fast_xirr 0.1.0 → 1.0.1

checksums.yaml

@@ -1,7 +1,7 @@
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data/README.md

@@ -16,7 +16,7 @@ FastXirr is a high-performance Ruby gem for calculating the Extended Internal Ra
 Add this line to your application's Gemfile:
 
 ```ruby
-gem 'fast_xirr', git: 'https://github.com/fintual-oss/fast-xirr.git'
+gem 'fast_xirr'
 ```
 
 And then execute:
@@ -24,6 +24,12 @@ And then execute:
 bundle install
 ```
 
+### From CLI
+
+```bash
+gem install fast_xirr
+```
+
 ## Usage
 
 ### Calculate XIRR
@@ -60,7 +66,7 @@ result.nan?
 # => true
 ```
 
-Tolerance can be set to a custom value (default is 1e-10), as well as the maximum number of iterations (default is 100000000000000).
+Tolerance can be set to a custom value (default is 1e-7), as well as the maximum number of iterations (default is 1e10).
 
 
 ```ruby
@@ -101,12 +107,12 @@ To build the gem from the source code, follow these steps:
     gem build fast_xirr.gemspec
     ```
 
-    This will create a `.gem` file in the directory, such as `fast_xirr-0.1.0.gem`.
+    This will create a `.gem` file in the directory, such as `fast_xirr-1.x.x.gem`.
 
 3. **Install the Gem Locally**:
 
     ```bash
-    gem install ./fast_xirr-0.1.0.gem
+    gem install ./fast_xirr*.gem
     ```
 
 ### Testing the Gem

data/ext/fast_xirr/bisection.c

@@ -1,5 +1,5 @@
 #include <ruby.h>
-#include <time.h>
+#include <stdint.h>
 #include <math.h>
 #include "bisection.h"
 #include "common.h"
@@ -17,9 +17,14 @@
  *
  * @return The estimated root (XIRR) or NAN if it fails to converge.
  */
-double bisection_method(CashFlow *cashflows, long count, double tol, long max_iter, double low, double high) {
+double bisection_method(CashFlow *cashflows, long long count, double tol, long long max_iter, double low, double high) {
     double mid, f_low, f_mid, f_high;
 
+    //If cashflows are empty, return 0
+    if (count == 0) {
+        return 0.0;
+    }
+
     // Calculate the NPV at the boundaries of the interval
     f_low = npv(low, cashflows, count, cashflows[0].date);
     f_high = npv(high, cashflows, count, cashflows[0].date);
@@ -30,7 +35,7 @@ double bisection_method(CashFlow *cashflows, long count, double tol, long max_it
     }
 
     // Iteratively apply the bisection method
-    for (long iter = 0; iter < max_iter; iter++) {
+    for (long long iter = 0; iter < max_iter; iter++) {
         mid = (low + high) / 2.0;
         f_mid = npv(mid, cashflows, count, cashflows[0].date);
 
@@ -65,19 +70,19 @@ double bisection_method(CashFlow *cashflows, long count, double tol, long max_it
  */
 VALUE calculate_xirr_with_bisection(VALUE self, VALUE rb_cashflows, VALUE rb_tol, VALUE rb_max_iter) {
     // Get the number of cash flows
-    long count = RARRAY_LEN(rb_cashflows);
+    long long count = RARRAY_LEN(rb_cashflows);
     CashFlow cashflows[count];
 
     // Convert Ruby cash flows array to C array
-    for (long i = 0; i < count; i++) {
+    for (long long i = 0; i < count; i++) {
         VALUE rb_cashflow = rb_ary_entry(rb_cashflows, i);
         cashflows[i].amount = NUM2DBL(rb_ary_entry(rb_cashflow, 0));
-        cashflows[i].date = (time_t)NUM2LONG(rb_ary_entry(rb_cashflow, 1));
+        cashflows[i].date = (int64_t)NUM2LL(rb_ary_entry(rb_cashflow, 1));
     }
 
     // Convert tolerance and max iterations to C types
     double tol = NUM2DBL(rb_tol);
-    long max_iter = NUM2LONG(rb_max_iter);
+    long long max_iter = NUM2LL(rb_max_iter);
 
     // Initial standard bracketing interval
     double low = -0.999999, high = 100.0;

data/ext/fast_xirr/brent.c

@@ -1,5 +1,5 @@
 #include <ruby.h>
-#include <time.h>
+#include <stdint.h>
 #include <math.h>
 #include "brent.h"
 #include "common.h"
@@ -17,7 +17,12 @@
  *
  * @return The estimated root (XIRR) or NAN if it fails to converge.
  */
-double brent_method(CashFlow *cashflows, long count, double tol, long max_iter, double low, double high) {
+double brent_method(CashFlow *cashflows, long long count, double tol, long long max_iter, double low, double high) {
+    //If cashflows are empty, return 0
+    if (count == 0) {
+        return 0.0;
+    }
+
     // Calculate the NPV at the boundaries of the interval
     double fa = npv(low, cashflows, count, cashflows[0].date);
     double fb = npv(high, cashflows, count, cashflows[0].date);
@@ -30,7 +35,7 @@ double brent_method(CashFlow *cashflows, long count, double tol, long max_iter,
     double c = low, fc = fa, s, d = 0.0, e = 0.0;
 
     // Iteratively apply Brent's method
-    for (long iter = 0; iter < max_iter; iter++) {
+    for (long long iter = 0; iter < max_iter; iter++) {
         if (fb * fc > 0) {
