Transcript XLeratorDB - WestClinTech

Introducing XLeratorDB
XLeratorDB is a unique, in-database analytics package
that provides
Advanced Analytics – over 650 functions
Greater Performance – up to 100x faster than Excel
Risk Reduction – eliminate spreadsheet risk
Improved Security – calculations saved on DB
Faster Development – lower development costs
Unsurpassed Quality – over 1.2 billion test cases
Optimize SQL Server – enhance customer value
The History of XLeratorDB
2008
Charles Flock and Joe Stampf found
WestClinTech and introduce
XLeratorDB with over 350 Finance,
Statistics, Math and Engineering
functions.
2008
2009
2010 - 2011
More than 250 new functions added
to XLeratorDB.
2010
2011
2012
2008
First commercial sale of
XLeratorDB.
2012 - Present
XLeratorDB releases new FinancialOptions, CAPM and Windowing
functions. Client list grows to over
400 and function list grows to more
than 650.
FUNCTION LIBRARIES FOR SQL SERVER
3
XLeratorDB Featured Clients
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XLeratorDB
Global
Reach
Global Coverage of Financial Markets
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XLeratorDB packages
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XLeratorDB Packages
High-Level list of Functions
Finance
Rates of Return
• Internal Rate of Return
• IRR with non-periodic cash
flows
• Net Present Value
• Modified Dietz
Capital Asset Pricing Model
• Alpha and Beta
• Sharpe, Sortino, Treynor and
Information ratios
Bond Figurations
• Accrued Interest
• Bond Price and Yield
• Odd First, Last coupons
Loans
• Principal and Interest
payments
• Amortization schedules
Depreciation
• Declining Balance
• Straight Line
Other
• Business Days,
• Interest Basis
FUNCTION LIBRARIES FOR SQL SERVER
Statistics
Descriptive Statistics
• Continuous data
• Dispersion
• Shape
Statistical Inference
• Chi Square
• T-Test
Correlation and Regression
• Correlation
• Probability
• Linear
• Slope
• Trend
Data collection
• Standard error
Probabilities
• Beta cumulative probability
density
• Inverse of BetaDist
• Binomial distribution
• Fisher transformation
Math
Arithmetic/Algebraic
• Euclidean
• Factorials
• Mround
• Product
Trigonometry
• Hyperbolic Cosine
• Secant
• Inverse Hyperbolic
Interpolations
• Linear
• Polynomial
• Cubic Spline
Number/Series Generators
• Random
• Random Normal
Matrix
• Matrix Inverse
• Matrix Multiplication
• Transpose
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XLeratorDB Packages
High-Level list of Functions
Financial-Options
Option Models
European
• Black Scholes Merton
• Binomial
• Implied Volatility
American
• Binomial
• Bjerksund-Stensland
• Implied Volatility
Option Greeks
• Delta
• Gamma
• Vega
• Theta
• Rho
• Lambda
Risk Matrix
• Option Matrix
• Option P/L Matrix
Binomial Tree visualization
FUNCTION LIBRARIES FOR SQL SERVER
Engineering
Engineering
• Bessel function
• Error
• Delta
Base Conversions
• Binary number
• Decimal
• Hexadecimal
• Octal
Complex Numbers
• Coefficients
• Absolute value
• Quotient
• Sine
• Square root
Area
• Acres
• Hectares
Length
Speed
Temperature
Volume
Weight
Strings
Formatting
• Concatenate
• Decimal to fraction
• Date Format
• Parsing
Inspection
• String count
• Character position
Calendar
• Working days
Logic
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Performance Information
XLeratorDB Performance Examples
The following highlights the performance increase from Excel 2010 to
XLeratorDB.
Function
No. of
Records
Excel 2010
XLeratorDB
Difference
SLOPE
1,502,537
4.2 min.
.048 min.
-98%
XIRR – Internal Rate of Return (irregular cash flows)
2,700,080
8.32 min.
1.33 min.
-84%
ACCRINTM – Accrued Interest at Maturity
1,000,000
3.5 min.
1.099 min.
-68.5%
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Deployment
XLeratorDB Deployment Models
Desktop
Single Server
Server Cluster
XLeratorDB in
the Cloud
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Documentation and Blog
XLeratorDB Documentation
•
•
•
XLeratorDB includes full documentation that is
available on the website
All functions include examples that can be
implemented right out of the box
XLeratorDB blog includes over 75 informative entries
that provide real-world examples that can be cut,
pasted and executed right from the page.
FUNCTION LIBRARIES FOR SQL SERVER
XLeratorDB Documentation Example
DURATION
Updated: 5 August 2010
Use DURATION to calculate the annual duration of a security with regular, periodic interest payments.
