xirr 0.2.5 → 0.2.7

checksums.yaml

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

@@ -1,8 +1,16 @@
+## Version 0.2.7
+
+* Bisection will now retry XIRR in Newton Method if right limit is reached
+* Options in config are now module constants
+
+## Version 0.2.6
+
+* New Bisection method to avoid not converging to negative IRRs if not enough precision
+
 ## Version 0.2.5
 
 * Default XIRR does not raise an Exception if cashflow is invalid
 
-
 ## Version 0.2.4
 
 * Cashflow Invalid Messages are now public.

data/lib/xirr/base.rb

@@ -1,12 +1,5 @@
 module Xirr
 
-  # Precision for BigDecimal
-  PRECISION = Xirr.config.precision.to_i
-  # Days in a year
-  DAYS_IN_YEAR = Xirr.config.days_in_year.to_f
-  # Epsilon: error margin
-  EPS = Xirr.config.eps.to_f
-
   #  Base module for XIRR calculation Methods
   module Base
     extend ActiveSupport::Concern

data/lib/xirr/bisection.rb

@@ -20,8 +20,7 @@ module Xirr
       while ((right - left).abs > Xirr::EPS && runs < Xirr.config.iteration_limit.to_i) do
 
         runs += 1
-        npv_positive?(midpoint) == npv_positive?(left) ? left = midpoint : right = midpoint
-        midpoint = format_irr(left, right)
+        left, midpoint, right = bisection(left, midpoint, right)
 
       end
 
@@ -29,12 +28,42 @@ module Xirr
         raise ArgumentError, "Did not converge after #{runs} tries."
       end
 
+      # If enabled, will retry XIRR with NewtonMethod
+      if Xirr::FALLBACK && right_limit_reached?(right, midpoint)
+        return NewtonMethod.new(cf).xirr
+      end
+
       return midpoint.round Xirr::PRECISION
 
     end
 
     private
 
+    # @param right [BigDecimal]
+    # @param midpoint [BigDecimal]
+    # @return [Boolean]
+    # Checks if result is the right limit.
+    def right_limit_reached?(right, midpoint)
+      (right - midpoint).abs < Xirr::EPS
+    end
+
+    # @param left [BigDecimal]
+    # @param midpoint [BigDecimal]
+    # @param right [BigDecimal]
+    # @return [Array]
+    # Calculates the Bisections
+    def bisection(left, midpoint, right)
+      _left, _mid = npv_positive?(left), npv_positive?(midpoint)
+      if _left && _mid
+        return left, left, left if npv_positive?(right) # Not Enough Precision in the left to find the IRR
+      end
+      if _left == _mid
+        return midpoint, format_irr(midpoint, right), right # Result is to the Right
+      else
+        return left, format_irr(left, midpoint), midpoint # Result is to the Left
+      end
+    end
+
     # @param midpoint [Float]
     # @return [Bolean]
     # Returns true if result is to the right ot the range

data/lib/xirr/cashflow.rb

@@ -96,7 +96,7 @@ module Xirr
         when :newton_method
           NewtonMethod.new(self)
         else
-          raise ArgumentError, "There is no #{method} method"
+          raise ArgumentError, "There is no method called #{method} "
       end
     end
 

data/lib/xirr/config.rb

@@ -1,17 +1,19 @@
 module Xirr
   include ActiveSupport::Configurable
 
-  # Default values
+  # Sets as constants all the entries in the Hash Default values
   default_values = {
-      eps: '1.0e-12',
+      eps: '1.0e-6'.to_f,
       days_in_year: 365,
-      iteration_limit: 100,
+      iteration_limit: 50,
       precision: 6,
-      default_method: :bisection
+      default_method: :bisection,
+      fallback: true
   }
 
   # Iterates trhough default values and sets in config
   default_values.each do |key, value|
     self.config.send("#{key.to_sym}=", value)
+    const_set key.to_s.upcase.to_sym, value
   end
-end
+end

data/lib/xirr/version.rb

@@ -1,4 +1,4 @@
 module Xirr
   # Version of the Gem
-  VERSION = "0.2.5"
+  VERSION = "0.2.7"
 end

data/test/test_cashflow.rb

@@ -61,6 +61,27 @@ describe 'Cashflows' do
     end
   end
 
+  describe 'of a very good investment' do
+    before(:all) do
+      @cf = Cashflow.new
+      @cf << Transaction.new(1000000, date: Date.today - 180)
+      @cf << Transaction.new(-2200000, date: Date.today - 60)
+      @cf << Transaction.new(-800000, date: Date.today - 30)
+    end
+
+    it 'has an Internal Rate of Return on Bisection Method' do
+      assert_equal '22.352206  '.to_f, @cf.xirr
+    end
+
+    it 'has an Internal Rate of Return on Newton Method' do
+      assert_equal '22.352206 '.to_f, @cf.xirr(nil, :newton_method)
+    end
+
+    it 'has an educated guess' do
+      assert_equal '13.488 '.to_f, @cf.irr_guess
+    end
+  end
+
   describe 'of a good investment' do
     before(:all) do
       @cf = Cashflow.new
@@ -97,16 +118,16 @@ describe 'Cashflows' do
     end
 
     it 'returns 0 instead of expection ' do
-      assert_equal BigDecimal.new(0, 6), @cf.xirr_no_exception
+      assert_equal BigDecimal.new(0, 6), @cf.xirr
     end
 
 
     it 'with a wrong method is invalid' do
-      assert_raises(ArgumentError) { @cf.xirr(nil, :no_method) }
+      assert_raises(ArgumentError) { @cf.xirr_with_exception(nil, :no_method) }
     end
 
     it 'raises error when xirr is called' do
-      assert_raises(ArgumentError) { @cf.xirr }
+      assert_raises(ArgumentError) { @cf.xirr_with_exception }
     end
 
     it 'raises error when xirr is called' do
@@ -127,7 +148,7 @@ describe 'Cashflows' do
     end
 
     it 'raises error when xirr is called' do
-      assert_raises(ArgumentError) { @cf.xirr }
+      assert_raises(ArgumentError) { @cf.xirr_with_exception }
     end
 
     it 'raises error when xirr is called' do

data/test/test_helper.rb

@@ -26,8 +26,9 @@ require_relative 'lib/xirr/cashflow.rb'
 require_relative 'lib/xirr/transaction.rb'
 include Xirr
   cf = Cashflow.new
-  cf << Transaction.new(1000, date: '1985-01-01'.to_date)
-  cf << Transaction.new(-6000, date: '1985-01-02'.to_date)
-  cf.xirr(0.15)
+  cf << Transaction.new(1000000, date: Date.today - 180)
+  cf << Transaction.new(-2200000, date: Date.today - 60)
+  cf << Transaction.new(-800000, date: Date.today - 30)
+  cf.xirr
 
 =end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: xirr
 version: !ruby/object:Gem::Version
-  version: 0.2.5
+  version: 0.2.7
 platform: ruby
 authors:
 - tubedude
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2014-08-07 00:00:00.000000000 Z
+date: 2014-08-10 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler