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XLeratorDB/financial-options Documentation

SQL Server options function


XLeratorDB / financial-options

Use XLeratorDB / financial-options for a wide variety of financial calculations. The feature-rich XLeratorDB function library lets you include calculations in any T-SQL statement including SELECT, INSERT, UPDATE, DELETE, CREATE VIEW as well as in CTEs, stored procedures, user-defined functions, and computed columns.

FUNCTION REFERENCE - FINANCIAL OPTIONS FUNCTIONS
BARRIER OPTIONS
AdjustedBarrier
 
Convert an hourly, daily, weekly, or monthly barrier value to a continuous barrier value.
 
BinaryBarrierAndStrike
 
Calculate the price or Greeks for binary barrier options having payoffs that are received only at expiration.
 
BinaryBarrierAndStrikePriceNGreeks
 
Calculate the price and other derivatives for binary barrier options having payoffs that are received only at expiration.
 (table-valued function)
BinaryBarrierOnly
 
Calculate the price or Greeks for binary barrier options having payoffs that are received only at expiration.
 
BinaryBarrierOnlyPriceNGreeks
 
Calculate the price and other derivatives for binary barrier options having payoffs that are received only at expiration.
 (table-valued function)
BinaryBarrierPayoutAtHit
 
Calculate the price or Greeks for binary barrier options having payoffs that are received the moment that the barrier is breached.
 
BinaryBarrierPayoutAtHitPriceNGreeks
 
Calculate the price and other derivatives for binary barrier options having payoffs that are received the moment that the barrier is breached.
 (table-valued function)
StandardBarrier
 
Calculate the price or Greeks of a European-style Knock-In or Knock-Out option.
 
StandardBarrierPriceNGreeks
 
Calculate the price and Greeks of a European-style Knock-In or Knock-Out option.
 (table-valued function)
 
BINOMIAL TREES
BinomialAmerican
 
Calculate the price, delta, gamma, theta, vega, rho, or lambda of an American option using the Binomial Tree option pricing formula.
 
BinomialAmericanIV
 
Calculate the implied volatility of an American option using the Binomial Tree option pricing formula.
 
BinomialEuro
 
Calculate the price, delta, gamma, theta, vega, rho, or lambda of a European option using the Binomial Tree option pricing formula.
 
BinomialEuroIV
 
Calculate the implied volatility of a European option using the Binomial Tree option pricing formula.
 
BinomialPriceNGreeks
 
Calculate the price, delta, gamma, theta, vega, rho, and lambda of European or American options using the Binomial Tree option pricing formula.
 (table-valued function)
BinomialTree
 
Return the option value, intrinsic value, and underlying value for each node on a binomial tree for an American or European option.
 (table-valued function)
sp_BinomialTree
 
Generate a result set of all the values in the binomial tree used to calculate the theoretical price of an option.
 
 
BJERKSUND STENSLAND
BjerksundStensland
 
Calculate the price or Greeks of an American-style option using the Bjerksund and Stensland 2002 option pricing formula.
 
BjerksundStenslandIV
 
Calculate an implied volatility for an American-style option using the Bjerksund and Stensland 2002 option pricing formula.
 
BjerksundStenslandPriceNGreeks
 
Calculate to calculate the price and other derivatives of an American option using the Bjerksund & Stensland 2002 option pricing formula.
 (table-valued function)
 
BLACK SCHOLES
BlackScholesMerton
 
Calculate the price or Greeks of a European option using the Black-Scholes-Merton option pricing formula.
 
BlackScholesMertonIV
 
Calculate an implied volatility for a European-style option using the Black-Scholes-Merton option pricing formula.
 
BlackScholesMertonPriceNGreeks
 
Calculate the price and other derivatives of a European option using the Black-Scholes-Merton option pricing formula.
 (table-valued function)
 
EQUITY OPTIONS
BinomialDiscreteDividends
 
Calculate the price and Greeks of an American or European option paying discrete dividends using a Cox Ross Rubinstein Binomial as described in Options, Futures, and Other Derivatives, 8th Edition, by John C.  ††
 
BinomialDiscreteDividendsIV
 
Calculate the implied volatility of American or European option paying discrete dividends using a Cox Ross Rubinstein Binomial as described in Options, Futures, and Other Derivatives, 8th Edition, by John C.  ††
 
BinomialDiscreteDividendsPriceNGreeks
 
Calculate the price, delta, gamma, theta, vega, rho, and lambda of American and European options paying discrete dividends using a Cox Ross Rubinstein Binomial as described in Options, Futures, and Other Derivatives, 8th Edition, by John C.  ††
 (table-valued function)
BinomialDiscreteDividendsTree
 
Return the option value, intrinsic value, underlying value, and present value of the dividend amounts for each node on a binomial tree for an American or European option paying discrete dividends.  ††
 (table-valued function)
NonRecombiningTree
 new!
Calculate the price and Greeks of an American or European option paying discrete dividends using a non-recombining binomial tree.  ††
 
NonRecombiningTreeIV
 new!
Calculate the implied volatility of an American or European option paying discrete dividends using a non-recombining binomial tree.  ††
 
NonRecombiningTreePriceNGreeks
 new!
Calculate the price, delta, gamma, theta, vega, rho, and lambda of American and European options paying discrete dividends using a non-recombining tree.  ††
 (table-valued function)
ProportionalDividends
 
Calculate the price and Greeks of an American or European option paying proportional dividends using a Cox Ross Rubinstein Binomial.  ††
 
ProportionalDividendsIV
 
Calculate the implied volatility of American or European option paying proportional dividends using a Cox Ross Rubinstein Binomial.  ††
 
ProportionalDividendsPriceNGreeks
 
Calculate the price, delta, gamma, theta, vega, rho, and lambda of American and European options paying proportional dividends using a Cox Ross Rubinstein Binomial.  ††
 (table-valued function)
ProportionalDividendsTree
 
Return the option value, intrinsic value, and underlying value for each node on a binomial tree for an American or European option paying proportional dividends.  ††
 (table-valued function)
 
PERFORMANCE ANALYTICS
OptionMatrix
 
Generate a result set of return values by varying two inputs into the calculated value.
 
sp_OptionMatrix
 
Generate a result set of all return values by varying two inputs into the calculated value.
 
OptionPLMatrix
 
Generate a result set of profit (loss) by varying two inputs into the theoretical value of the option.
 
sp_OptionPLMatrix
 
Generate a result set of profit (loss) by varying two inputs into the theoretical value of the option.
 
 
MISC / OTHER
XLDB_OPTIONS_VERSION
 
Return XLeratorDB / options version information.
 
 

This function cannot reference data from SQL Server 2014 memory-optimized tables

 



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