While loop to add data for pivot - tsql

Question

Currently i have a requirement which needs a table to look like this:
Instrument Long Short 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 ....
Fixed 41 41 35 35 35 35 35 35 35 53 25 25
Index 16 16 22 22 22 32 12 12 12 12 12 12
Credits 29 29 41 16 16 16 16 16 16 16 16 16
Short term 12 12 5 5 5 5 5 5 5 5 5 17
My worktable looks like the following:
Instrument Long Short Annual Coupon Maturity Date Instrument ID
Fixed 10 10 10 01/01/2025 1
Index 5 5 10 10/05/2016 2
Credits 15 15 16 25/06/2020 3
Short term 12 12 5 31/10/2022 4
Fixed 13 13 15 31/03/2030 5
Fixed 18 18 10 31/01/2019 6
Credits 14 14 11 31/12/2013 7
Index 11 11 12 31/10/2040 8
..... etc
So basically the long and the short in the pivot should be the sum of each distinct instrument ID. And then for each year i need to take the sum of each Annual Coupon until the maturity date year where the long and the coupon rate are added together.
My thinking was that i had to create a while loop which would populate a table with a record for each year for each instrument until the maturity date, so that i could then pivot using an sql pivot some how. Does this seem feasible? Any other ideas on the best way of doing this, particularly i might need help on the while loop?

Answer 1

The following solution uses a numbers table to unfold ranges in your table, performs some special processing on some of the data columns in the unfolded set, and finally pivots the results:
WITH unfolded AS (
SELECT
t.Instrument,
Long = SUM(z.Long ) OVER (PARTITION BY Instrument),
Short = SUM(z.Short) OVER (PARTITION BY Instrument),
Year = y.Number,
YearValue = t.AnnualCoupon + z.Long + z.Short
FROM YourTable t
CROSS APPLY (SELECT YEAR(t.MaturityDate)) x (Year)
INNER JOIN numbers y ON y.Number BETWEEN YEAR(GETDATE()) AND x.Year
CROSS APPLY (
SELECT
Long = CASE y.Number WHEN x.Year THEN t.Long ELSE 0 END,
Short = CASE y.Number WHEN x.Year THEN t.Short ELSE 0 END
) z (Long, Short)
),
pivoted AS (
SELECT *
FROM unfolded
PIVOT (
SUM(YearValue) FOR Year IN ([2013], [2014], [2015], [2016], [2017], [2018], [2019], [2020],
[2021], [2022], [2023], [2024], [2025], [2026], [2027], [2028], [2029], [2030],
[2031], [2032], [2033], [2034], [2035], [2036], [2037], [2038], [2039], [2040])
) p
)
SELECT *
FROM pivoted
;
It returns results for a static range years. To use it for a dynamically calculated year range, you'll first need to prepare the list of years as a CSV string, something like this:
SET #columnlist = STUFF(
(
SELECT ', [' + CAST(Number) + ']'
FROM numbers
WHERE Number BETWEEN YEAR(GETDATE())
AND (SELECT YEAR(MAX(MaturityDate)) FROM YourTable)
ORDER BY Number
FOR XML PATH ('')
),
1, 2, ''
);
then put it into the dynamic SQL version of the query:
SET #sql = N'
WITH unfolded AS (
...
PIVOT (
SUM(YearValue) FOR Year IN (' + #columnlist + ')
) p
)
SELECT *
FROM pivoted;
';
and execute the result:
EXECUTE(#sql);
You can try this solution at SQL Fiddle.