recursive common table expression in SQL Server - sql

Question

I have a table that contains two pieces of information BusinessDate and DailyPerf where DailyPerf shows percentage change in the value of a price I am tracking. The first few rows of the data looks like this
BusinessDate DailyPerf
Jan 3, 2017 -0.0356%
Jan 4, 2017 -0.4325%
Jan 5, 2017 -0.3953%
Jan 6, 2017 -0.8469%
Jan 9, 2017 -0.5050%
What I am trying to do is to calculate another column YearFac that shows the current percentage of my initial value I have left
Done in Excel the data would look like this:
BusinessDate DailyPerf YearFac
Jan 2, 2017 NULL 100%
Jan 3, 2017 -0.0356% 99.9644%
Jan 4, 2017 -0.4325% 99.5321%
Jan 5, 2017 -0.3953% 99.1386%
Jan 6, 2017 -0.8469% 98.2989%
Jan 9, 2017 -0.5050% 97.8025%
So, I need to prime my query with a YearFac of 100% and then recursively calculate the factor. The one caveat is that the dates are not necessarily sequential (there are no entries over weekends or on holidays) - so I cannot assume that next day = this day + 1 just that the next day is the next larger date
I tried the following
WITH cte
AS (
SELECT cast(1 as int) RowCnt,
cast('3 jan 2017' as date) BusinessDate,
cast(1.0 as float) YearFac -- anchor member
UNION ALL
select cast(ROW_NUMBER() OVER(ORDER BY p.BusinessDate ASC) + 1 as int) as RowCnt,
p.BusinessDate, -- recursive member
cast(cte.YearFac*(1.0 + p.DailyPerc) as float) YearFac
from cte
inner join dbo.MsfsDailyPnl p
on
cte.RowCnt = ROW_NUMBER() OVER(ORDER BY p.BusinessDate ASC) + 1
where p.BusinessDate < sysutcdatetime()
)
SELECT RowCnt,BusinessDate, YearFac
FROM cte
But, of course, this fails because I cannot reference the row number in the join. Could anyone suggest a modification that will get this query to work?

Answer 1

Use a cumulative sum:
select BusinessDate, DailyPerf,
1 - exp(sum(log(1 + DailyPerf)) over (order by BusinessDate desc)
from (select cast('2017-01-03' as date) as BusinessDate, cast(0 as float) as DailyPerf
union all
select BusinessDate, DailyPerf from dbo.MsfsDailyPnl
) p;

Answer 2

Use window function
select *, sum(DailyPerf) over (order by BusinessDate) + 100 YearFac
from (
select dateadd(day, -1, min(BusinessDate)) BusinessDate, 0 DailyPerf from data
union all
select * from data) t
dbfiddle demo
RESULT
BusinessDate DailyPerf YearFac
-------------------------------------------
02/01/2017 00:00:00 0.0000 100.0000
03/01/2017 00:00:00 -0.0356 99.9644
04/01/2017 00:00:00 -0.4325 99.5319
05/01/2017 00:00:00 -0.3953 99.1366
06/01/2017 00:00:00 -0.8469 98.2897
09/01/2017 00:00:00 -0.5050 97.7847

Answer 3

Here's what you might want to try. I attached also definition of table, so you know how it looks like and what can be done easily to accomplish your task.
declare #x table(BusinessDate date, DailyPerf float)
insert into #x values
('Jan 2, 2017', NULL),
('Jan 3, 2017', -0.0356),
('Jan 4, 2017', -0.4325),
('Jan 5, 2017', -0.3953),
('Jan 6, 2017', -0.8469),
('Jan 9, 2017', -0.5050)
select *,
100 + SUM(isnull(DailyPerf,0)) over (partition by (select null) order by
BusinessDate rows between unbounded preceding and current row)
from #x