finance 1.0.0 → 1.1.0

data/HISTORY

@@ -1,3 +1,10 @@
+= Version 1.1.0
+11 Sep 2011
+
+* Added XNPV and XIRR functions, with basic testing.
+* Bugfix: Array#sum no longer collides with the Array#sum defined in Rails.
+* Bugfix: Numeric#amortize now correctly calls Finance::Amortization#new.
+
 = Version 1.0.0 
 20 Jul 2011
 

data/lib/finance/amortization.rb

@@ -191,6 +191,6 @@ class Numeric
   # @see Amortization#new
   # @api public
   def amortize(*rates, &block)
-    amortization = Amortization.new(self, *rates, &block)
+    amortization = Finance::Amortization.new(self, *rates, &block)
   end
 end

data/lib/finance/cashflows.rb

@@ -1,24 +1,58 @@
 require_relative 'decimal'
+require_relative 'rates'
+
+require 'bigdecimal'
+require 'bigdecimal/newton'
+include Newton
 
 module Finance
   # Provides methods for working with cash flows (collections of transactions)
   # @api public
   module Cashflow
+    # Base class for working with Newton's Method.
+    # @api private
+    class Function
+      values = {
+        eps: "1.0e-16",
+        one: "1.0",
+        two: "2.0",
+        ten: "10.0",
+        zero: "0.0"
+        }
+
+      values.each do |key, value|
+        define_method key do
+          BigDecimal.new value
+        end
+      end
+
+      def initialize(transactions, function)
+        @transactions = transactions
+        @function = function
+      end
+
+      def values(x)
+        value = @transactions.send(@function, x[0].to_d)
+        [ BigDecimal.new(value.to_s) ]
+      end
+    end
+
     # calculate the internal rate of return for a sequence of cash flows
     # @return [DecNum] the internal rate of return
     # @example
     #   [-4000,1200,1410,1875,1050].irr #=> 0.143
     # @see http://en.wikipedia.org/wiki/Internal_rate_of_return
     # @api public
-    def irr(iterations=100)
-      self.collect! { |entry| entry.to_d }
+    def irr
+      func = Function.new(self, :npv)
+      rate = [ func.one ]
+      n = nlsolve( func, rate )
+      rate[0]
+    end
 
-      rate, investment = 1.to_d, self[0]
-      iterations.times do
-        rate *= (1 - self.npv(rate) / investment)
-      end
-      
-      rate
+    def method_missing(name, *args, &block)
+      return self.inject(:+) if name.to_s == "sum"
+      super
     end
 
     # calculate the net present value of a sequence of cash flows
@@ -39,13 +73,39 @@ module Finance
       total
     end
 
-    # @return [Numeric] the total value of a sequence of cash flows
+    # calculate the internal rate of return for a sequence of cash flows with dates
+    # @return [Rate] the internal rate of return
+    # @example
+    #   @transactions = []
+    #   @transactions << Transaction.new(-1000, :date => Time.new(1985,01,01))
+    #   @transactions << Transaction.new(  600, :date => Time.new(1990,01,01))
+    #   @transactions << Transaction.new(  600, :date => Time.new(1995,01,01))
+    #   @transactions.xirr(0.6).round(2) #=> Rate("0.024851", :apr, :compounds => :annually)
     # @api public
-    def sum
-      self.inject(:+)
+    def xirr(iterations=100)
+      func = Function.new(self, :xnpv)
+      rate = [ func.one ]
+      n = nlsolve( func, rate )
+      Rate.new(rate[0], :apr, :compounds => :annually)
     end
 
-    def xirr
+    # calculate the net present value of a sequence of cash flows
+    # @return [DecNum]
+    # @example
+    #   @transactions = []
+    #   @transactions << Transaction.new(-1000, :date => Time.new(1985,01,01))
+    #   @transactions << Transaction.new(  600, :date => Time.new(1990,01,01))
+    #   @transactions << Transaction.new(  600, :date => Time.new(1995,01,01))
+    #   @transactions.xnpv(0.6).round(2) #=> -937.41
+    # @api public
+    def xnpv(rate)
+      rate  = rate.to_d
+      start = self[0].date
+
+      self.inject(0) do |sum, t|
+        n = t.amount / ( (1 + rate) ** ((t.date-start) / 31536000.to_d)) # 365 * 86400
+        sum + n
+      end
     end
   end
 end

