DuckDB Finance

finance brings quant finance analytics into DuckDB. It gives you SQL-native pricing, risk, returns, portfolio math, market microstructure helpers, and validation checks without sending data to a pricing service or hiding model assumptions behind an SDK session.

It is built for quant developers, desk strategists, risk engineers, and finance users who want deterministic local analytics close to the data. finance is available from DuckDB Community Extensions and can be installed with DuckDB's standard community extension flow:

INSTALL finance FROM community;
LOAD finance;

-- After loading finance:

SELECT
  fin_bsm_price(spec) AS price,
  (fin_bsm_greeks(spec)).delta AS delta,
  fin_bsm_implied_vol('call', 10.450583572185565, 100, 100, 1, 0.05) AS iv
FROM (
  SELECT fin_option_spec('call', 100, 100, 1, 0.05, 0.20) AS spec
);

Why It Exists

Finance workflows often start in SQL but detour into notebooks, services, or vendor libraries for basic analytics. DuckDB Finance keeps that work inside DuckDB:

• Price options, bonds, swaps, forwards, and cash flows.
• Calculate returns, volatility, drawdowns, Sharpe, Sortino, beta, VaR-style metrics, and data-quality checks.
• Aggregate portfolios with explicit caller-owned units and assumptions.
• Build table-function workflows for calendars, option chains, efficient frontiers, factor reports, bars, and grids.
• Keep analytics local, deterministic, and explicit when moving finance workflows into SQL.

All public functions live in the fin_ namespace and use ordinary DuckDB types: DOUBLE, DATE, TIMESTAMP, VARCHAR, STRUCT, LIST, and table results.

60 Seconds: How To Price And Risk An Option

Prerequisite: DuckDB with the finance extension loaded. Install it from DuckDB Community Extensions or use a source build for local development.

1. Install and load the extension.

   INSTALL finance FROM community;
   LOAD finance;
   SELECT fin_version();
   

2. Price a call option and return its first-order Greeks.

   SELECT
     fin_bsm_price(spec) AS price,
     (fin_bsm_greeks(spec)).delta AS delta,
     (fin_bsm_greeks(spec)).vega AS vega
   FROM (
     SELECT fin_option_spec('call', 100.0, 100.0, 1.0, 0.05, 0.20) AS spec
   );
   

Expected result: scalar price and risk columns you can join, aggregate, test, or write into a DuckDB table like any other SQL result.

What Is Included

Area	Examples
Returns and risk	Simple/log returns, annualization, volatility, Sharpe, Sortino, EWMA volatility, drawdowns, outliers, quantile spread, capture ratios, VaR/CVaR-style helpers, and data-quality reports.
Options and volatility	Black-Scholes-Merton, Black-76, Bachelier, binomial trees, digital, Asian geometric, barrier, SABR/SVI helpers, Greeks, higher-order Greeks, and implied-volatility solvers.
Fixed income and cash flows	Discount factors, forward rates, PV/FV, NPV/IRR/XIRR/MIRR, annuities, bond price/YTM/duration/convexity/DV01, curve interpolation, and curve bootstrapping.
Portfolio analytics	Portfolio return, variance, volatility, Sharpe, table-shaped portfolio return/variance helpers, optimizer table functions, HRP fallback weights, efficient-frontier points, and rebalance trades.
Technical analysis and microstructure	OHLC/OHLCV helpers, indicators, VWAP/TWAP, spreads, microprice, imbalance, impact proxies, and tick/volume/dollar/imbalance bars.
Validation and schemas	Checks for prices, returns, OHLC rows, conventions, calendars, sessions, expected schemas, and source-normalized returns/OHLCV/options.

See the Function Reference for the complete registered surface and Data Source Compatibility for adapting CSV, Parquet, MotherDuck, or vendor-shaped tables into canonical finance columns.

Status And Boundaries

This repository is early-stage OSS and should be treated as pre-1.0. The native core is covered by deterministic DuckDB SQL tests, function-reference coverage, golden fixtures, and performance coverage checks, but users should pin a release version for production research workflows.

The extension is local and deterministic:

• It does not call market-data vendors or remote pricing services.
• Every function documents its model, units and conventions in the Function Reference. Functions that are not yet recommended for production are listed on the Experimental Functions page; it is empty in this release.

Install

INSTALL finance FROM community;
LOAD finance;
SELECT fin_version();

Community extensions are built and signed by DuckDB's community extension CI. Locked-down environments can disable community extensions with DuckDB's allow_community_extensions option.

To serve finance to other DuckDB 2.0 clients over the Quack remote protocol, load it in the server process. Clients that CONNECT to the server do not need the extension installed:

duckdb -cmd "LOAD finance" my_database.duckdb -serve

See Installation: Quack Server for client usage and which queries need the extension loaded on the client.

For development, build from source:

git clone --branch v2.0.0 https://github.com/duckdb/duckdb.git /path/to/duckdb
git clone https://github.com/leonardovida/duckdb-finance.git /path/to/duckdb-finance
cd /path/to/duckdb-finance
make debug DUCKDB_ROOT=/path/to/duckdb

The Makefile also supports an adjacent ../duckdb checkout by default.

More Examples

Run the finance playbooks from this repository checkout after loading the extension:

INSTALL finance FROM community;
LOAD finance;
.read examples/playbooks.sql

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