遇到问题。
我定义了一个表来保存每日国库的值(value) yield curve .
这是一个非常简单的表,用于值的历史查找。
年份 4
的表中存在明显的一些空白, 6
, 8
, 9
, 11-19
和 21-29
.
计算年份 4
的公式非常简单。它是 0.5*Year3Value + 0.5*Year5Value
.
问题是我怎么写VIEW
那可以归还逝去的岁月?
我可能可以在存储过程中完成它,但最终结果需要是一个 View 。
最佳答案
假设 Tom H. 认为您真正想要的是线性插值,并且不仅缺少年份,还缺少月份,您需要将每个计算基于 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 View 的一部分计算):
以下代码必须有效(您只需要基于它创建一个 View ):
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'
关于SQL Server View : how to add missing rows using interpolation,我们在Stack Overflow上找到一个类似的问题: https://stackoverflow.com/questions/920776/