Created
September 2, 2014 03:23
-
-
Save python1981/e2843b5b9af98d92732c to your computer and use it in GitHub Desktop.
IRR formula for PHP
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
<?php | |
class IRRHelper{ | |
//Adapted from Javascript version here: https://gist.github.com/ghalimi/4591338 | |
// | |
// 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. | |
* | |
*************************************************************/ | |
public static function IRR($values, $guess=0.1) { | |
// Credits: algorithm inspired by Apache OpenOffice | |
// Initialize dates and check that values contains at least one positive value and one negative value | |
$dates = array(); | |
$positive = false; | |
$negative = false; | |
foreach($values as $index=>$value){ | |
$dates[] = ($index===0) ? 0 : $dates[$index-1] + 365; | |
if($values[$index] > 0) $positive = true; | |
if($values[$index] < 0) $negative = true; | |
} | |
// Return error if values does not contain at least one positive value and one negative value | |
if(!$positive || !$negative) return null; | |
// Initialize guess and resultRate | |
$resultRate = $guess; | |
// Set maximum epsilon for end of iteration | |
$epsMax = 0.0000000001; | |
// Set maximum number of iterations | |
$iterMax = 50; | |
// Implement Newton's method | |
$newRate; | |
$epsRate; | |
$resultValue; | |
$iteration = 0; | |
$contLoop = true; | |
while($contLoop && (++$iteration < $iterMax)){ | |
$resultValue = self::irrResult($values, $dates, $resultRate); | |
$newRate = $resultRate - $resultValue / self::irrResultDeriv($values, $dates, $resultRate); | |
$epsRate = abs($newRate - $resultRate); | |
$resultRate = $newRate; | |
$contLoop = ($epsRate > $epsMax) && (abs($resultValue) > $epsMax); | |
} | |
if($contLoop) return null; | |
// Return internal rate of return | |
return $resultRate; | |
} | |
// Calculates the resulting amount | |
public static function irrResult($values, $dates, $rate){ | |
$r = $rate + 1; | |
$result = $values[0]; | |
for($i=1;$i<count($values);$i++){ | |
$result += $values[$i] / pow($r, ($dates[$i] - $dates[0]) / 365); | |
} | |
return $result; | |
} | |
// Calculates the first derivation | |
public static function irrResultDeriv($values, $dates, $rate){ | |
$r = $rate + 1; | |
$result = 0; | |
for($i=1;$i<count($values);$i++){ | |
$frac = ($dates[$i] - $dates[0]) / 365; | |
$result -= $frac * $values[$i] / pow($r, $frac + 1); | |
} | |
return $result; | |
} | |
} | |
echo IRRHelper::IRR(array(-100,0,120)); |
i have same problem too, irrResultDeriv return 0 if only 2 value in array
Same problem (division by zero). If anyone has gotten it right, please share (even using some other function).
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
For me self::irrResultDeriv($values, $dates, $resultRate); is generating 0 values which is causing {"error":"Division by zero"}.
Need Help.