashflow_partition_list
87 , custom_code = %superq(renameStmt)
88 , outds_dataInfo = cashflow_dataInfo
89 , outds_dataDef = cashflow_dataDef
90 , host = &rgf_protocol.:
91 , server = &rgf_service.
92 , solution = &rgf_solution.
94 , tgt_ticket = &tgt_ticket.
95 , outVarTicket = ticket
96 , outSuccess = httpSuccess
97 , outResponseStatus = responseStatus
104 %let reporting_dt=%sysfunc(datepart(&BASE_DTTM.));
105 %irmc_cf_frontbook_generation( ds_in_frontbook = &ds_in_synth_position.
106 , ds_in_cf_config = ST_CFG.SYNTHETIC_TEMPLATE_CF_CONFIG
107 , ds_out = mipcf.frontbook_cf_&base_dt_ymdn._&model_run_key.
108 , balance_var = unpaid_balance_amt
110 , maturity_dt_var = maturity_dt
111 , reporting_dt = &reporting_dt.
112 , interval = ${params.MIPINTERVAL}
118 data=mipcf.frontbook_cf_&base_dt_ymdn._&model_run_key.
119 base=mipcf.cashflow_&base_dt_ymdn._&model_run_key.;
126 %
if (%rsk_dsexist(_FRTBK_.short_position) and %rsk_attrn(_FRTBK_.short_position, nlobs) ne 0) %then %
do;
129 %irmc_cf_eliminated_remap( ds_in_cf = mipcf.cashflow_&base_dt_ymdn._&model_run_key.
130 , ds_in_short_position = _FRTBK_.short_position
131 , working_libname = _FRTBK_
132 , ds_out = mipcf.elimnated_CF_&base_dt_ymdn._&model_run_key.
137 data=mipcf.elimnated_CF_&base_dt_ymdn._&model_run_key.(drop=ORIG_INSTID)
138 base=mipcf.cashflow_&base_dt_ymdn._&model_run_key.;
146 data mipcf.cashflow_&base_dt_ymdn._&model_run_key.;
160 %let base_key=${params.BASECASESCENARIO};
162 select min(mrsShortName) into :basecase_scenario_name
163 from ST_STG.SCENARIO_INFO
164 where mrsKey eq &base_key.;
165 select min(mrsShortName) into :adverse_scenario_name
166 from ST_STG.SCENARIO_INFO
167 where mrsKey ne &base_key.;
172 %irmc_mip_cm_eba2020_gen( model_run_key = &model_run_key.
173 , base_dt = &base_dt.
174 , mipHorizon = ${params.MIPHORIZON}
175 , computedmethod_name_prefix = CM_ST_EBA2020_FT
176 , adverse_scenario_name = &adverse_scenario_name.
177 , basecase_scenario_name = &basecase_scenario_name.
178 , ds_out_cm_list = cm_list
179 , mip_cm_eba2020_template = &fa_path./source/sas/nodes/irmst_mip_cm_eba2020_template.sas
189 select computedmethod into:mipcomputedmethods separated by
" "