Question

Given the starting value @pStartingValue and a table which contains rorDate and ror what is the most efficient way to get the NAV at each date using just TSQL?

This mathematically trivial, and simple in code. I have a naive SQL implementation currently that relies on cursors.

On the first date, the NAV is @pStartingValue * ror
On every subsequent date, it’s the previously calculated nav * ror or it’s @pStartingValue * every previous ror

How would you efficiently do this only in MSSQL2005+?

DECLARE @rorDate DATE
DECLARE @getDate CURSOR
DECLARE @lastNAV as DECIMAL(19,7)
DECLARE @datedRoR as float
DECLARE @NAVTotals TABLE
(
  NAV DECIMAL(19,7),
  navDate DATE
)


SET @lastNAV = 100

SET @getDate = CURSOR FOR
    SELECT 
        p.[DATE]
    FROM 
        performance p 
    ORDER BY 
        p.[DATE]

OPEN @getDate
FETCH NEXT
FROM @getDate INTO @rorDate
WHILE @@FETCH_STATUS = 0
BEGIN

SELECT 
    @datedRoR = b.finalNetReturn 
FROM 
    performance b 
WHERE 
    b.date = @rorDate

INSERT INTO @NAVTotals (NAV, navDate)
  VALUES (@lastNAV * (1 + @datedRoR), @rorDate)

SELECT 
    @lastNAV = c.NAV 
FROM 
    @NAVTotals c 
WHERE 
    c.navDate = @rorDate  


FETCH NEXT
FROM @getDate INTO @rorDate
END
CLOSE @getDate
DEALLOCATE @getDate

select * from @NAVTotals

Answer 1

You’ll have to do some testing to see if the performance improves but this is a way to do that same thing without using a cursor. It’s untested so you’ll want to make sure to test it. I also cast b.finalNetReturn as a float, if it’s already a float you can remove that part.

DECLARE @lastNAV as DECIMAL(19,7)

SET @lastNAV = 100    

DECLARE @NAVTotals TABLE
(
  NAV DECIMAL(19,7),
  navDate DATE
);

INSERT INTO @NAVTotals (navDate) 
   SELECT [DATE]
    FROM performance
    ORDER BY [DATE] ASC;

UPDATE NT
SET @lastNAV = Nav = (@lastNAV * (1.0 +
 (Cast((SELECT b.finalNetReturn 
        FROM performance b 
        WHERE b.date = NT.navDate) AS FLOAT)))) 
FROM @NAVTotals NT;

SELECT * FROM @NAVTotals ORDER BY navDate;

---

By dropping the lastNAV variable into the update statement you can update both. It works similar to:

a = a + 1

There is an example of this same approach here. Including some good numbers that compare the efficiency of the approach to other approaches such as cursors.