SQLServerCentral » T-SQL (SS2K5) » Calculate XIRR in SQL ServerInstantForum 2016-2 FinalSQLServerCentralhttps://www.sqlservercentral.com/Forums/SQLServerCentralMon, 16 Jan 2017 16:02:31 GMT20Calculate XIRR in SQL Serverhttps://www.sqlservercentral.com/Forums/FindPost919838.aspxHello All,
Is there any way to calculate XIRR in SQL server using T-SQL.
Kindly suggest.
ThankxTue, 22 Apr 2014 10:49:29 GMTvijay.sRE: Calculate XIRR in SQL Serverhttps://www.sqlservercentral.com/Forums/FindPost1563972.aspxI got it to work using a guess rate of -.9Tue, 22 Apr 2014 10:49:29 GMTkayla_wildeRE: Calculate XIRR in SQL Serverhttps://www.sqlservercentral.com/Forums/FindPost1563958.aspxI've been using this and it works great but it doesn't work if the XIRR is negative, did you ever modify this code to handle that?Tue, 22 Apr 2014 10:34:48 GMTkayla_wildeRE: Calculate XIRR in SQL Serverhttps://www.sqlservercentral.com/Forums/FindPost1542322.aspxThe Newton-Raphson approach to finding roots can also be done in an rCTE:
[url=http://www.sqlservercentral.com/articles/T-SQL/90955/]Exploring Recursive CTEs by Example [/url]Mon, 17 Feb 2014 17:59:22 GMTdwain.cRE: Calculate XIRR in SQL Serverhttps://www.sqlservercentral.com/Forums/FindPost1541341.aspxAn XIRR is just a function name in Excel, it is actually an IRR calculation when the timings for the cash flows are given using a date schedule. This then leads to discounting of the cash flows at the actual time period as opposed to periodic time periods in IRR calculation
There are more than one way to define the XIRR equation and there are scores of ways of finding the roots of this equation that results in one or more IRR values
My personal favorite algo to find roots of a given function is the popular Newton-Raphson method that was named after the two mathematicians who independently discovered this method independent of each other about more than two centuries ago. One is the famous inventor of modern day Calculus the English mathematician Sir Isaac Newton (whom it seem was Knighted by the King of England thus the title "Sir" is referenced. The other one is Joseph Raphson, I am not sure of his national origin but it sounds like an American name so who knows I didn't look it up
Code may not always return an XIRR in such a case use a Guess rate other than the last one tried. In other case a Division by zero may be encountered when the differential is zero.
[code="sql"]
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 @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,
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 + theValue * POWER(1 + @X0, (-theDelta / 365.0E)),
@fbar = @fbar - theDelta / 365.0E * theValue * POWER(1 + @X0, (-theDelta / 365.0E - 1))
FROM (
SELECT theValue,
DATEDIFF(DAY, MIN(theDate) OVER (), theDate) AS theDelta
FROM @Sample
) AS d
IF @fbar = 0
RETURN NULL
SET @X = @X0 - @f / @fbar
If ABS(@X - @X0) < 0.00000001
RETURN @X
SET @X0 = @X
SET @i += 1
END
RETURN NULL
END
GO
[/code]
The above code is based on financial functions found in this JavaScript library [url=https://github.com/FinancialEngineer/tadJS/]tadJS[/url] that itself is based upon [url=http://tadxl.com]tadXL[/url]Thu, 13 Feb 2014 11:03:26 GMTbobthefinancialengineerRE: Calculate XIRR in SQL Serverhttps://www.sqlservercentral.com/Forums/FindPost1056619.aspxthanx ...but the xirr value is not marching with MS Excel :(Mon, 31 Jan 2011 23:34:28 GMTraka.nandiRE: Calculate XIRR in SQL Serverhttps://www.sqlservercentral.com/Forums/FindPost920159.aspxok Elutin
Thanx four your helpTue, 11 May 2010 22:27:56 GMTvijay.sRE: Calculate XIRR in SQL Serverhttps://www.sqlservercentral.com/Forums/FindPost920048.aspxOK,
Here we are:
1. We create a sample table
[code="sql"]
create table txns
(
PmtAmount money
,PmtDate Datetime
)
insert into txns
select -2750,'20080205'
union select 1000,'20080705'
union select 2000,'20090105'
[/code]
2. Then we calculate your XIRR as per Excel (almost):
[code="sql"]
DECLARE @nGuessRate NUMERIC(18,10)
SET @nGuessRate = 0.1 -- 10% - as per Excel XIRR default
DECLARE @dtFirstPmtDate DATETIME
DECLARE @nRateChange NUMERIC(18,10)
DECLARE @nResidual NUMERIC(18,10)
DECLARE @nPrevResidual NUMERIC(18,10)
DECLARE @nXIRR NUMERIC(18,10)
SET @nRateChange = 0.1 -- starting point of the rate change
SELECT @dtFirstPmtDate=MIN(PmtDate) FROM txns
SELECT @nResidual = 10
,@nPrevResidual = 1
,@nXIRR = @nGuessRate
DECLARE @nIteration SMALLINT
SET @nIteration = 0 -- 100 is a maximum number of calc. iterations as per Excel XIRR
WHILE @nIteration < 100 AND ABS((@nPrevResidual - @nResidual) / @nPrevResidual) > 1.0/POWER(10,8)
BEGIN
SET @nPrevResidual = @nResidual
SET @nResidual = 0
SELECT @nResidual = @nResidual + PmtAmount/ POWER((1.0+@nGuessRate),(DATEDIFF(d,@dtFirstPmtDate,PmtDate)/365.0))
FROM txns
SET @nXIRR = @nGuessRate
IF @nResidual >= 0
BEGIN
SET @nGuessRate = @nGuessRate + @nRateChange
END
ELSE
BEGIN
SET @nRateChange = @nRateChange / 2
SET @nGuessRate = @nGuessRate - @nRateChange
END
SET @nIteration = @nIteration + 1
END
-- Calculation result
SELECT @nXIRR AS XIRR
[/code]
Now, you can wrap it into stored proc or sql function.
Remember to check that your payment range contains at least one negative and one positive payment, otherwise you should return some error, check Excel XIRR documentation for other error conditions if any.
BUT! It may not be what you want. You most likely want XIRR to be an aggregate function. You cannot implement it in T-SQL, but you can do it in .NET as CLR function. Or, buy the product I have told you about in the previous post.
I might write some article about it if I have spare time...
Good LuckTue, 11 May 2010 15:18:19 GMTEugene ElutinRE: Calculate XIRR in SQL Serverhttps://www.sqlservercentral.com/Forums/FindPost919909.aspxa quick google search on XIRR turned up this:
[url]http://forums.databasejournal.com/showthread.php?t=46094[/url]
Tue, 11 May 2010 11:51:27 GMTCory E.RE: Calculate XIRR in SQL Serverhttps://www.sqlservercentral.com/Forums/FindPost919905.aspxcan any one give me best algorithm for the same, so i can go ahead with development.
If sample code provided then its save my time.
ThankxTue, 11 May 2010 11:48:12 GMTvijay.sRE: Calculate XIRR in SQL Serverhttps://www.sqlservercentral.com/Forums/FindPost919863.aspxThat the good one!
There are no such thing in SQL!
You can code it yourself if you wish and have time to do so (you will need to find good algorithm first).
Or use XLeratorDB product from www.westclintech.com, if you really need it and have some money to spend :-)Tue, 11 May 2010 10:46:38 GMTEugene Elutin