wi_xirr 1.0.0

checksums.yaml

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+---
+SHA256:
+  metadata.gz: 2a708d7a6f079f706dfd6cfee92d5e8cc26f72c68750d0d007230a54de6e84ad
+  data.tar.gz: 8326f713285bcaf625d3f42720c17a6546df93279d9832eb209227cbea240533
+SHA512:
+  metadata.gz: bed4a43e9a742bedba1eff69ba81b5b4e335e285dcd76c3a39ef2b0904d63d76dfbfc80be290d8cbd9d2315ab61297eac822156094291bbf8d9cf99b0cffd990
+  data.tar.gz: 99628d325724ca1e5356afba0891bfa0c474926167a5ee15a9e20191431cbecf0c67378e17571b6317afdc95029c17b01c67682241238d4a18c6bff1c7e89fd0

data/ext/wi_xirr/extconf.rb

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+require "mkmf"
+extension_name = "wi_xirr"
+dir_config(extension_name)
+create_makefile("wi_xirr/wi_xirr")

data/ext/wi_xirr/wi_xirr.c

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+# include <math.h>
+# include <time.h>
+# include <stdio.h>
+# include <ruby.h>
+
+VALUE WiXirr = Qnil;
+
+void Init_wi_xirr();
+VALUE calculate(VALUE self, VALUE rb_amounts, VALUE rb_dates, VALUE guess, VALUE maximum_iterations);
+double get_fx(double x, double amounts[], double investmentPreiods[], int numberOfTransactions);
+double get_derivative_for_x(double x, double amounts[], double investmentPreiods[], int numberOfTransactions);
+
+void Init_wi_xirr() {
+  WiXirr = rb_const_get(rb_cObject, rb_intern("WiXirr"));
+  rb_define_module_function(WiXirr, "calculate", calculate, 4);
+}
+
+VALUE calculate(VALUE self, VALUE rb_amounts, VALUE rb_dates, VALUE guess, VALUE maximum_iterations) {
+  // Fixed variables
+  int max_iterations = NUM2INT(maximum_iterations);
+  int length = (int)RARRAY_LEN(rb_amounts);
+  double delta = 1E-8;
+  double investment_periods[length], amounts[length], dates[length];
+  double min_date = 34028235E38;
+  // Find min and max date and initialize c arrays
+  for(int i = 0; i < length; i++) {
+    amounts[i] = NUM2DBL(rb_ary_entry(rb_amounts, i));
+    // Dates is the array containing the number of days since epoch
+    dates[i] = floor(NUM2DBL(rb_ary_entry(rb_dates, i)) / 86400);
+    if (dates[i] < min_date)
+      min_date = dates[i];
+  }
+  // Find investment_periods
+  for(int i = 0; i < length; i++)
+    investment_periods[i] = (dates[i] - min_date);
+
+  // Solving for 0 npv by Newton's Method
+  double init_guess = NUM2DBL(guess);
+  double irr = init_guess, delta_x = 0.0;
+  int number_of_iterations = 0;
+  do {
+    irr -= delta_x;
+    if (irr == -1.0) {
+      break;
+    }
+    double fx = get_fx(irr, amounts, investment_periods, length);
+    double derivative_at_x = get_derivative_for_x(irr, amounts, investment_periods, length);
+    if (derivative_at_x == 0.0) {
+      irr = -1;
+      break;
+    }
+    delta_x = fx / derivative_at_x;
+    number_of_iterations += 1;
+  } while((fabs(delta_x) > delta) && (number_of_iterations < max_iterations));
+  if (number_of_iterations >= max_iterations) {
+    irr = -1;
+  }
+  return DBL2NUM(pow(1 + irr, 365) - 1);
+}
+
+double get_fx(double x, double amounts[], double investmentPreiods[], int numberOfTransactions) {
+  double fx = 0.0;
+  for(int i = 0; i < numberOfTransactions; i++)
+    fx += (amounts[i] / pow(1 + x, investmentPreiods[i]));
+  return fx;
+}
+
+double get_derivative_for_x(double x, double amounts[], double investmentPreiods[], int numberOfTransactions) {
+  double f_dash_x = 0.0;
+  for(int i = 0; i < numberOfTransactions; i++)
+    f_dash_x += (amounts[i] * investmentPreiods[i]) / pow(1 + x, investmentPreiods[i]);
+  return -f_dash_x;
+}
+
+// Solving for 0 npv by bisection method
+  // double left_guess = -49.99/365.0, right_guess = 49.99/365.0;
+  // while((right_guess - left_guess) > (2 * delta)) {
+  //   double mid = (right_guess + left_guess) / 2;
+  //   if (get_fx(left_guess, amounts, investment_periods, length) * get_fx(mid, amounts, investment_periods, length) > 0)
+  //     left_guess = mid;
+  //   else
+  //     right_guess = mid;
+  // }
+  // double irr = (left_guess + right_guess) / 2.0;

data/lib/wi_xirr.rb

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+module WiXirr
+end
+
+require 'wi_xirr/wi_xirr'

data/lib/wi_xirr/version.rb

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+module WiXirr
+  VERSION = '1.0.0' 
+end

metadata

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+--- !ruby/object:Gem::Specification
+name: wi_xirr
+version: !ruby/object:Gem::Version
+  version: 1.0.0
+platform: ruby
+authors:
+- Mahadevan K, Shaunak Dey
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2020-12-18 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: rake-compiler
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: rspec
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: byebug
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+description: Fast Newtonian method XIRR calculator for Ruby, matches Excel implementation
+  of XIRR formula
+email: 
+executables: []
+extensions:
+- ext/wi_xirr/extconf.rb
+extra_rdoc_files: []
+files:
+- ext/wi_xirr/extconf.rb
+- ext/wi_xirr/wi_xirr.c
+- lib/wi_xirr.rb
+- lib/wi_xirr/version.rb
+homepage: https://github.com/planarinvestments/wi_xirr
+licenses:
+- MIT
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubygems_version: 3.1.2
+signing_key: 
+specification_version: 4
+summary: Fast Newtonian method XIRR calculator for Ruby
+test_files: []