8

遇到问题。

我定义了一个表格来保存每日国债收益率曲线的值。

这是一个用于历史查找值的非常简单的表。

表中的年份4、6、8、9和明显存在一些差距。11-1921-29

4计算年份的公式非常简单0.5*Year3Value + 0.5*Year5Value。

问题是我怎样才能写一个VIEW可以返回丢失的年份？

我可能可以在存储过程中做到这一点，但最终结果需要是一个视图。

4

4 回答 4

6

假设Tom H.您真正想要的是线性插值，并且不仅缺少年，而且缺少几个月的事实，您需要将每个计算都基于 MONTH，而不是 YEAR。

对于下面的代码，我假设您有 2 个表（其中一个可以作为视图的一部分计算）：

  • Yield：包含真实数据并以月数而不是名称存储PeriodM 。如果您将PeriodName存储在那里，您只需要加入表格：
  • 期间（可以在视图中计算，如图所示）：存储期间名称和它代表的月数

以下代码必须有效（您只需要基于它创建一个视图）：

WITH "Period" (PeriodM, PeriodName) AS (
    -- // I would store it as another table basically, but having it as part of the view would do
                SELECT  01, '1 mo'
    UNION ALL   SELECT  02, '2 mo' -- // data not stored
    UNION ALL   SELECT  03, '3 mo'
    UNION ALL   SELECT  06, '6 mo'
    UNION ALL   SELECT  12, '1 yr'
    UNION ALL   SELECT  24, '2 yr'
    UNION ALL   SELECT  36, '3 yr'
    UNION ALL   SELECT  48, '4 yr' -- // data not stored
    UNION ALL   SELECT  60, '5 yr'
    UNION ALL   SELECT  72, '6 yr' -- // data not stored
    UNION ALL   SELECT  84, '7 yr'
    UNION ALL   SELECT  96, '8 yr' -- // data not stored
    UNION ALL   SELECT 108, '9 yr' -- // data not stored
    UNION ALL   SELECT 120, '10 yr'
    -- ... // add more
    UNION ALL   SELECT 240, '20 yr'
    -- ... // add more
    UNION ALL   SELECT 360, '30 yr'
)
, "Yield" (ID, PeriodM, Date, Value) AS (
    -- // ** This is the TABLE your data is stored in **
    -- // 
    -- // value of ID column is not important, but it must be unique (you may have your PK)
    -- // ... it is used for a Tie-Breaker type of JOIN in the view
    -- //
    -- // This is just a test data:
                SELECT 101, 01 /* '1 mo'*/, '2009-05-01', 0.06
    UNION ALL   SELECT 102, 03 /* '3 mo'*/, '2009-05-01', 0.16
    UNION ALL   SELECT 103, 06 /* '6 mo'*/, '2009-05-01', 0.31
    UNION ALL   SELECT 104, 12 /* '1 yr'*/, '2009-05-01', 0.49
    UNION ALL   SELECT 105, 24 /* '2 yr'*/, '2009-05-01', 0.92
    UNION ALL   SELECT 346, 36 /* '3 yr'*/, '2009-05-01', 1.39
    UNION ALL   SELECT 237, 60 /* '5 yr'*/, '2009-05-01', 2.03
    UNION ALL   SELECT 238, 84 /* '7 yr'*/, '2009-05-01', 2.72
    UNION ALL   SELECT 239,120 /*'10 yr'*/, '2009-05-01', 3.21
    UNION ALL   SELECT 240,240 /*'20 yr'*/, '2009-05-01', 4.14
    UNION ALL   SELECT 250,360 /*'30 yr'*/, '2009-05-01', 4.09
)
, "ReportingDate" ("Date") AS (
    -- // this should be a part of the view (or a separate table)
    SELECT DISTINCT Date FROM "Yield"
)

