By Charles Flock on
7/29/2014 10:32 AM
We have previously written about calculating price, yield, and accrued interest for bonds that have regular periodic coupons. However, not all bonds fit that description. Some bonds have an odd first period, meaning that the first coupon period is either shorter or longer than all the other coupons. In this article we will discuss how that affects the calculation of price, yield, and accrued interest and why you should not use the Excel functions for these types of calculations.
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By Charles Flock on
7/1/2014 2:36 PM
We look at some of the math behind the calculation of the price of a bond with regular periodic coupons, talk about how yield and accrued interest are calculated, and make some comparisons between the Excel functions and the XLeratorDB functions. We also talk about 2 new function that we have added to XLeratorDB that make it easier to see how PRICE and YIELD functions came up with their results.
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By Charles Flock on
6/9/2014 1:54 PM
In this article we look at the Excel ACCRINT function, exploring the results returned by the function when it is used as documented, as well as looking at some ways of manipulating the input data so that you can get the result that you want, or at least a result that you can understand, and why you should be afraid of that data manipulation.
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By Charles Flock on
5/8/2014 10:51 AM
As a follow up to our article on calculating a variance – covariance matrix in SQL Server, we look at a similar calculation to produce a correlation matrix and provide 2 relatively straightforward methods for calculating the correlation matrix in SQL Server, using the XLeratorDB function library, and compare them to the calculation provided in the Excel Data Analysis tool.
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By Charles Flock on
4/15/2014 4:58 PM
In this article we look at 2 relatively straightforward methods for calculating a variance-covariance matrix in SQL Server, using the XLeratorDB function library, and compare them to the calculation provided in the Excel Data Analysis tool.
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By Charles Flock on
4/3/2014 2:10 PM
The latest release of XLeratroDB/math contains 5 new functions for numerical integration, 12 new functions for the generation of non-uniform random numbers and, for users of SQL Server 2008 and above, 2 new functions for calculating the nth MIN or nth MAX of a data set.
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By Charles Flock on
4/2/2014 3:23 PM
In the latest release of our math library (1.09) we introduce 5 new functions for numerical integration in SQL Server. In this second of two articles we follow up on some of the concepts behind numerical integration focusing specifically on integration over semi-infinite and infinite intervals. We will explain some of the general concepts behind numerical integration, also called quadrature, using Simpson's rule, and then look at functions for Gaussian and Double Exponential quadrature.
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By Charles Flock on
3/31/2014 4:48 PM
In the latest release of our math library (1.09) we introduce 5 new functions for numerical integration in SQL Server. In this article we explore some of the concepts behind numerical integration and discuss the different techniques used in the new functions, focusing specifically on integration over finite intervals. We will explain some of the general concepts behind numerical integration, also called quadrature, using Simpson's rule, and then look at functions for Gauss-Kronrod, and Tanh-Sinh quadrature. In Part 2, we will look at integration over semi-infinite and infinite intervals.
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By Charles Flock on
10/23/2013 10:55 AM
In this article we talk about the XLeratorDB GROWTHMX and LOGEST functions, compare them with the TRENDMX and LINEST functions, and describe some techniques to turbo-charge your predictive analytics in SQL Server.
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By Charles Flock on
10/7/2013 11:16 AM
In this article we talk about the XLeratorDB TRENDMX and LINEST functions and describe some techniques to turbo-charge your predictive analytics in SQL Server.
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By Charles Flock on
8/22/2013 4:39 PM
We have added a new function, MONOSPLINE, to the XLeratorDB/math 2008 library based on "Monotone Piecewise Cubic Interpolation," by Fritsch, F. N. and R. E. Carlson, SIAM J. Numerical Analysis, Vol. 17, 1980, pp.238-246. In this article we look at how the MONOSPLINE function works on monotonic data and compare it to linear, natural cubic spline, and polynomial interpolation in SQL Server.
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By Charles Flock on
8/6/2013 1:50 PM
We have added new functions for calculating the statistics of inter-observer agreement, as well as enhancing existing aggregate functions which calculate descriptive statistics like variance, standard deviation, covariance, etc.
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By Charles Flock on
6/29/2013 4:46 PM
With the release of SQL Server 2012, SQL Server users were finally able to use aggregate functions in a window, enabling calculations like running sums and moving averages. XLeratorDB/windowing put these capabilities into SQL Server 2005 and SQL Server 2008 as well as providing dozens of calculations that are not available in SQL Server 2012. With our latest release of XLeratorDB/windowing we add 14 new functions to the 38 existing functions.
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By Charles Flock on
4/1/2013 3:32 PM
A demonstration of how to use the latest XLeratorDB / financial functions to perform yield curve construction in SQL Server.
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By Charles Flock on
3/29/2013 4:53 PM
The latest release of XLeratorDB / finance contains a bunch of new functions for yield curve construction, 2 new bond pricing functions, and an addition to the list of Capital Asset Pricing model formulas.
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By Charles Flock on
2/26/2013 6:27 PM
With the release of XLeratorDB/windowing 1.01 we introduce three new functions for calculating inventory values: FIFO; LIFO; and WAC. These functions calculate the quantity-on-hand, cost-of-goods sold, gross margin, and inventory value using the First In, First Out (FIFO), Last In, First Out (LIFO), or Weighted Average Cost (WAC) method. In this article we talk about how those calculations work and how you can incorporate these calculations into T-SQL statements without having to do a self-join.
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By Charles Flock on
1/23/2013 11:57 AM
In this article we look at how moving a traditional spreadsheet calculation into SQL Server simplifies the calculation while also allowing you to analyze more data in more different ways than you would think possible
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By Charles Flock on
12/28/2012 1:52 PM
XLeratorDB / financial 1.10 contains 19 new functions: 3 functions for calculating time-weighted rate of return; 9 new functions for calculating some popular Capital Asset Pricing Model (CAPM) ratios; 3 new functions for calculating the interest rate sensitivity of a series of irregular cash flows; 2 new functions for calculating dates; a function for calculating multiple of invested capital; and a new function for calculating discounted cash flows.
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By Charles Flock on
11/8/2012 4:59 PM
SQL Server 2012 added more complete support for window functions, including enhanced support for window aggregate functions, as well as support for window offset and window distribution functions. In our latest function library, XLeratorDB / windowing, we make many of the same capabilities available for SQL Server 2005 and SQL Server 2008 users, as well as providing a bunch of functions that aren’t available in SQL Server 2012, but are available in Oracle.
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By Charles Flock on
10/24/2012 1:24 PM
The modified Dietz calculation produces a result which measures the performance of an investment portfolio based on time-weighted cash flows. Today, we will look at two XLeratorDB aggregate functions, EMDIETZ and FVSCHEDULE, which calculate the modified Dietz value for each period and then link the results together to come up with a time-weighted rate of return value.
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By Charles Flock on
9/17/2012 8:21 PM
With the release of our newest library of functions, XLeratorDB/financial-options, you have the ability to calculate the price and Greeks for American and European options in SQL Server 2005, 2008, and 2012. This release includes the Black-Scholes-Merton pricing formula, the Bjerksund & Stensland 2002 American approximation, and binomial trees for American and European options. It also includes calculation of the implied volatility and some table-valued functions and stored procedures for analyzing the price and P&L impacts of changes in the underlying asset price, the volatility, the risk free rate, and time decay.
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By Charles Flock on
7/18/2012 4:56 PM
We have a new functionality for the t-Test allowing you to perform sophisticated analysis of your SQL Server data directly on the database using TSQL.
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By Charles Flock on
6/7/2012 9:01 AM
XLeratorDB can be used with data sources other than SQL Server, such as MySQL and Oracle. This article illustrates how to call an XLeratorDB function against a MySQL database.
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By Charles Flock on
5/30/2012 4:42 PM
Release 1.09 of XLeratorDB / financial and XLeratorDB / financial 2008 contains 5 new date functions: BUSDAYS, BUSINESSDATE, BUSINESSDATEWE, DAYS360 and DAYSNL. In this article, we explore how these functions work and the kinds of calculations that can now easily be done in your SQL Server database.
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By Charles Flock on
5/21/2012 2:26 PM
We introduce seventeen useful new functions which help analyze accrued interest on bonds, create payments schedules for commercial loans and leases, calculate dates and the number of days between two dates incorporating weekends, holidays, and day-count conventions, and perform time value of money calculations when there is an odd first period.
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By Charles Flock on
4/5/2012 8:55 PM
A look at different techniques for generating schedules to account for the premium or discount associated with the issuance or purchase of a bond using the XLeratorDB functions COUPDAYSNC, COUPNUM, DAYS360, EDATE, IRR, PRICE, PV, RATE, SeriesDate, SeriesInt, XIRR, and YIELD.
