我正在尝试在 SQL 中找到 excel XIRR 计算的合适实现。
我在网上找到了以下函数:
CREATE TYPE dbo.MyXirrTable AS TABLE
(
theValue DECIMAL(19, 9) NOT NULL,
theDate DATETIME NOT NULL
)
GO
CREATE FUNCTION dbo.XIRR
(
@Sample MyXirrTable READONLY,
@Rate DECIMAL(19, 9) = 0.1
)
RETURNS DECIMAL(38, 9)
AS
BEGIN
DECLARE @LastRate DECIMAL(19, 9),
@RateStep DECIMAL(19, 9) = 0.1,
@Residual DECIMAL(19, 9) = 10,
@LastResidual DECIMAL(19, 9) = 1,
@i TINYINT = 0
IF @Rate IS NULL
SET @Rate = 0.1
SET @LastRate = @Rate
WHILE @i < 100 AND ABS((@LastResidual - @Residual) / @LastResidual) > 0.00000001
BEGIN
SELECT @LastResidual = @Residual,
@Residual = 0
SELECT @Residual = @Residual + theValue / POWER(1 + @Rate, theDelta / 365.0E)
FROM (
SELECT theValue,
DATEDIFF(DAY, MIN(theDate) OVER (), theDate) AS theDelta
FROM @Sample
) AS d
SET @LastRate = @Rate
If @Residual >= 0
SET @Rate += @RateStep
ELSE
SELECT @RateStep /= 2,
@Rate -= @RateStep
SET @i += 1
END
RETURN @LastRate
END
GO
(取自 here )
在测试此功能并取得很大成功后(结果与 Excel 匹配)。我意识到它似乎不适用于一组会导致负 XIRR 的交易。
我不完全理解算法的内部原理,并且尝试过调试但运气不佳。
这是一个失败的测试用例:
DECLARE @Test MyXirrTable
INSERT @Test
VALUES (-4471762.56680002, '2008-11-13 00:00:00.000'),
(+2607759.77, '2008-11-14 00:00:00.000'),
(+12263.33, '2008-11-25 00:00:00.000'),
(+1658.89, '2008-11-25 00:00:00.000'),
(+1834423.33, '2008-12-04 00:00:00.000'),
(-0.000245418674579822,'2013-11-14 00:00:00.000')
SELECT dbo.XIRR(@Test, 0.1)
计算值 = -0.000000001
预期值 = -0.12879
是否有人比我更了解金融算法,可以修复此测试用例或提供更好的 SQL 解决方案?
最佳答案
这与 Excel 值有关:
CREATE TYPE [dbo].[XIRRTable] AS TABLE(
[Value] [decimal](19, 9) NOT NULL,
[Date] [datetime] NOT NULL
)
GO
CREATE FUNCTION [dbo].[CalcXIRR]
(
@Sample XIRRTable READONLY,
@Rate DECIMAL(19, 9) = 0.1
)
RETURNS DECIMAL(38, 9)
AS
BEGIN
DECLARE @X DECIMAL(19, 9) = 0.0,
@X0 DECIMAL(19, 9) = 0.1,
@f DECIMAL(19, 9) = 0.0,
@fbar DECIMAL(19, 9) = 0.0,
@i TINYINT = 0,
@found TINYINT = 0
IF @Rate IS NULL
SET @Rate = 0.1
SET @X0 = @Rate
WHILE @i < 100
BEGIN
SELECT @f = 0.0,
@fbar = 0.0
SELECT @f = @f + value * POWER(1 + @X0, (-theDelta / 365.0E)),
@fbar = @fbar - theDelta / 365.0E * value * POWER(1 + @X0, (-theDelta / 365.0E - 1))
FROM (
SELECT Value,
DATEDIFF(DAY, MIN(date) OVER (), date) AS theDelta
FROM @Sample
) AS d
SET @X = @X0 - @f / @fbar
If ABS(@X - @X0) < 0.00000001
BEGIN
SET @found = 1
BREAK;
END
SET @X0 = @X
SET @i += 1
END
If @found = 1
RETURN @X
RETURN NULL
END
关于sql - SQL 中的 XIRR 计算,我们在Stack Overflow上找到一个类似的问题: https://stackoverflow.com/questions/20972209/