IT for Business and Finance. Data Models examples

Transcription

1 IT for Business and Finance Data Models examples

2 Transactions and concurrency In addition to their data model, most practical databases "transactional databases" attempt to enforce a database transaction. Ideally, the database software should enforce the ACID atomicity, consistency, isolation, durability rules, summarized here: Atomicity: Either all the tasks in a transaction must be done, or none of them. The transaction must be completed, or else it must be undone rolled back. Consistency: Every transaction must preserve the integrity constraints the declared consistency rules of the database. It cannot place the data in a contradictory state. Isolation: Two simultaneous transactions cannot interfere with one another. Intermediate results within a transaction are not visible to other transactions. Durability: Completed transactions cannot be aborted later or their results discarded. They must persist through for instance restarts of the DBMS after crashes

3 Example of Transaction Example on PostgreSQL delete from "Account"; INSERT INTO "Account" id_account, "Amount" VALUES 11111, 1000; INSERT INTO "Account" id_account, "Amount" VALUES 22222, 2000; select * from "Account"; -- Esempio di Transazione begin; update "Account" set "Amount" = "Amount" where id_account = 11111; All the actions performed inside a transaction are completed at all or none. If the process is broken the statements are rolled back to the beginning update "Account" set "Amount" = "Amount" where id_account = 22222; end; select * from "Account";

4 Market Parameters DB The goal is to design a relational database containing some Market parameters so to feed anyfront Office application, such as an Excel worksheet running some pricing functions or whatever else. Market Parameters are Price, Volatility, Interbank Rate and Forex The DB must represent in a relational model this information Example on PostgreSQL Open SQL Pane and copy the statements and then try to add other information so to build your own report

5 Anagrafica table Hyp: The id_murex identifies the single instrument Primary Key CREATE TABLE "Anagrafica" id_murex character varying100 NOT NULL, ty_strumento character varying20 NOT NULL, dt_maturity date, cd_isin character varying12, cd_currency character3, CONSTRAINT pk_anag PRIMARY KEY id_murex DDL Data Definition Language delete from "Anagrafica"; INSERT INTO "Anagrafica"id_murex, ty_strumento, dt_maturity, cd_isin, cd_currency VALUES 'GENERALI E', 'Equity',Null, 'IT ', 'EUR'; INSERT INTO "Anagrafica"id_murex, ty_strumento, dt_maturity, cd_isin, cd_currency VALUES 'ENI E', 'Equity',Null, 'IT ', 'EUR'; INSERT INTO "Anagrafica"id_murex, ty_strumento, dt_maturity, cd_isin, cd_currency VALUES 'MICROSOFT', 'Equity',Null, 'US ', 'USD'; INSERT INTO "Anagrafica"id_murex, ty_strumento, dt_maturity, cd_isin, cd_currency VALUES 'GENERALI 09/ ', 'Bond', ' ', 'XS ', 'EUR'; DML Data Manipulation Language select * from "Anagrafica";

6 VOLATILITY SURFACE I can represent a Volatility Surface using a Table and then ask these data by executing queries from different applications i.eweb Application, client\server application and so on. CREATE TABLE VOLAT_EQTY DT_RIFERIMENTO DATE NOT NULL, ID_MUREX VARCHAR80 NOT NULL, PC_MONEYNESS numeric8,6 NOT NULL, NR_GG_LABEL numeric6 NOT NULL, VL_VOLATILITY numeric30,26 NOT NULL, CD_LABEL VARCHAR10 NOT NULL, CONSTRAINT pk_datevolat PRIMARY KEY dt_riferimento, id_murex, pc_moneyness, nr_gg_label delete from VOLAT_EQTY; -- delete all record in the table Insert into VOLAT_EQTY DT_RIFERIMENTO, ID_MUREX, PC_MONEYNESS, NR_GG_LABEL, VL_VOLATILITY, CD_LABEL Values ' ', 'GENERALI E', 1.2, 90, , '3M';.. And so on

7 VOLATILITY SURFACE FillTable withvolatilityvalues from file for any problem copy this address Try to retrieve some information running queries: -- estraggo il vettore at the money su tutte le scadenze SELECT dt_riferimento, id_murex, pc_moneyness, nr_gg_label,vl_volatility, cd_label FROM volat_eqty where pc_moneyness = 1; -- cerco il max e min della vol del vettore at the money a prescindere dalla scadenza SELECT dt_riferimento, id_murex, pc_moneyness, maxvl_volatility as max_vol, minvl_volatility as min_vol, avgvl_volatility as avg_vol FROM volat_eqty where pc_moneyness = 1 group by dt_riferimento, id_murex, pc_moneyness; and many more examples in this file or

8 Prices Create and fill a Price table : CREATE TABLE Prezzi" dt_riferimento date NOT NULL, id_murex character varying50 NOT NULL, cd_provider character3 NOT NULL, cd_tipo_prezzo character varying2 NOT NULL, cd_valuta character3, im_prezzo numeric, CONSTRAINT pk_prezzi PRIMARY KEY dt_riferimento, id_murex, cd_provider, cd_tipo_prezzo delete from "PREZZI"; Insert into "PREZZI" DT_RIFERIMENTO, ID_MUREX, CD_PROVIDER, CD_TIPO_PREZZO, CD_VALUTA, IM_PREZZO Values ' ', 'GENERALI E', 'BLO', '04', 'EUR', 15.72; and so on Example of price values from this file The attribute CD_PROVIDER = BLO means Bloomberg and the cd_tipo_prezzo stands for Closing Price 01, Last Price 38 and so on

9 Risk Free Rates Create the table of Rates, than create the one containing the pillars of each rate and then the one with the values of each pillar of each rate related to the different dates : CREATE TABLE "Rates" id_rate character varying10 NOT NULL, currency character varying3, ty_curva character varying20, CONSTRAINT pk_rate PRIMARY KEY id_rate 1:N CREATE TABLE "Pillar" id_rate character varying10 NOT NULL, pillar_days integer NOT NULL, CONSTRAINT pk_pillar PRIMARY KEY id_rate, pillar_days, CONSTRAINT fk_rate FOREIGN KEY id_rate REFERENCES "Rates" id_rate MATCH SIMPLE ON UPDATE NO ACTION ON DELETE NO ACTION CREATE TABLE "Rates_Values" id_rate character varying10 NOT NULL, pillar_days integer NOT NULL, dt_riferimento date NOT NULL, CONSTRAINT pk_rate_value PRIMARY KEY id_rate, pillar_days, dt_riferimento, CONSTRAINT fk_pillar FOREIGN KEY id_rate, pillar_days REFERENCES "Pillar" id_rate, pillar_days MATCH SIMPLE ON UPDATE NO ACTION ON DELETE NO ACTION