Some financial functios

financial_func.py

'''
Created on Mar 28, 2016

@author: Javier Garcia
'''
import numpy as np
from datetime import date 
from scipy.optimize import newton 



def vpn(rate, cashflows):
    '''
    Valor presente neto de una serie de pagos    
    '''
    total = 0.0
    for i, cashflow in enumerate(cashflows):
        total += cashflow / (1 + rate)**i
    return total



# http://stackoverflow.com/questions/6892900/what-is-the-numerical-method-used-in-this-implementation-of-irr
# http://en.wikipedia.org/wiki/Fixed_point_iteration
def tir(cashflows, iterations=100):
    '''
    TIR para pagos regulares
    '''
    rate = 1.00
    investment = cashflows[0]
    for i in range(1, iterations+1):
        rate *= (1 - vpn(rate, cashflows) / investment)
    return rate





def _discf(rate, pmts, dates): 
    dcf=[] 
    for i,cf in enumerate(pmts): 
        d=dates[i]-dates[0] 
        dcf.append(cf*(1+rate)**(-d.days/365.)) 
    return np.add.reduce(dcf) 

def xtir(cf, dates, guess=.10): 
    ''' 
    TIR funcion que acepta pagos irregulares

    el resultado es la solucion de 
    
    Sumatoria{cf/[(1+xtir)^[(date_t-date_0)/365]]} = 0
    
    ''' 
    for i,dt in enumerate(dates): 
        dates[i]=date(*dt) 

    
    f = lambda x: _discf(x, cf, dates) 
    
    #http://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.newton.html
    return newton(f, guess) 
    



if __name__ == '__main__':
    dates=[[2008,2,5],[2008,7,5],[2019,1,5]] 
    cf=[-2750,1000,2500] 
    
    print(tir(cf))
    print(xtir(cf,dates))