finfast 0.0.1

data/README.rdoc

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+= finfast
+
+* TODO url
+
+== SYNOPSIS
+
+TODO description
+
+=== Usage
+
+  TODO (code sample of usage)
+
+== REQUIREMENTS
+
+* TODO (list of requirements)
+
+== INSTALLATION
+
+  sudo gem install finfast
+
+== DEVELOPMENT
+
+TODO developer advice
+
+== LICENSE
+
+(The MIT License)
+
+Copyright (c) 2012 TODO
+
+Permission is hereby granted, free of charge, to any person obtaining
+a copy of this software and associated documentation files (the
+'Software'), to deal in the Software without restriction, including
+without limitation the rights to use, copy, modify, merge, publish,
+distribute, sublicense, and/or sell copies of the Software, and to
+permit persons to whom the Software is furnished to do so, subject to
+the following conditions:
+
+The above copyright notice and this permission notice shall be
+included in all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED 'AS IS', WITHOUT WARRANTY OF ANY KIND,
+EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
+MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT.
+IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY
+CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT,
+TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
+SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
+

data/ext/finfast/extconf.rb

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+require 'mkmf'
+create_makefile('finfast/finfast')

data/ext/finfast/finfast.c

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+#include "ruby.h"
+#include "math.h"
+#include "stdio.h"
+
+#define MIN(a,b) (((a)<(b))?(a):(b))
+#define MAX(a,b) (((a)>(b))?(a):(b))
+
+void Init_finfast();
+static VALUE method_newton(VALUE self, VALUE pmts, VALUE exps, 
+			   VALUE guess, VALUE tolerance, VALUE max_iter);
+static long double fx(long double x, VALUE *pmts, VALUE *exps, long len);
+static long double dfx(long double x, VALUE *pmts, VALUE *exps, long len);
+static long double const lower_bound = -0.99;
+
+void Init_finfast() {
+  VALUE module = rb_define_module("Finfast");
+  rb_define_method(module, "newton", method_newton, 5);
+}
+
+static long double fx(long double x, VALUE *pmts, VALUE *exps, long len)
+{
+  long double result = 0.0;
+  int i;
+  for (i = 0; i < len; ++i) {
+    long double ex = -NUM2DBL(exps[i]);
+    long double pmt = NUM2DBL(pmts[i]);
+    //printf("Payment: %Lf, exponent: %Lf\n", pmt, ex);
+    result += (pmt * pow(1.0 + x, ex));
+  }
+  return result;
+}
+
+static long double dfx(long double x, VALUE *pmts, VALUE *exps, long len)
+{
+  long double result = 0.0;
+  int i;
+  for (i = 0; i < len; ++i) {
+    long double ex = -NUM2DBL(exps[i]);
+    long double pmt = NUM2DBL(pmts[i]);
+    result += (pmt * ex * pow(1.0 + x, ex - 1.0));
+  }
+  return result;
+}
+
+static VALUE method_newton(VALUE self, VALUE pmts, VALUE exps, 
+			   VALUE guess, VALUE tolerance, VALUE max_iter) {
+  long len = RARRAY_LEN(pmts);
+  long max_i = NUM2INT(max_iter);
+  long double x0 = NUM2DBL(guess);
+  long double x1 = 0.0;
+  long double tol = NUM2DBL(tolerance);
+  long double err = 1e100;
+  VALUE *pmt_p = RARRAY_PTR(pmts);
+  VALUE *exp_p = RARRAY_PTR(exps);
+  long iter = 0;
+
+  while (err > tol && iter++ < max_i) {
+    x1 = x0 - (fx(x0, pmt_p, exp_p, len) / dfx(x0, pmt_p, exp_p, len));
+    err = fabs(x1 - x0);
+    x0 =  MAX(x1, lower_bound);
+  }
+
+  return (err > tol) ? Qnil : rb_float_new(x0);
+}

data/lib/finfast.rb

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+require 'finfast/version'
+require 'finfast/finfast'
+
+module Finfast
+  
+  DAYS_PER_YEAR = 365.0
+
+  # Calculates internal rate of return on a series of irregular cash flows, similar
+  # to the OpenOffice.org XIRR function described here:
+  # http://wiki.openoffice.org/wiki/Documentation/How_Tos/Calc%3a_XIRR_function
+  #
+  # Params:
+  # +transactions+:: A hash of {date: d, pmt: p}
+  # +guess+:: An initial guess for the algorithm.
+  #
+  def xirr(transactions, guess=0.0, tolerance=1e-6, iterations=100)
+    date_array = transactions.keys
+    pmt_array = transactions.values
+    d_0 = date_array.min
+    exp_array = date_array.map { |d| exp(d, d_0) }
+    newton(pmt_array, exp_array, guess, tolerance, iterations)
+  end
+
+  private
+
+  def self.exp(d_i, d_0)
+    if (d_i).is_a?(Date)
+      ((d_i - d_0).to_i / DAYS_PER_YEAR)
+    else
+      raise "Can't calculate exponents for #{d_i.class}"
+    end
+  end
+
+  module_function :xirr, :newton
+
+end

data/lib/finfast/version.rb

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+module Finfast
+  VERSION_MAJOR = 0
+  VERSION_MINOR = 0
+  VERSION_PATCH = 1
+  VERSION = [VERSION_MAJOR, VERSION_MINOR, VERSION_PATCH].join('.')
+end

data/test/finfast/finfast_test.rb

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+require 'finfast'
+require 'test/unit'
+
+class TestFinfast < Test::Unit::TestCase
+  def test_finfast
+    assert_equal 3, 1 + 1, "TODO write tests"
+  end
+end
+

metadata

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+--- !ruby/object:Gem::Specification
+name: finfast
+version: !ruby/object:Gem::Version
+  version: 0.0.1
+  prerelease: 
+platform: ruby
+authors:
+- Michael Grant
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2012-11-05 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: rake
+  requirement: &70281528856020 !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ! '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: *70281528856020
+- !ruby/object:Gem::Dependency
+  name: rspec
+  requirement: &70281528855500 !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ! '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: *70281528855500
+description: Fast Ruby financial math operations, using native code
+email:
+- mike.grant@jhu.edu
+executables: []
+extensions:
+- ext/finfast/extconf.rb
+extra_rdoc_files:
+- README.rdoc
+files:
+- lib/finfast/version.rb
+- lib/finfast.rb
+- ext/finfast/finfast.c
+- ext/finfast/extconf.rb
+- README.rdoc
+- test/finfast/finfast_test.rb
+homepage: http://79mg.com/
+licenses: []
+post_install_message: 
+rdoc_options:
+- --main
+- README.rdoc
+- --title
+- finfast-0.0.1 Documentation
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  none: false
+  requirements:
+  - - ! '>='
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  none: false
+  requirements:
+  - - ! '>='
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 1.8.17
+signing_key: 
+specification_version: 3
+summary: Fast Ruby financial math operations
+test_files:
+- test/finfast/finfast_test.rb
+has_rdoc: