XIRR Function

XIRR.js

// Copyright (c) 2012 Sutoiku, Inc. (MIT License)
 
// Some algorithms have been ported from Apache OpenOffice:
 
/**************************************************************
 * 
 * Licensed to the Apache Software Foundation (ASF) under one
 * or more contributor license agreements.  See the NOTICE file
 * distributed with this work for additional information
 * regarding copyright ownership.  The ASF licenses this file
 * to you under the Apache License, Version 2.0 (the
 * "License"); you may not use this file except in compliance
 * with the License.  You may obtain a copy of the License at
 * 
 *   http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing,
 * software distributed under the License is distributed on an
 * "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
 * KIND, either express or implied.  See the License for the
 * specific language governing permissions and limitations
 * under the License.
 * 
 *************************************************************/

function XIRR(values, dates, guess) {
  // Credits: algorithm inspired by Apache OpenOffice
  
  // Calculates the resulting amount
  var irrResult = function(values, dates, rate) {
    var r = rate + 1;
    var result = values[0];
    for (var i = 1; i < values.length; i++) {
      result += values[i] / Math.pow(r, moment(dates[i]).diff(moment(dates[0]), 'days') / 365);
    }
    return result;
  }

  // Calculates the first derivation
  var irrResultDeriv = function(values, dates, rate) {
    var r = rate + 1;
    var result = 0;
    for (var i = 1; i < values.length; i++) {
      var frac = moment(dates[i]).diff(moment(dates[0]), 'days') / 365;
      result -= frac * values[i] / Math.pow(r, frac + 1);
    }
    return result;
  }

  // Check that values contains at least one positive value and one negative value
  var positive = false;
  var negative = false;
  for (var i = 0; i < values.length; i++) {
    if (values[i] > 0) positive = true;
    if (values[i] < 0) negative = true;
  }
  
  // Return error if values does not contain at least one positive value and one negative value
  if (!positive || !negative) return '#NUM!';

  // Initialize guess and resultRate
  var guess = (typeof guess === 'undefined') ? 0.1 : guess;
  var resultRate = guess;
  
  // Set maximum epsilon for end of iteration
  var epsMax = 1e-10;
  
  // Set maximum number of iterations
  var iterMax = 50;

  // Implement Newton's method
  var newRate, epsRate, resultValue;
  var iteration = 0;
  var contLoop = true;
  do {
    resultValue = irrResult(values, dates, resultRate);
    newRate = resultRate - resultValue / irrResultDeriv(values, dates, resultRate);
    epsRate = Math.abs(newRate - resultRate);
    resultRate = newRate;
   if (resultRate < -1) {
    	resultRate = -0.999999999
    };
    contLoop = (epsRate > epsMax) && (Math.abs(resultValue) > epsMax);
  } while(contLoop && (++iteration < iterMax));

  if(contLoop) return '#NUM!';

  // Return internal rate of return
  return resultRate;
}

There is a problem when the result are negative values. If resultRate < -1 then irrResult and irrResultDeriv fail because r is a negative number, so, as it is impossible to have results that are inferior to -1, I correct those values to be able to carry on with the calculation.

Thanks, was hunting the same bug....

You are welcome 😄 El lun., 16 nov. 2020 23:12, Todd Horst <[email protected]> escribió:

…

***@***.**** commented on this gist. ------------------------------ Thanks, was hunting the same bug.... — You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub <https://gist.github.com/67ea9dbcf43a2b6eabf7408433d157ae#gistcomment-3529709>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AEJDPC55DTIZZTMOWU4NEJDSQGPT3ANCNFSM4TXYNCGQ> .