Syntax
SELECT [westclintech].[wct].[DURATION] (
<@Settlement, datetime,>
,<@Maturity, datetime,>
,<@Rate, float,>
,<@Yld, float,>
,<@Frequency, float,>
,<@Basis, nvarchar(4000),>)
Arguments
@Settlement
the settlement date of the security. @Settlement is an expression that returns a datetime or smalldatetime value, or a character string in date format.
@Maturity
the maturity date of the security. @Maturity is an expression that returns a datetime or smalldatetime value, or a character string in date format.
@Rate
the security’s annual coupon rate. @Rate is an expression of type float or of a type that can be implicitly converted to float.
@Yld
the security’s annual yield. @Yld is an expression of type float or of a type that can be implicitly converted to float.
@Frequency
the number of coupon payments per year. For annual payments, @Frequency = 1; for semi-annual, @Frequency = 2; for quarterly, @Frequency = 4; for monthly, @Frequency = 12. @Frequency is
an expression of type float or of a type that can be implicitly converted to float.
@Basis
is the type of day count to use. @Basis is an expression of the character string data type category.
@Basis
0 or omitted
1
2
3
4
Day count basis
US (NASD) 30/360
Actual/Actual
Actual/360
Actual/365
European 30/360
Return Type
float
Remarks
·
If @Yld < 0 or if @Rate < 0, DURATION returns an error
·
If the @Frequency is any number other than 1, 2, 4, or 12, DURATION returns an error
·
If @Settlement > @Maturity, DURATION returns an error
·
If the @Basis < 0 or the @Basis > 4, DURATION returns an error
Example
SELECT wct.DURATION ('12/22/2007'
,'12/15/2009'
,0.05
,0.06
,2
,0)
Here is the result set
---------------------1.90779125985842
XLeratorDB Blog examples
Calculating a time-weighted rate of return using modified Dietz in SQL Server
By cflock on 10/24/2012 1:24 PM
The modified Dietz calculation produces a result which measures the performance of an investment portfolio
based on time-weighted cash flows. Today, we will look at two XLeratorDB aggregate functions, EMDIETZ and
FVSCHEDULE, which calculate the modified Dietz value for each period and then link the results together to
come up with a time-weighted rate of return value.
Read More »
Creating a Bond Amortization Schedule in SQL Server
By cflock on 4/5/2012 8:55 PM
A look at different techniques for generating schedules to account for the premium or discount associated with the
issuance or purchase of a bond using the XLeratorDB functions COUPDAYSNC, COUPNUM, DAYS360, EDATE,
IRR, PRICE, PV, RATE, SeriesDate, SeriesInt, XIRR, and YIELD.
Read More »
Calculating the Time-Weighted Rate of Return in SQL Server
By cflock on 11/25/2011 1:51 PM
With the release of the TWRR multi-input aggregate function, XLeratorDB users can now calculate the timeweighted rate of return directly in a T-SQL statement.
Read More »
11 financial calculations that you can’t do in EXCEL
By cflock on 10/18/2011 8:16 PM
Here is a list of 11 very simple financial calculations that you can’t do in EXCEL, either because the EXCEL design
of a function doesn’t support the input data, or because EXCEL produces a result that is wrong or unreliable. Of
course, we used EXCEL 2010 and, of course, you can do them in SQL Server using XLeratorDB.
Part 1 of 11 - Enter a negative yield to calculate the price of a bond
Read More »
Product Quality and Testing
XLeratorDB Product Quality and Testing
 XLeratorDB‘s product quality
meets the highest standard
 XLeratorDB quality is assured with
over 1.2
Finance
billion test cases
 XLeratorDB employs a “test
harness“ for each function, each
containing an average of 2 million
test cases
 The quality of XLeratorDB gives
you the confidence to focus on your
business, not your software
FUNCTION LIBRARIES FOR SQL SERVER
Statistics
Windowing
Math
XLeratorDB
Utilities
FinancialOptions
Strings
Engineering
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Compatibility
XLeratorDB Technical Compatibility
Databases
Development languages
SQL Server
SQL Server 2005
SQL Server 2008
SQL Server 2012
.Net
Java
Perl
C++
Python
and many others…
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Summary
XLeratorDB Summary
•
•
•
XLeratorDB includes over 650 sophisticated functions covering
Finance, Statistics, Financial-Options, Math, Engineering,
Windowing and Strings
XLeratorDB dramatically increases performance and security,
reduces risk and has impeccable quality
XLeratorDB greatly enhances the overall value of SQL Server
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E-
v-O-L-V-E
to the next step…
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