Modified Dietz Return

modified_dietz_return.php

<?php
/**
* Calculates the Modified-Dietz return given arrays of MIMO
* MIMO is an associative array of dates to values
*
* @param DateTime   $startDate  Start date for return period
* @param DateTime   $endDate    End date for return period
* @param float      $BMV        Start value of the portfolio
* @param float      $EMV        End value of the portfolio
* @param array      $MIMO       A date-indexed associative array of the cash in/out of the portfolio
* @return float
*/
function mod_dietz(DateTime $startDate, DateTime $endDate, $BMV, $EMV, $MIMO = array()){
 
		$CD = $startDate->diff($endDate);
		$SumWiFi = 0;
		$F = 0;
 
		foreach ( $MIMO as $date=>$Fi ){
			if ($date) {
				$date = new DateTime($date);
		    //Only take into account the MIMO if it falls between the start and end dates.
				if ( $date >= $startDate && $date < $endDate ){
					$Di = $date->diff($startDate);
					$Wi = ($CD->days - $Di->days) / $CD->days;
					$SumWiFi += $Wi * $Fi;
					$F += $Fi;
				}
			}
		}
		if ( $BMV + $SumWiFi != 0 ) {
			return ($EMV - $BMV - $F)/($BMV + $SumWiFi);
		} else {
			return 0;
		}
	}