SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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synthetic_cashflow.sas
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1
2/*
3 Copyright (C) 2018 SAS Institute Inc. Cary, NC, USA
4*/
5
6/**
7 \file
8 \brief Cashflow table related to synthetic instruments
9 \details
10
11 |PK |Variable |Type | Required? |Relationships |Label |Description |Required by models |
12 |--------------|-------------------------|------------------|-----------|---------------------------------------------|--------------------------|--------------------------------------------------------------|--------------------------------|
13 |![ ](pk.jpg) | <b>REPORTING_DT</b> | NUMERIC(8) | Y | | Reporting Date | SAS Date value | |
14 |![ ](pk.jpg) | <b>ENTITY_ID</b> | VARCHAR(32) | Y | \link entity.sas \endlink | Entity Id | Entity Identifier | |
15 |![ ](pk.jpg) | <b>INSTID</b> | VARCHAR(64) | Y | \link credit_portfolio.sas \endlink | Instrument Identifier | Unique identifier for an instrument/transaction/account. | |
16 |![ ](pk.jpg) | <b>CASHFLOW_LEG</b> | VARCHAR(32) | Y | | Cashflow Leg | Cashflow Leg | |
17 |![ ](pk.jpg) | <b>HORIZON</b> | NUMERIC(8) | Y | | Horizon | Cashflow horizon: relative to the instrument activation date | |
18 | | INTERVAL | VARCHAR(32) | Y | | Interval | Cashflow Interval: month, year, etc. | |
19 | | CASHFLOW_AMT | NUMERIC(8) | N | | Cashflow Amount | Cashflow Amount | |
20
21
22+ Sample values for <b>CASHFLOW_LEG</b>:
23 + PRINCIPAL: Principal cashflow
24 + INTEREST: Interest cashflow
25
26+ Sample values for <b>INTERVAL</b>:
27 + DAY
28 + MONTH
29 + QUARTER
30 + YEAR
31
32 The casflow date for each record is computed as the number (<HORIZON>) of intervals (<INTERVAL>) from the instrument activation date.
33
34 \ingroup ddlFactCreditRisk
35 \author SAS Institute Inc.
36 \date 2018
37*/
38
39CREATE TABLE &LIBREF..SYNTHETIC_CASHFLOW (
40 REPORTING_DT DATE label = 'Reporting Date' FORMAT = &DTFMT.,
41 ENTITY_ID VARCHAR(32) label = 'Entity Id',
42 INSTID VARCHAR(64) label = 'Instrument Identifier',
43 CASHFLOW_LEG VARCHAR(32) label = 'Cashflow Leg',
44 HORIZON NUMERIC(8) label = 'Horizon',
45 INTERVAL VARCHAR(32) label = 'Interval',
46 CASHFLOW_AMT NUMERIC(8) label = 'Cashflow Amount',
47 CONSTRAINT PRIM_KEY PRIMARY KEY (REPORTING_DT, ENTITY_ID, INSTID, CASHFLOW_LEG, HORIZON)
48);