How can I roll up rate-of-return into net asset value in SQL? - sql

Question

Given the starting value #pStartingValue and a table which contains rorDate and ror what is the most efficient way to get the NAV at each date using just TSQL?
This mathematically trivial, and simple in code. I have a naive SQL implementation currently that relies on cursors.
On the first date, the NAV is #pStartingValue * ror
On every subsequent date, it's the previously calculated nav * ror or it's #pStartingValue * every previous ror
How would you efficiently do this only in MSSQL2005+?
DECLARE #rorDate DATE
DECLARE #getDate CURSOR
DECLARE #lastNAV as DECIMAL(19,7)
DECLARE #datedRoR as float
DECLARE #NAVTotals TABLE
(
NAV DECIMAL(19,7),
navDate DATE
)
SET #lastNAV = 100
SET #getDate = CURSOR FOR
SELECT
p.[DATE]
FROM
performance p
ORDER BY
p.[DATE]
OPEN #getDate
FETCH NEXT
FROM #getDate INTO #rorDate
WHILE ##FETCH_STATUS = 0
BEGIN
SELECT
#datedRoR = b.finalNetReturn
FROM
performance b
WHERE
b.date = #rorDate
INSERT INTO #NAVTotals (NAV, navDate)
VALUES (#lastNAV * (1 + #datedRoR), #rorDate)
SELECT
#lastNAV = c.NAV
FROM
#NAVTotals c
WHERE
c.navDate = #rorDate
FETCH NEXT
FROM #getDate INTO #rorDate
END
CLOSE #getDate
DEALLOCATE #getDate
select * from #NAVTotals

Answer 1

You'll have to do some testing to see if the performance improves but this is a way to do that same thing without using a cursor. It's untested so you'll want to make sure to test it. I also cast b.finalNetReturn as a float, if it's already a float you can remove that part.
DECLARE #lastNAV as DECIMAL(19,7)
SET #lastNAV = 100
DECLARE #NAVTotals TABLE
(
NAV DECIMAL(19,7),
navDate DATE
);
INSERT INTO #NAVTotals (navDate)
SELECT [DATE]
FROM performance
ORDER BY [DATE] ASC;
UPDATE NT
SET #lastNAV = Nav = (#lastNAV * (1.0 +
(Cast((SELECT b.finalNetReturn
FROM performance b
WHERE b.date = NT.navDate) AS FLOAT))))
FROM #NAVTotals NT;
SELECT * FROM #NAVTotals ORDER BY navDate;
By dropping the lastNAV variable into the update statement you can update both. It works similar to:
a = a + 1
There is an example of this same approach here. Including some good numbers that compare the efficiency of the approach to other approaches such as cursors.

Answer 2

Perhaps I'm not understanding it correctly, but you don't even need a stored proc to achieve this.
SELECT p.[DATE] AS navDate
, #pStartingValue * PRODUCT(1 + b.finalNetReturn) AS NAV
FROM performance p
INNER JOIN performance b
ON b.[DATE] <= p.[DATE]
GROUP BY p.[DATE]
ORDER BY p.[DATE]
However, there are a few "wierdness" that I don't grasp.
How come there is no range limit for p.[DATE]?
Does the "performance" table really have only one asset?