-- // This is the Final VIEW that you want given the data structure as above
SELECT      d.Date, p.PeriodName, --//p.PeriodM,
            CAST(
                COALESCE(y_curr.Value,
                    (   (p.PeriodM - y_prev.PeriodM) * y_prev.Value
                    +   (y_next.PeriodM - p.PeriodM) * y_next.Value
                    ) / (y_next.PeriodM - y_prev.PeriodM)
                ) AS DECIMAL(9,4) -- // TODO: cast to your type if not FLOAT
            )  AS Value
FROM        "Period" p
CROSS JOIN  "ReportingDate" d
LEFT JOIN   "Yield" y_curr
        ON  y_curr.Date = d.Date
        AND y_curr.PeriodM = p.PeriodM
LEFT JOIN   "Yield" y_prev
        ON  y_prev.ID = (SELECT TOP 1 y.ID FROM Yield y WHERE y.Date = d.Date AND y.PeriodM <= p.PeriodM ORDER BY y.PeriodM DESC)
LEFT JOIN   "Yield" y_next
        ON  y_next.ID = (SELECT TOP 1 y.ID FROM Yield y WHERE y.Date = d.Date AND y.PeriodM >= p.PeriodM ORDER BY y.PeriodM ASC)

--//WHERE       d.Date = '2009-05-01'
于 2009-05-28T14:29:29.347 回答
1

我将猜测如果存在差距，您希望曲线在两年之间平稳移动，因此如果缺少一年以上，您不想只平均最接近的两年。这是我可能会使用的：

SELECT
     NUM.number AS year,
     COALESCE(YC.val, YC_BOT.val + ((NUM.number - YC_BOT.yr) * ((YC_TOP.val - YC_BOT.val)/(YC_TOP.yr - YC_BOT.yr))))
FROM
     dbo.Numbers NUM
LEFT OUTER JOIN dbo.Yield_Curve YC ON
     YC.yr = NUM.number
LEFT OUTER JOIN dbo.Yield_Curve YC_TOP ON
     YC.yr IS NULL AND       -- Only join if we couldn't find a current year value
     YC_TOP.yr > NUM.number
LEFT OUTER JOIN dbo.Yield_Curve YC_TOP2 ON
     YC_TOP2.yr > NUM.number AND
     YC_TOP2.yr < YC_TOP.yr
LEFT OUTER JOIN dbo.Yield_Curve YC_BOT ON
     YC.yr IS NULL AND       -- Only join if we couldn't find a current year value
     YC_BOT.yr < NUM.number
LEFT OUTER JOIN dbo.Yield_Curve YC_BOT2 ON
     YC_BOT2.yr < NUM.number AND
     YC_BOT2.yr > YC_BOT.yr
WHERE
     YC_TOP2.yr IS NULL AND
     YC_BOT2.yr IS NULL AND
     NUM.number BETWEEN @low_yr AND @high_yr

您可以使用 CTE 而不是 Numbers 表（只是一个连续数字表）重写它。如果你想这样做，你也可以使用 NOT EXISTS 或带有 MIN 和 MAX 的子查询，而不是 YC_BOT2 和 YC_TOP2 上的 LEFT OUTER JOIN。有些人觉得这种方法令人困惑。

于 2009-05-28T13:54:13.147 回答
1

您可以尝试 unpivot 以获取列表中的年份和值。

然后将此与缺少的年份结合起来 select YearNo ，（选择 YearValue where YearNo = YearNo-1）* 0.5 +（select YearValue where YearNo = YearNo+1）* 0.5 AS YearValue from unpivotedlist where YearNo in（我们缺少的年份列表）

然后再次将其重新旋转以获得所需的格式并将其弹出到视图中？

于 2009-05-28T13:30:40.277 回答
0 
WITh cal(year) AS
        (
        SELECT  1 AS current_year
        UNION ALL
        SELECT  year + 1
        FROM    cal
        WHERE   year < 100
        )
SELECT  CASE WHEN yield_year IS NULL THEN
             0.5 *
             (
             SELECT  TOP 1 yield_value
             FROM    yield
             WHERE   yield_year < year
             ORDER BY
                     yield_year DESC
             ) +
             0.5 *
             (
             SELECT  TOP 1 yield_value
             FROM    yield
             WHERE   yield_year > year
             ORDER BY
                     yield_year ASC
             )
         ELSE
             yield_value
         END
FROM     cal
LEFT JOIN
         yield
ON       yield_year = year

对于缺失年份，此查询采用找到的最接近年份的平均值。

于 2009-05-28T13:24:10.837 回答