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## math functions in SQL?

 Author Message Christopher Klein Ten Centuries Group: General Forum Members Points: 1392 Visits: 226 Is it possible to do heavy financial/math functions in SQL?I have an excel functionFunction BlackScholes(Underlying, Strike, RiskFree, expTime, Volatility) d1 = (Log(Underlying / Strike) + RiskFree * expTime) / (Volatility * Sqr(expTime)) + _ 0.5 * Volatility * Sqr(expTime) BlackScholes = Underlying * Application.NormSDist(d1) - Strike * Exp(-expTime * RiskFree) * _ Application.NormSDist(d1 - Volatility * Sqr(expTime))End Functionpassing in 48,50,0.06,0.25,0.25 I get back a value of 1.847038So I tried to recreate it in SQL (realizing that I have no idea how to recreate Application.NormSDist atm)declare@underlying int,@strike int,@RiskFree float,@expTime float,@vol float,@d1 float,@blackscholes floatselect@underlying = 48,@strike = 50,@RiskFree = 0.06,@expTime = 0.25,@vol = 0.25select @d1 = (Log(@underlying / @strike) + @RiskFree * @expTime) / (@vol * SQRT(@expTime)) + 0.5 * @vol * SQRT(@expTime)select @blackscholes = (@underlying * @d1 - @strike * Exp(-@expTime * @RiskFree)) * (@d1 - @vol * SQRT(@expTime))print @blackscholes Starting with the first select @d1 line. I get a domain error because Log(48/50) is invalid.I always thought Log was a Log, how can Excel do it and not SQL? Anyone know of a workaround? I figure onec I get that squared away (no pun intended), I can figure how to do the standard/normal distribution.Thanks,Chris Lynn Pettis SSC Guru Group: General Forum Members Points: 226377 Visits: 40443 LOG in Excel defaults to base 10, where as LOG in SQL is the Natural Logarithm (same as ln in Excel) of a number. In SQL you need to use LOG10.hth Lynn PettisFor better assistance in answering your questions, click hereFor tips to get better help with Performance Problems, click hereFor Running Totals and its variations, click here or when working with partitioned tablesFor more about Tally Tables, click hereFor more about Cross Tabs and Pivots, click here and hereManaging Transaction LogsSQL Musings from the Desert Fountain Valley SQL (My Mirror Blog) Lynn Pettis SSC Guru Group: General Forum Members Points: 226377 Visits: 40443 Also, convert your data from int to float before using and that you aren't passing the log10 function a 0 (zero) value. Lynn PettisFor better assistance in answering your questions, click hereFor tips to get better help with Performance Problems, click hereFor Running Totals and its variations, click here or when working with partitioned tablesFor more about Tally Tables, click hereFor more about Cross Tabs and Pivots, click here and hereManaging Transaction LogsSQL Musings from the Desert Fountain Valley SQL (My Mirror Blog) Christopher Klein Ten Centuries Group: General Forum Members Points: 1392 Visits: 226 Actually, the more I think about this one, it might be a good canidate for a CLR assembly. Without diving back into statistics and more math than I really want to, instead of rewritting the wheel I could always create a class that just calls the office excel built in functions.Thanks for the heads up on the Log10 Chris Lynn Pettis SSC Guru Group: General Forum Members Points: 226377 Visits: 40443 That, of course, requires that you Office (Excel) installed on your server. I personally try to keep office of my SQL server systems as much as possible. Using CLR, there are probably math packages out there you could use and not have to worry about Office. Lynn PettisFor better assistance in answering your questions, click hereFor tips to get better help with Performance Problems, click hereFor Running Totals and its variations, click here or when working with partitioned tablesFor more about Tally Tables, click hereFor more about Cross Tabs and Pivots, click here and hereManaging Transaction LogsSQL Musings from the Desert Fountain Valley SQL (My Mirror Blog) SwePeso SSC-Insane Group: General Forum Members Points: 22411 Visits: 3433 The problem is NOT with LOG function.You are using INTEGER DIVISION!@underlying and @strike are both integers. select @d1 = (Log(@underlying / @strike) + @RiskFree * @expTime) / (@vol * SQRT(@expTime)) + 0.5 * @vol * SQRT(@expTime) Try thisselect @d1 = (Log(1.0 * @underlying / @strike) + @RiskFree * @expTime) / (@vol * SQRT(@expTime)) + 0.5 * @vol * SQRT(@expTime) N 56°04'39.16"E 12°55'05.25" Lynn Pettis SSC Guru Group: General Forum Members Points: 226377 Visits: 40443 Peter, That is why I told him to convert the values passed to float in my second post on the subject. However, the values he would get would not match what he got in Excel using LOG in SQL, as LOG in SQL is the natural log while LOG in Excel defaults to LOG base 10 which is LOG10 in SQL. Lynn PettisFor better assistance in answering your questions, click hereFor tips to get better help with Performance Problems, click hereFor Running Totals and its variations, click here or when working with partitioned tablesFor more about Tally Tables, click hereFor more about Cross Tabs and Pivots, click here and hereManaging Transaction LogsSQL Musings from the Desert Fountain Valley SQL (My Mirror Blog) Christopher Klein Ten Centuries Group: General Forum Members Points: 1392 Visits: 226 Thanks for the help Chris

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