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
80 %let responseStatus =;
81 %irm_rgf_retrieve_analysis_data(key = &cashflow_key.
82 , libref = &dr_libref.
83 , outds = mipcf.cashflow_&base_dt_ymdn._&model_run_key.
84 , outds_partition_list = cashflow_partition_list
86 , custom_code = %superq(renameStmt)
87 , outds_dataInfo = cashflow_dataInfo
88 , outds_dataDef = cashflow_dataDef
89 , host = &rgf_protocol.:
90 , server = &rgf_service.
91 , solution = &rgf_solution.
93 , tgt_ticket = &tgt_ticket.
94 , outVarTicket = ticket
95 , outSuccess = httpSuccess
96 , outResponseStatus = responseStatus
102 %let reporting_dt=%sysfunc(datepart(&BASE_DTTM.));
103 %irmc_cf_frontbook_generation( ds_in_frontbook = &ds_in_synth_position.
104 , ds_in_cf_config = ST_CFG.SYNTHETIC_TEMPLATE_CF_CONFIG
105 , ds_out = mipcf.frontbook_cf_&base_dt_ymdn._&model_run_key.
106 , balance_var = unpaid_balance_amt
108 , maturity_dt_var = maturity_dt
109 , reporting_dt = &reporting_dt.
110 , interval = ${params.MIPINTERVAL}
116 data=mipcf.frontbook_cf_&base_dt_ymdn._&model_run_key.
117 base=mipcf.cashflow_&base_dt_ymdn._&model_run_key.;
120 %
if (%rsk_dsexist(_FRTBK_.short_position) and %rsk_attrn(_FRTBK_.short_position, nlobs) ne 0) %then %
do;
123 %irmc_cf_eliminated_remap( ds_in_cf = mipcf.cashflow_&base_dt_ymdn._&model_run_key.
124 , ds_in_short_position = _FRTBK_.short_position
125 , working_libname = _FRTBK_
126 , ds_out = mipcf.elimnated_CF_&base_dt_ymdn._&model_run_key.
131 data=mipcf.elimnated_CF_&base_dt_ymdn._&model_run_key.(drop=ORIG_INSTID)
132 base=mipcf.cashflow_&base_dt_ymdn._&model_run_key.;
140 data mipcf.cashflow_&base_dt_ymdn._&model_run_key.;