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Calculating geometrically link returns

How do you multiply record2 * record1?

The desire is to return a value for actual rate and annulized rate

Given table unterval:

   EndDate    PctReturn
-------------------------------
1. 05/31/06   -0.2271835
2. 06/30/06   -0.1095986
3. 07/31/06    0.6984908
4. 08/31/06    1.4865360
5. 09/30/06    0.8938896

The desired output should look like this:

EndDate    PctReturn    Percentage   UnitReturn         
05/31/06   -0.2271835   -0.002272    0.997728               
06/30/06   -0.1095986   -0.001096    0.996634669                
07/31/06    0.6984908    0.006985    1.00359607             
08/31/06    1.4865360    0.014865    1.018514887                
09/30/06    0.8938896    0.008939    1.027619286


Percentage = PctReturn/100                          

UnitReturn  (1 + S1) x (1 + S2) x ... (1 + Sn) - 1

Aggregating values desired:

Actual Rate 2.761928596             
Annulized   6.757253223

Mathematics on aggregating value:

 Actual Rate    1.027619    1.027619-1  =   0.027619    * 100 = 2.761928596

 Annulized Rate 6.757253    (ActualRate^(12/number of intervals)-1)*100

 Number of intervals in Example = 5

there are only 5 records or intervals

I did try utilizing the sum in the select statement but this did not allow for multiplying record2 by record1 to link returns. I thought utilizing the while function would allow for stepping record by record to multiply up the values of unitreturn. My starter level in SQL has me looking for help.

4

1 回答 1

4

在 SQL Server 中获取产品有两种选择。

1. 使用对数和指数进行模拟：

SQL小提琴

create table returns
(
  returnDate date,
  returnValue float
)

insert into returns values('05/31/06', -0.002271835)
insert into returns values('06/30/06', -0.001095986)
insert into returns values('07/31/06', 0.006984908)
insert into returns values('08/31/06', 0.014865360)
insert into returns values('09/30/06', 0.008938896)

select totalReturn = power
  (
    cast(10.0 as float)
    , sum(log10(returnValue + 1.0))
  ) - 1
from returns;

with tr as
(
  select totalReturn = power
  (
    cast(10.0 as float)
    , sum(log10(returnValue + 1.0))
  ) - 1
  , months = cast(count(1) as float)
  from returns
)
select annualized = power(totalReturn + 1, (1.0 / (months / 12.0))) - 1
from tr;

这利用日志和指数来模拟产品计算。更多信息：用户定义函数。

这里的一个问题是它会在 return < -100% 时失败。如果您不期望这些没关系，否则您需要将任何值设置为 < 100% 到 -100%。

然后，您可以根据需要使用此实际回报来获得年化回报。

2. 使用 CLR 定义自定义聚合：

请参阅在线图书。

您可以创建一个 CLR 自定义函数，然后将其链接到一个聚合以在您的查询中使用。这是更多的工作，您必须在服务器上启用 CLR，但一旦完成，您就可以根据需要使用它。

于 2013-01-26T21:16:33.053 回答