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By Charles Flock on
3/29/2012 4:51 PM
A look at the COMBIN function in SQL Server and how to turn what is normally a complicated series of spreadsheet calculations into a simple set operation on the database.
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By Charles Flock on
3/1/2012 3:33 PM
Using the LINEST function in SQL Server to do an Ordinary Least Squares calculation and the TRENDMX function to estimate housing prices.
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By Charles Flock on
2/20/2012 2:59 PM
We have added some performance enhancements to the pseudo-random number generators, as well as a new function to generate random normal numbers.
We created scalar versions of the table-valued matrix functions, making the SQL much simpler and easier to follow. We also added a couple of new matrix functions for forward substitution and back substitution.
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By Charles Flock on
11/25/2011 1:51 PM
With the release of the TWRR multi-input aggregate function, XLeratorDB users can now calculate the time-weighted rate of return directly in a T-SQL statement.
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By Charles Flock on
10/18/2011 8:16 PM
Here is a list of 11 very simple financial calculations that you can’t do in EXCEL, either because the EXCEL design of a function doesn’t support the input data, or because EXCEL produces a result that is wrong or unreliable. Of course, we used EXCEL 2010 and, of course, you can do them in SQL Server using XLeratorDB.
Part 1 of 11 - Enter a negative yield to calculate the price of a bond
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By Charles Flock on
10/18/2011 8:15 PM
11 Financial Calculations that you can’t do in EXCEL - Part 2 of 11
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By Charles Flock on
10/18/2011 8:14 PM
11 Financial Calculations that you can’t do in EXCEL - Part 3 of 11
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By Charles Flock on
10/18/2011 8:13 PM
11 Financial Calculations that you can’t do in EXCEL - Part 5 of 11
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By Charles Flock on
10/18/2011 8:13 PM
11 Financial Calculations that you can’t do in EXCEL - Part 4 of 11
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By Charles Flock on
10/18/2011 8:12 PM
11 Financial Calculations that you can’t do in EXCEL - Part 6 of 11
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By Charles Flock on
10/18/2011 8:11 PM
11 Financial Calculations that you can’t do in EXCEL - Part 7 of 11
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By Charles Flock on
10/18/2011 8:10 PM
11 Financial Calculations that you can’t do in EXCEL - Part 9 of 11
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By Charles Flock on
10/18/2011 8:10 PM
11 Financial Calculations that you can’t do in EXCEL - Part 8 of 11
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By Charles Flock on
10/18/2011 8:09 PM
11 Financial Calculations that you can’t do in EXCEL - Part 10 of 11
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By Charles Flock on
10/18/2011 8:08 PM
11 Financial Calculations that you can’t do in EXCEL - Part 11 of 11
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By Charles Flock on
8/19/2011 7:58 PM
In this posting we demonstrate how to replicate the EXCEL Logarithmic Trendline in SQL Server using XLeratorDB.
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By Charles Flock on
7/15/2011 5:21 PM
Using the XLeratorDB/statistics 2008 PERCENTILE and PERCENTRANK functions in SQL Server 2008.
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By Charles Flock on
5/19/2011 6:37 PM
In the article we will look at how we can use the XLeratorDB XIRR function to calculate the internal rate of return for individual securities in a portfolio as well as for all the securities in a portfolio, across multiple time horizons.
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By Charles Flock on
5/14/2011 1:22 PM
In this posting we demonstrate how to replicate the EXCEL Exponential Trendline in SQL Server using XLeratorDB.
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By Charles Flock on
4/26/2011 5:33 PM
In this posting we demonstrate how to replicate the EXCEL Polynomial Trendline in SQL Server.
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By Charles Flock on
4/20/2011 5:02 PM
A look at the new interpolation functions in XLeratorDB/math2008 written specifically for SQL Server 2008.
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By Charles Flock on
3/15/2011 7:07 PM
We demonstrate the kind of things that you can do in SQL Server using the XLeratorDB function library. Would you ever really need to build Pascal’s triangle in T-SQL? Probably not. But you really don’t need to build it in any programming language, yet when I search on ‘programming Pascal’s Triangle’ in Google I get about 139,000 results. Now there’s one more.
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By Charles Flock on
3/7/2011 10:10 PM
A look at the 32 new aggregate functions in XLeratorDB/statistics2008 v1.08.
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By Charles Flock on
2/14/2011 9:33 PM
We added 3 new date functions to XLeratorDB/financial that should make date calculations and date manipulations much easier and more EXCEL-like, and show you how to use them to calculate things like date of Easter.
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