             // Adjust c to ensure that f(b) and f(c) have opposite signs
             c = low;
@@ -116,24 +121,26 @@ double brent_method(CashFlow *cashflows, long count, double tol, long max_iter,
  */
 VALUE calculate_xirr_with_brent(VALUE self, VALUE rb_cashflows, VALUE rb_tol, VALUE rb_max_iter) {
     // Get the number of cash flows
-    long count = RARRAY_LEN(rb_cashflows);
+    long long count = (long long)RARRAY_LEN(rb_cashflows);
     CashFlow cashflows[count];
 
     // Convert Ruby cash flows array to C array
-    for (long i = 0; i < count; i++) {
+    for (long long i = 0; i < count; i++) {
         VALUE rb_cashflow = rb_ary_entry(rb_cashflows, i);
         cashflows[i].amount = NUM2DBL(rb_ary_entry(rb_cashflow, 0));
-        cashflows[i].date = (time_t)NUM2LONG(rb_ary_entry(rb_cashflow, 1));
+        cashflows[i].date = (int64_t)NUM2LL(rb_ary_entry(rb_cashflow, 1));
     }
 
+
     // Convert tolerance and max iterations to C types
     double tol = NUM2DBL(rb_tol);
-    long max_iter = NUM2LONG(rb_max_iter);
+    long long max_iter = NUM2LL(rb_max_iter);
 
     double result;
 
     // Try Brent's method with a standard bracketing interval
     double low = -0.9999, high = 10.0;
+
     result = brent_method(cashflows, count, tol, max_iter, low, high);
     if (!isnan(result)) {
         return rb_float_new(result);

data/ext/fast_xirr/common.c

@@ -11,13 +11,13 @@
  *
  * @return The calculated NPV.
  */
-double npv(double rate, CashFlow *cashflows, long count, time_t min_date) {
+double npv(double rate, CashFlow *cashflows, long long count, int64_t min_date) {
     double npv_value = 0.0;
 
-    for (long i = 0; i < count; i++) {
+    for (long long i = 0; i < count; i++) {
         // Calculate the number of days from the minimum date to the cash flow date
-        double days = difftime(cashflows[i].date, min_date) / (60 * 60 * 24);
-        
+        double days = (double)(cashflows[i].date - min_date) / (60 * 60 * 24);
+
         // Calculate the discount factor and add the discounted amount to the NPV
         npv_value += cashflows[i].amount / pow(1 + rate, days / 365.0);
     }
@@ -37,13 +37,13 @@ double npv(double rate, CashFlow *cashflows, long count, time_t min_date) {
  *
  * @return 1 if a bracketing interval is found, 0 otherwise.
  */
-int find_bracketing_interval(CashFlow *cashflows, long count, double *low, double *high) {
+int find_bracketing_interval(CashFlow *cashflows, long long count, double *low, double *high) {
     double min_rate = -0.99999999, max_rate = 10.0;
     double step = 0.0001;
-    time_t min_date = cashflows[0].date;
+    int64_t min_date = cashflows[0].date;
 
     // Find the earliest date in the cashflows array
-    for (long i = 1; i < count; i++) {
+    for (long long i = 1; i < count; i++) {
         if (cashflows[i].date < min_date) {
             min_date = cashflows[i].date;
         }

data/ext/fast_xirr/common.h

@@ -1,15 +1,15 @@
 #ifndef COMMON_H
 #define COMMON_H
 
-#include <time.h>
+#include <stdint.h>
 
 typedef struct {
     double amount;
-    time_t date;
+    int64_t date;
 } CashFlow;
 
-double npv(double rate, CashFlow *cashflows, long count, time_t min_date);
+double npv(double rate, CashFlow *cashflows, long long count, int64_t min_date);
 
-int find_bracketing_interval(CashFlow *cashflows, long count, double *low, double *high);
+int find_bracketing_interval(CashFlow *cashflows, long long count, double *low, double *high);
 
 #endif

data/lib/fast_xirr/version.rb

@@ -1,4 +1,4 @@
 module FastXirr
-  VERSION = "0.1.0"
+  VERSION = "1.0.1"
 end
 

data/lib/fast_xirr.rb

@@ -3,13 +3,13 @@ require 'fast_xirr/fast_xirr'
 module FastXirr
   def self.calculate(cashflows:, tol: 1e-7, max_iter: 1e10)
     cashflows_with_timestamps = cashflows.map do |amount, date|
-      [amount, date.to_time.to_i]
-    end
+      [amount, Time.utc(date.year, date.month, date.day).to_i]
+    end.sort_by { |_amount, timestamp| timestamp }
+
     result = _calculate_with_brent(cashflows_with_timestamps, tol, max_iter)
     
     if result.nan?
       result = _calculate_with_bisection(cashflows_with_timestamps, tol, max_iter)
-      puts "Brent failed, trying bisection" unless result.nan?
     end
 
     return result

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: fast_xirr
 version: !ruby/object:Gem::Version
-  version: 0.1.0
+  version: 1.0.1
 platform: ruby
 authors:
 - Matias Martini
 autorequire:
 bindir: bin
 cert_chain: []
-date: 2024-06-28 00:00:00.000000000 Z
+date: 2024-07-11 00:00:00.000000000 Z
 dependencies: []
 description: A gem to calculate the XIRR using a C extension for performance.
 email: