递归cte以跨多个季度填充最新可用数据？

ugmeyewa 于 2021-07-24 发布在 Java

关注(0)|答案(2)|浏览(336)

以下是一个示例数据集：

CREATE TABLE UholdingsPE(
   Reference_Date DATE  NOT NULL PRIMARY KEY
  ,Investment     VARCHAR(14) NOT NULL
  ,Holding        VARCHAR(9) NOT NULL
  ,Price          INTEGER  NOT NULL
);
INSERT INTO UholdingsPE(Reference_Date,Investment,Holding,Price) VALUES ('3/31/2017','Example Fund 1','Apple',1);
INSERT INTO UholdingsPE(Reference_Date,Investment,Holding,Price) VALUES ('3/31/2017','Example Fund 1','Microsoft',1);
INSERT INTO UholdingsPE(Reference_Date,Investment,Holding,Price) VALUES ('6/30/2017','Example Fund 1','Apple',1);
INSERT INTO UholdingsPE(Reference_Date,Investment,Holding,Price) VALUES ('6/30/2017','Example Fund 1','Microsoft',1);
INSERT INTO UholdingsPE(Reference_Date,Investment,Holding,Price) VALUES ('9/30/2017','Example Fund 1','Apple',1);
INSERT INTO UholdingsPE(Reference_Date,Investment,Holding,Price) VALUES ('9/30/2017','Example Fund 1','Microsoft',1);
INSERT INTO UholdingsPE(Reference_Date,Investment,Holding,Price) VALUES ('12/31/2017','Example Fund 1','Apple',1);
INSERT INTO UholdingsPE(Reference_Date,Investment,Holding,Price) VALUES ('12/31/2017','Example Fund 1','Microsoft',1);
INSERT INTO UholdingsPE(Reference_Date,Investment,Holding,Price) VALUES ('6/30/2018','Example Fund 1','Apple',22);
INSERT INTO UholdingsPE(Reference_Date,Investment,Holding,Price) VALUES ('6/30/2018','Example Fund 1','Microsoft',22);
INSERT INTO UholdingsPE(Reference_Date,Investment,Holding,Price) VALUES ('12/31/2018','Example Fund 1','Apple',33);
INSERT INTO UholdingsPE(Reference_Date,Investment,Holding,Price) VALUES ('12/31/2018','Example Fund 1','Microsoft',33);
INSERT INTO UholdingsPE(Reference_Date,Investment,Holding,Price) VALUES ('6/30/2019','Example Fund 1','Apple',44);
INSERT INTO UholdingsPE(Reference_Date,Investment,Holding,Price) VALUES ('6/30/2019','Example Fund 1','Microsoft',44);
INSERT INTO UholdingsPE(Reference_Date,Investment,Holding,Price) VALUES ('12/31/2019','Example Fund 1','Apple',55);
INSERT INTO UholdingsPE(Reference_Date,Investment,Holding,Price) VALUES ('12/31/2019','Example Fund 1','Microsoft',55);

我们每季度从我们的共同基金获得股份。它们按参考日期、投资和持有量加载，使每一行都不同。这些数据放在msft sql server的数据库中。有时一只基金不提交该季度的持有量。在这种情况下，我们希望提取最新可用季度的持有量（这可能是3或4个季度前），因此在多个参考日期执行趋势分析时没有差距。
例如，假设我们有一个基金，其可用sql行的参考日期为3/31/19、9/30/19和3/31/20（缺少6/30/19和12/31/19）。我想弄清楚如何用最后可用的季度数据填写这些缺失的季度。所以，6/30/19就是3/31/19的数据。19年12月31日将使用19年9月30日的数据。不过，如果某只基金在某个季度有数据，我们只会使用这些数据。这是我当前使用的查询，但它只返回一个季度，如果缺少当前季度数据，则使用上一季度数据填充此季度数据：

DECLARE @MaxDate Date = '20180930'  --Typically this would be the max [Reference Date] grouped by Fund as we cannot pass parameters in our BI tool

;WITH Latest_Fund
AS (
        SELECT *,
            ROW_NUMBER() OVER (PARTITION BY Investment ORDER BY EOMONTH([Reference Date],0) DESC) AS rn  
        FROM UholdingsPE  
        WHERE EOMONTH([Reference Date],0) >= DATEADD("MONTH",-3,@MaxDate)  
            AND EOMONTH([Reference Date],0) <= @MaxDate  
)  
SELECT
F.[Reference Date], *  
FROM DBO.UholdingsPE Z  
INNER JOIN Latest_Fund F  
    ON (Z.Investment = F.Investment or Z.Investment = F.Investment)  
        AND EOMONTH(F.[Reference Date],0) = EOMONTH(Z.[Reference Date],0)  
WHERE F.rn = 1

