finance_rb 0.0.3 → 0.0.4

checksums.yaml

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

@@ -1,3 +1,8 @@
+## [0.0.4] - 2021-03-25
+
+### Added
+* Implement Finance::Calculations#mirr
+
 ## [0.0.3] - 2021-03-23
 
 ### Added

data/README.md

@@ -2,7 +2,9 @@
 
 This package is a ruby native port of the numpy-financial package with some helpful additional functions.
 
-The functions in this package are a scalar version of their vectorised counterparts in  the [numpy-financial](https://github.com/numpy/numpy-financial) library.
+The functions in this package are a scalar version of their vectorised counterparts in the [numpy-financial](https://github.com/numpy/numpy-financial) library.
+
+[![Release](https://img.shields.io/github/v/release/wowinter13/finance_rb.svg?style=flat-square)](https://github.com/wowinter13/finance_rb/releases) [![PRs Welcome](https://img.shields.io/badge/PRs-welcome-brightgreen.svg?style=flat-square)](http://makeapullrequest.com)
 
 Currently, only some functions are ported,  
 which are as follows:  
@@ -15,7 +17,7 @@ which are as follows:
 | ppmt                         |       |   Computes principal payment for a loan|
 | nper                         |       |    Computes the number of periodic payments|
 | pv                           |       |   Computes the present value of a payment|
-| rate                         |   ✅  |    Computes the rate of interest per period|
-| irr                          |       |    Computes the internal rate of return|
+| rate                         |     |    Computes the rate of interest per period|
+| irr                          |    ✅    |    Computes the internal rate of return|
 | npv                          |  ✅   |   Computes the net present value of a series of cash flow|
-| mirr                         |       |    Computes the modified internal rate of return|
+| mirr                         |    ✅    |    Computes the modified internal rate of return|

data/lib/finance/calculations.rb

@@ -35,6 +35,8 @@ module Finance
       # @return [Float] Internal Rate of Return for periodic input values.
       #
       # @param [Array<Numeric>] :values Input cash flows per time period.
+      #   At least, must contain one positive and one negative value.
+      #   Otherwise, irr equals zero.
       #
       # @example
       #   require 'finance_rb'
@@ -44,10 +46,7 @@ module Finance
       # @see L. J. Gitman, "Principles of Managerial Finance, Brief," 3rd ed.,
       #   Addison-Wesley, 2003, pg. 348.
       def irr(values)
-        inflows, outflows = values.partition{ |i| i >= 0 }
-        if inflows.empty? || outflows.empty?
-          return 0.0
-        end
+        return 0.0 unless correct_cashflows?(values)
 
         func = BigDecimal.limit(100)
         func = Function.new(values)
@@ -56,11 +55,54 @@ module Finance
         rate[0].to_f
       end
 
+      # MIRR computes the modified Rate of Interest.
+      #
+      # @return [Float] Modified Internal Rate of Return.
+      #
+      # @param [Array<Numeric>] :values
+      #   At least, must contain one positive and one negative value.
+      #   Otherwise, mirr equals zero.
+      # @param [Numeric] :rate Interest rate paid on the cash flows
+      # @param [Numeric] :reinvest_rate Interest rate received on the cash flows upon reinvestment
+      # 
+      # @example
+      #   require 'finance_rb'
+      #   Finance::Calculations.mirr([100, 200, -50, 300, -200], 0.05, 0.06) => 0.2979256979689131
+      #
+      # @see https://en.wikipedia.org/wiki/Modified_internal_rate_of_return
+      def mirr(values, rate, reinvest_rate)
+        inflows = [];
+        outflows = [];
+        # We prefer manual enumeration over the partition
+        #   because of the need to replace outflows with zeros.
+        values.each do |val|
+          if val >= 0
+            inflows << val
+            outflows << 0.0
+          else
+            outflows << val
+            inflows << 0.0
+          end
+        end
+        if outflows.all?(0.0) || inflows.all?(0.0)
+          return 0.0
+        end
+        fv = npv(reinvest_rate, inflows).abs
+        pv = npv(rate, outflows).abs
+
+        return (fv/pv) ** (1.0/(values.size - 1)) * (1 + reinvest_rate) - 1
+      end
+
       alias net_present_value npv
       alias internal_return_rate irr
 
       private
 
+      def correct_cashflows?(values)
+        inflows, outflows = values.partition{ |i| i >= 0 }
+        !(inflows.empty? || outflows.empty?)
+      end
+
       # Base class for working with Newton's Method.
       # For more details, see Bigdecimal::Newton.
       # @api private

data/lib/finance/loan.rb

@@ -2,12 +2,24 @@
 
 module Finance
   class Loan
-    def initialize; end
+    def initialize(**options)
+    end
 
-    def pmt; end
+    def pmt()
+    end
 
-    def ipmt; end
+    def ipmt()
+    end
 
-    def ppmt; end
+    def ppmt()
+    end
+
+    def fv();end
+
+    def pv();end
+
+    def nper();end
+
+    def rate();end
   end
 end

data/lib/finance/version.rb

@@ -1,5 +1,5 @@
 # frozen_string_literal: true
 
 module Finance
-  VERSION = "0.0.3"
+  VERSION = "0.0.4"
 end

data/spec/finance/calculations_spec.rb

@@ -26,7 +26,7 @@ RSpec.describe Finance::Calculations do
       ).to eq(0.14299344106053188)
     end
 
-    it 'calculates zero value for cashflows w/o any inflows' do
+    it 'calculates zero for cashflows w/o any inflows' do
       expect(
         Finance::Calculations.irr([100,500,200,50])
       ).to eq(0.0)
@@ -38,4 +38,46 @@ RSpec.describe Finance::Calculations do
       ).to eq(-0.09549583035161031)
     end
   end
+
+  describe '#mirr' do
+    it 'calculates correct mirr value' do
+      expect(
+        Finance::Calculations.mirr(
+          [-120000.0, 39000.0, 30000.0, 21000.0, 37000.0, 46000.0], 0.10, 0.12
+        )
+      ).to eq(0.1260941303659051)
+    end
+    
+    it 'calculates correct mirr value with integers' do
+      expect(
+        Finance::Calculations.mirr(
+          [-4500, -800, 800, 800, 600, 600, 800, 800, 700, 3000], 0.08, 0.055
+        )
+      ).to eq(0.06659717503155349)
+    end
+
+    it 'calculates zero for cashflows w/o any outflows' do
+      expect(
+        Finance::Calculations.mirr(
+          [39000, 30000, 21000, 37000, 46000], 0.10, 0.12
+        )
+      ).to eq(0.0)
+    end
+
+    it 'calculates zero for cashflows w/o any inflows' do
+      expect(
+        Finance::Calculations.mirr(
+          [-1000, -5000, -2000, -100, -50], 0.10, 0.12
+        )
+      ).to eq(0.0)
+    end
+
+    it 'calculates correct mirr value for a shuffled order' do
+      expect(
+        Finance::Calculations.mirr(
+          [100, 200, -50, 300, -200], 0.05, 0.06
+        )
+      ).to eq(0.3428233878421769)
+    end
+  end
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: finance_rb
 version: !ruby/object:Gem::Version
-  version: 0.0.3
+  version: 0.0.4
 platform: ruby
 authors:
 - Vlad Dyachenko
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2021-03-22 00:00:00.000000000 Z
+date: 2021-03-24 00:00:00.000000000 Z
 dependencies: []
 description: A ruby port of numpy-financial functions. This library provides a Ruby
   interface for working with interest rates, mortgage amortization, and cashflows