Forum Discussion

Madsboegh's avatar
Madsboegh
Advocate I
9 years ago

Cumulative Normal Distribution (CDF) Function for black-scholes

Hi everyone,

 

So I'm building a financial model in which I need a way to engineer a function similar to the Norm.Dist from excel. Currently I had a sql whizz of a colleague produce a very close estimater in a SQL query which feeds the CDF output to the model, however I would like if this could be done in M, DAX or worst case R (the latter is doable I think, but sticking to the first two would be ideal, since we're putting this in production)? It is used for the delta of a black-schole option pricing.

 

Anyone had success on this? The data set is big (+10m rows) if that changes anything

 

Thanks!

 

Mads

Need Help

4 Replies

  • v-ljerr-msft's avatar
    v-ljerr-msft
    Microsoft Employee
    9 years ago

    Hi Madsboegh,

     

    Based on my research, I found an article about how to create a Dynamic BI Distribution Chart in PowerPivot using DAX.

     

    And according to this article, there is an custom visual called Percentile Chart, or Cumulative Distribution Function (CDF) on Power BI Visual Gallery, is commonly used as a way to visualize the distribution of values in a dataset.

     

    Could you go to check if it helps.:smileyhappy:

     

    In addition, here is similar idea on Power BI Ideas about being able to run an analysis using normal distribution (bell curve) graphical representation. You can vote it up and add your comments there to improve Power BI on this feature.:smileyhappy:

     

    Regards

    • Madsboegh's avatar
      Madsboegh
      Advocate I
      9 years ago

      Hi v-ljerr-msft,


      Thanks for the reply, let me try and see if that helps. Will revert back to you

       

      best,
      Mads

    • sm_tm's avatar
      sm_tm
      New Member
      9 years ago

      Is there a way to add legends to percentile chart. Or is there a way to compare percentile chart for different catagories.

  • tschris's avatar
    tschris
    Regular Visitor
    3 years ago

    I do not know if what you are looking for is something like creating dynamic cumulative function to plot e.g., sales or uantity over time. If so I have placed an example PBIX file based on a dummy dataset here, I hope it helps.