下面是我希望看到的一个例子：

下面是我正在使用的表的整个ddl（请注意，[当前值]与price相同）：

USE [EPM_Datamart]
GO

/******Object:  Table [dbo].[UHoldingsPE]    Script Date: 6/30/2020 1:02:28 PM******/
SET ANSI_NULLS ON
GO

SET QUOTED_IDENTIFIER ON
GO

CREATE TABLE [dbo].[UHoldingsPE](
    [Datekey] [int] NOT NULL,
    [Investmentkey] [int] NOT NULL,
    [Holdingskey] [int] NOT NULL,
    [Primekey] [decimal](38, 0) NOT NULL,
    [Dcfkey] [decimal](38, 0) NOT NULL,
    [Cakey] [decimal](38, 0) NOT NULL,
    [Data Source] [varchar](100) NULL,
    [Debt Maturity 1 Year] [float] NULL,
    [Debt Maturity 2 Years] [float] NULL,
    [Debt Maturity 3 Years] [float] NULL,
    [Debt Maturity 4 Years] [float] NULL,
    [Debt Maturity 5 Years] [float] NULL,
    [Debt Maturity After 5 Years] [float] NULL,
    [Book Value] [float] NULL,
    [Buyer] [varchar](1000) NULL,
    [Capital IQ ID] [int] NULL,
    [Cash] [float] NULL,
    [City] [varchar](1000) NULL,
    [Comments] [varchar](8000) NULL,
    [Committed Capital] [float] NULL,
    [Holding Value Adjustment] [float] NULL,
    [Country] [varchar](1000) NULL,
    [Covenant Basis] [varchar](1000) NULL,
    [Covenant Status] [varchar](1000) NULL,
    [Currency Type] [varchar](100) NULL,
    [Current Cost] [float] NULL,
    [Current Value] [float] NULL,
    [Debt Ownership Percentage] [float] NULL,
    [Debt Recoursed To Fund] [float] NULL,
    [Default On Payments] [varchar](1000) NULL,
    [Delist Date] [date] NULL,
    [Disclosure Restrictions (If Any)] [nvarchar](1000) NULL,
    [Dividends] [float] NULL,
    [EBITDA (LTM) Acquired] [float] NULL,
    [Enterprise Value Of M&A Transactions (Net)] [float] NULL,
    [Enterprise Value] [float] NULL,
    [Exchange] [varchar](1000) NULL,
    [Exit IRR] [float] NULL,
    [Exit Style] [varchar](1000) NULL,
    [Exit Year] [int] NULL,
    [Financial Year-End] [varchar](1000) NULL,
    [Fixed or Floating Rate] [float] NULL,
    [Fund Undiluted Ownership] [float] NULL,
    [GP Board Seat Holders] [varchar](1000) NULL,
    [GP Board Seats] [int] NULL,
    [Gross Debt] [float] NULL,
    [Gross IRR] [float] NULL,
    [Holdco Domicile] [varchar](1000) NULL,
    [Holding Currency] [varchar](100) NULL,
    [Holding Description] [nvarchar](4000) NULL,
    [Holding Name] [varchar](1000) NULL,
    [Holding Type] [varchar](1000) NULL,
    [Holding] [nvarchar](1000) NULL,
    [Industry] [varchar](1000) NULL,
    [Industry Group] [varchar](1000) NULL,
    [Initial Acquisition] [varchar](1000) NULL,
    [Initial Book Value] [float] NULL,
    [Initial Cash] [float] NULL,
    [Initial Co-Investor Amount Invested] [float] NULL,
    [Initial Comments] [varchar](1000) NULL,
    [Initial Control In Deal] [varchar](1000) NULL,
    [Initial Deal Source] [varchar](1000) NULL,
    [Initial Deal Type] [varchar](1000) NULL,
    [Initial Debt Ownership Percentage] [varchar](1000) NULL,
    [Initial Enterprise Value] [float] NULL,
    [Total Equity Value] [float] NULL,
    [Initial Gross Debt] [float] NULL,
    [Initial Investment Date] [date] NULL,
    [Initial Investment Ownership] [float] NULL,
    [Initial Investment] [float] NULL,
    [Initial LP Co-Investors?] [varchar](1000) NULL,
    [Initial LP Co-Investors] [varchar](1000) NULL,
    [Initial LTM CAPEX] [float] NULL,
    [Initial LTM EBITDA] [float] NULL,
    [Initial LTM Gross Profit] [float] NULL,
    [Initial LTM Interest Expense] [float] NULL,
    [Initial LTM Net Income] [float] NULL,
    [Initial LTM Revenue] [float] NULL,
    [Initial Main Instrument] [varchar](1000) NULL,
    [Initial Management Holding Ownership] [float] NULL,
    [Initial Management Ownership] [float] NULL,
    [Initial Multiple Type] [varchar](1000) NULL,
    [Initial Multiple] [float] NULL,
    [Initial Net Debt] [float] NULL,
    [Initial Number Of Employees] [int] NULL,
    [Initial Other Valuation Adjustment] [float] NULL,
    [Initial Total Equity Value] [float] NULL,
    [Initial Valuation Method] [varchar](1000) NULL,
    [Initial Valuation Support Amount] [float] NULL,
    [Initial Value Driver Date] [date] NULL,
    [Initial Value Driver Type] [varchar](1000) NULL,
    [Initial Vehicle Ownership] [float] NULL,
    [Interests Dividends Other Income] [float] NULL,
    [Interests] [float] NULL,
    [Invested Capital] [float] NULL,
    [Investment Ownership] [float] NULL,
    [Investment Status] [varchar](1000) NULL,
    [Investment] [nvarchar](1000) NULL,
    [IPO Date] [date] NULL,
    [IPO Share Price] [float] NULL,
    [Last Realization Date] [date] NULL,
    [Last Updated] [datetime] NOT NULL,
    [Last Valuation Date] [date] NULL,
    [Line Of Credit Outstanding?] [float] NULL,
    [Lock-Up Period End Date] [date] NULL,
    [LTM CAPEX] [float] NULL,
    [LTM EBITDA] [float] NULL,
    [LTM Gross Profit] [float] NULL,
    [LTM Interest Expense] [float] NULL,
    [LTM Net Income] [float] NULL,
    [LTM Revenue] [float] NULL,
    [M&A Activity Notes] [nvarchar](1000) NULL,
    [Main Instrument] [varchar](1000) NULL,
    [Management Holding Ownership] [float] NULL,
    [Management Ownership] [float] NULL,
    [Max Multiple] [float] NULL,
    [Method Of Exit] [varchar](1000) NULL,
    [Min Multiple] [float] NULL,
    [Multiple Type] [varchar](1000) NULL,
    [Multiple] [float] NULL,
    [Net Debt] [float] NULL,
    [Number Of Employees] [int] NULL,
    [Number Of M&A Transactions (Net)] [float] NULL,
    [Number Of Shares] [float] NULL,
    [Operating Data Date 1] [date] NULL,
    [Operating Data Date 2] [date] NULL,
    [Operating Data Date 3] [date] NULL,
    [Operating Data Type 1] [nvarchar](1000) NULL,
    [Operating Data Type 2] [nvarchar](1000) NULL,
    [Operating Data Type 3] [nvarchar](1000) NULL,
    [Other Income] [float] NULL,
    [Period End Date For LTM] [date] NULL,
    [PIK Toggle] [varchar](1000) NULL,
    [Position Comments] [varchar](1000) NULL,
    [Primary Market (Region)] [nvarchar](1000) NULL,
    [Realized Gains/Losses] [float] NULL,
    [Realized Proceeds] [float] NULL,
    [Reference Date] [date] NULL,
    [Return Of Cost] [float] NULL,
    [Revenue (LTM) Acquired] [float] NULL,
    [Sector] [varchar](1000) NULL,
    [Seller] [varchar](1000) NULL,
    [State] [varchar](1000) NULL,
    [Strategy] [varchar](1000) NULL,
    [Sub-Industry] [varchar](1000) NULL,
    [Ticker] [varchar](1000) NULL,
    [Total # Of Board Members] [int] NULL,
    [Total Invested (LP Co-Investors)] [float] NULL,
    [Total Investment Value] [float] NULL,
    [Transaction Co-Leads] [varchar](1000) NULL,
    [Transaction Costs] [float] NULL,
    [Transaction Lead] [nvarchar](1000) NULL,
    [TTM EBITDA 2] [float] NULL,
    [TTM EBITDA 3] [float] NULL,
    [TTM Revenue 2] [float] NULL,
    [TTM Revenue 3] [float] NULL,
    [Valuation Comments] [varchar](1000) NULL,
    [Valuation Method] [varchar](1000) NULL,
    [Value Driver Amount] [float] NULL,
    [Value Driver Date] [date] NULL,
    [Value Driver Type] [varchar](1000) NULL,
    [Vehicle Ownership At Exit] [float] NULL,
    [Vehicle Ownership] [float] NULL,
    [Website] [varchar](1000) NULL,
    [Asset Class] [varchar](1000) NULL
) ON [PRIMARY]
GO

sql sql-server recursive-query tsql recursion

来源：https://stackoverflow.com/questions/62598305/recursive-cte-to-populate-latest-available-data-across-many-quarters

2条答案

按热度按时间

hmae6n7t1#

一个解决办法是从 UholdingsPE 表4：最小值和最大值之间所有季度的所有组合的 Reference_Date 列和所有不同的值的 Investment 以及 Holding 柱。所有行都是从 cih cte公司。之后，需要提取 Price 列的行 UholdingsPE 最接近 Reference_Date 列的值 Reference_Date 列的当前行 cih cte公司。

with
  cc as (
    select
      min(Reference_Date) as Reference_Date,
      max(Reference_Date) as xq
    from UholdingsPE
    union all
    select eomonth(dateadd(qq, 1, q)), xq
    from cc
    where q < xq
  ),
  ii as (select distinct Investment from UholdingsPE),
  hh as (select distinct Holding from UholdingsPE),
  cih as (
    select Reference_Date, Investment, Holding
    from cc
    cross join ii
    cross join hh
  )
select *
from cih
cross apply (
  select a.Price
  from UholdingsPE as a
  where
    a.Reference_Date <= cih.Reference_Date and
    a.Investment = cih.Investment and
    a.Holding = cih.Holding
  order by a.Reference_Date desc
    offset 0 rows
    fetch first 1 row only
) as ca
order by Reference_Date, Investment, Holding
option (maxrecursion 0);

输出：

+----+---------------------+----------------+-----------+-------+
|    |    Reference_Date   |   Investment   |  Holding  | Price |
+----+---------------------+----------------+-----------+-------+
|  1 | 31.03.2017 00:00:00 | Example Fund 1 | Apple     |     1 |
|  2 | 31.03.2017 00:00:00 | Example Fund 1 | Microsoft |     1 |
|  3 | 30.06.2017 00:00:00 | Example Fund 1 | Apple     |     1 |
|  4 | 30.06.2017 00:00:00 | Example Fund 1 | Microsoft |     1 |
|  5 | 30.09.2017 00:00:00 | Example Fund 1 | Apple     |     1 |
|  6 | 30.09.2017 00:00:00 | Example Fund 1 | Microsoft |     1 |
|  7 | 31.12.2017 00:00:00 | Example Fund 1 | Apple     |     1 |
|  8 | 31.12.2017 00:00:00 | Example Fund 1 | Microsoft |     1 |
|  9 | 31.03.2018 00:00:00 | Example Fund 1 | Apple     |     1 |
| 10 | 31.03.2018 00:00:00 | Example Fund 1 | Microsoft |     1 |
| 11 | 30.06.2018 00:00:00 | Example Fund 1 | Apple     |    22 |
| 12 | 30.06.2018 00:00:00 | Example Fund 1 | Microsoft |    22 |
| 13 | 30.09.2018 00:00:00 | Example Fund 1 | Apple     |    22 |
| 14 | 30.09.2018 00:00:00 | Example Fund 1 | Microsoft |    22 |
| 15 | 31.12.2018 00:00:00 | Example Fund 1 | Apple     |    33 |
| 16 | 31.12.2018 00:00:00 | Example Fund 1 | Microsoft |    33 |
| 17 | 31.03.2019 00:00:00 | Example Fund 1 | Apple     |    33 |
| 18 | 31.03.2019 00:00:00 | Example Fund 1 | Microsoft |    33 |
| 19 | 30.06.2019 00:00:00 | Example Fund 1 | Apple     |    44 |
| 20 | 30.06.2019 00:00:00 | Example Fund 1 | Microsoft |    44 |
| 21 | 30.09.2019 00:00:00 | Example Fund 1 | Apple     |    44 |
| 22 | 30.09.2019 00:00:00 | Example Fund 1 | Microsoft |    44 |
| 23 | 31.12.2019 00:00:00 | Example Fund 1 | Apple     |    55 |
| 24 | 31.12.2019 00:00:00 | Example Fund 1 | Microsoft |    55 |
+----+---------------------+----------------+-----------+-------+

演示。
让我们试试基于光标的解决方案。

declare
  @prev_inv varchar(14), @Investment varchar(14),
  @prev_hold varchar(9), @Holding varchar(9),
  @prev_ref_date date, @Reference_date date,
  @prev_price integer, @Price integer, @qdiff integer;
declare
  c cursor forward_only static read_only for
    select Investment, Holding, Reference_Date, Price from UholdingsPE
    union all
    select Investment, Holding, ref_date, -1
    from (select max(Reference_Date) as ref_date from UholdingsPE) as a
    cross join (select distinct Investment from UholdingsPE) as b
    cross join (select distinct Holding from UholdingsPE) as c
    order by Investment, Holding, Reference_Date, Price desc;
open c;
fetch next from c into @Investment, @Holding, @Reference_Date, @Price;
select
  @prev_inv = @Investment,
  @prev_hold = @Holding,
  @prev_ref_date = @Reference_date,
  @prev_price = @Price;
while @@fetch_status = 0 begin
  fetch next from c into @Investment, @Holding, @Reference_Date, @Price;
  set @qdiff = datediff(q, @prev_ref_date, @Reference_date);
  if @prev_inv = @Investment and
     @prev_hold = @Holding and
     @qdiff > 1
  begin
    insert into miss_UholdingsPE(Investment,
                                 Holding,
                                 Price,
                                 Reference_Date)
      select
        @prev_inv, @prev_hold, @prev_price,
        eomonth(dateadd(q, nums.n, @prev_ref_date))
      from nums
      where nums.n < @qdiff + iif(@Price = -1, 1, 0);
  end;
  select
    @prev_inv = @Investment,
    @prev_hold = @Holding,
    @prev_ref_date = @Reference_date,
    @prev_price = @Price;
end;
close c;
deallocate c;

基于光标的解决方案演示。
另一种基于集合的解决方案：

with
  a as (select distinct Investment, Holding from stage_UholdingsPE),
  b as (
    select Q.Reference_Date, a.Investment, a.Holding
    from a
    cross join (
      select eomonth(dateadd(quarter, n, '20160331'))
      from Nums(0, datediff(quarter, '20160331', '20191231'))
    ) as Q(Reference_Date)
    where not exists(select * from stage_UholdingsPE as s
                     where
                       s.Reference_Date = Q.Reference_Date and
                       s.Investment = a.Investment and
                       s.Holding = a.Holding)
  )
insert into stage_UholdingsPE(Reference_Date, Investment, Holding, Price)
  select Reference_Date, Investment, Holding, null from b;
go
with
  a as (
    select
      *,
      count(Price) over(partition by Investment, Holding
                        order by Reference_Date
                        rows unbounded preceding) as c
    from stage_UholdingsPE
  )
insert into full_UholdingsPE(Reference_Date, Investment, Holding, Price)
  select
    Reference_Date, Investment, Holding,
    max(Price) over(partition by c) as Price
  from a;

演示。

赞(0）回复(0）举报 2021-07-24

wnavrhmk2#

请尝试以下操作：

DECLARE @MaxDate Date = '20191231'  --Typically this would be the max Reference_Date grouped by Fund as we cannot pass parameters in our BI tool

declare @quarter_end_date date = (select min(Reference_Date) from UholdingsPE)
declare @start_date date = @quarter_end_date

declare cur cursor fast_forward for select distinct Investment, Holding from UholdingsPE

declare @Investment varchar(100), @Holding varchar(10)
declare @latest_holdings int

open cur
fetch next from cur into @Investment, @Holding
while @@FETCH_STATUS = 0
begin
    while (@quarter_end_date <= convert(date, @MaxDate))
    begin
        if ((select count(1) from UholdingsPE where Reference_Date = @quarter_end_date and Investment = @Investment and Holding = @Holding) = 0)
        begin
            set @latest_holdings = (select top 1 Price from UholdingsPE where Reference_Date <= @quarter_end_date and Investment = @Investment and Holding = @Holding order by Reference_Date desc)
            insert into UholdingsPE select @quarter_end_date, @Investment, @Holding, @latest_holdings
        end
        set @quarter_end_date = eomonth(dateadd(mm, 3, @quarter_end_date))
    end
    set @quarter_end_date = eomonth(dateadd(mm, 3, @start_date))
    fetch next from cur into @Investment, @Holding
end
close cur
deallocate cur

select * from UholdingsPE

请在这里找到小提琴。

赞(0）回复(0）举报 2021-07-24

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递归cte以跨多个季度填充最新可用数据？

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