data/lib/finance/decimal.rb

@@ -1,12 +1,21 @@
 require 'rubygems'
 require 'flt'
+include Flt
+
+DecNum.context.define_conversion_from(BigDecimal) do |x, context|
+  DecNum(x.to_s)
+end
+
+DecNum.context.define_conversion_to(BigDecimal) do |x|
+  BigDecimal.new(x.to_s)
+end
 
 class Numeric
   def to_d
-    if self.instance_of? Flt::DecNum
+    if self.instance_of? DecNum
       self
     else
-      Flt::DecNum self.to_s
+      DecNum self.to_s
     end
   end
 end

data/lib/finance/gistfile1.rb

@@ -0,0 +1,25 @@
+require_relative 'cashflows'
+require_relative 'transaction'
+
+require 'time'
+include Finance
+
+trans = [
+  Transaction.new(-1000, :date => Time.parse("2011-01-01")),
+  Transaction.new(100, :date => Time.parse("2011-02-11")),
+  Transaction.new(100, :date => Time.parse("2011-03-11")),
+  Transaction.new(100, :date => Time.parse("2011-04-11")),
+  Transaction.new(100, :date => Time.parse("2011-05-11")),
+  Transaction.new(100, :date => Time.parse("2011-06-11")),
+  Transaction.new(100, :date => Time.parse("2011-07-11")),
+  Transaction.new(100, :date => Time.parse("2011-08-11")),
+  Transaction.new(100, :date => Time.parse("2011-09-11")),
+  Transaction.new(100, :date => Time.parse("2011-10-11")),
+  Transaction.new(100, :date => Time.parse("2011-11-11")),
+  Transaction.new(100, :date => Time.parse("2011-12-11")),
+  Transaction.new(100, :date => Time.parse("2012-01-11"))
+#  Transaction.new(-100, :date => Time.parse("2011-01-11")),
+#  Transaction.new(150, :date => Time.parse("2012-01-11"))
+]
+
+puts trans.xirr.effective.round(9)

data/lib/finance/transaction.rb

@@ -11,6 +11,9 @@ module Finance
     # @note this attribute is mainly used in the case of mortgage amortization with no dates
     # @api public
     attr_accessor :period
+    # @return [Date] the date of the transaction
+    # @api public
+    attr_accessor :date
 
     # Set the cash value of the transaction
     # @return None

data/test/test_cashflows.rb

@@ -1,11 +1,12 @@
 require_relative '../lib/finance/cashflows.rb'
+require_relative '../lib/finance/rates.rb'
 
 require 'flt/d'
 require 'minitest/unit'
 require 'shoulda'
 
 class TestCashflows < Test::Unit::TestCase
-  context "an array of cashflows" do
+  context "an array of numeric cashflows" do
     should "have an Internal Rate of Return" do
       assert_equal D("0.143"), [-4000,1200,1410,1875,1050].irr.round(3)
     end
@@ -13,4 +14,20 @@ class TestCashflows < Test::Unit::TestCase
       assert_equal D("49.211"), [-100.0, 60, 60, 60].npv(0.1).round(3)
     end
   end
+  context "an array of Transactions" do
+    setup do
+      @xactions=[]
+      @xactions << Transaction.new(-1000, :date => Time.new(1985,01,01))
+      @xactions << Transaction.new(  600, :date => Time.new(1990,01,01))
+      @xactions << Transaction.new(  600, :date => Time.new(1995,01,01))
+    end
+
+    should "have an Internal Rate of Return" do
+      assert_equal D("0.024851"), @xactions.xirr.effective.round(6)
+    end
+
+    should "have a Net Present Value" do
+      assert_equal D("-937.41"), @xactions.xnpv(0.6).round(2)
+    end
+  end
 end

metadata

@@ -1,13 +1,13 @@
 --- !ruby/object:Gem::Specification 
 name: finance
 version: !ruby/object:Gem::Version 
-  hash: 23
+  hash: 19
   prerelease: 
   segments: 
   - 1
+  - 1
   - 0
-  - 0
-  version: 1.0.0
+  version: 1.1.0
 platform: ruby
 authors: 
 - Bill Kranec
@@ -15,7 +15,7 @@ autorequire:
 bindir: bin
 cert_chain: []
 
-date: 2011-07-20 00:00:00 Z
+date: 2011-09-11 00:00:00 Z
 dependencies: 
 - !ruby/object:Gem::Dependency 
   name: flt
@@ -52,6 +52,7 @@ files:
 - lib/finance/amortization.rb
 - lib/finance/cashflows.rb
 - lib/finance/decimal.rb
+- lib/finance/gistfile1.rb
 - lib/finance/interval.rb
 - lib/finance/rates.rb
 - lib/finance/transaction.rb