Friday, April 16, 2010

SQL CLR and Fixed Income Analytics

For the better part of the last 12 months, our team has been spending our time balancing demands of strategic platform build out with the need for rapid deployment of analytical functionality. During that time, we have built a modest library of fixed income analytics. That's not necessarily that interesting. The interesting part is the ability to create robust calculations using C# and exposing those calculations via the SQL CLR in SQL Server 2008. The common theme on this blog thus far has been keeping analytical calculations close to the data so that we can embellish our fairly substantial market data set quickly. But processing the data in batch is only half the story. Real time analytics exposed via application functionality is also required. This necessitates centralizing the calculation library to leverage the same calc in multiple places.

In the weeks to come, we will detail some of these analytics and the mechanism for deploying them to the SQL CLR. Hopefully, this will be useful to those attempting to either create the analytical calculations or get performance gains by running them in the database during batch or both.