xirr 0.5.1 → 0.5.2

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA1:
-  metadata.gz: 3518e67f8f7ea5c93d5e384b462bca71c88d29c0
-  data.tar.gz: d6c81b8751d64c38e8f0ebcb89d22845cebde1d8
+  metadata.gz: 97aa8fc091ee69359b450ae546e218043d52298d
+  data.tar.gz: 8538c81ef259d6beae048e2407969580b68437c7
 SHA512:
-  metadata.gz: 295790be4b9a7674efef7596f3ca133644c5973b7e230c20a130d4e5cfbb274fdcaf164e35f95db88355046908fd9c60b94b687f0e9fe0bc54749f835c07dda3
-  data.tar.gz: 23762651bcbf9583214f9f4faa8d8560f6f6e59e01f56b99c8337e029f3546debc05015c593a6bb5cc03c21751d83c502efdef594ae8d9644893beb9f9af491e
+  metadata.gz: 6fd7755b7219e30b1f2e2c1c726440d0932f5e3c690fbf7402421c6c598cf63145afcd61e0ac48cdee5b479e90430328d30bb7c6bf215d15b6552876a8d5555d
+  data.tar.gz: ddb3b2063e9e6079223a9ebe4cb4607b723612c23fd6dca6bfb4a3a58998744dcdd9c2a62ea138b0e23e85e0a72df98548fd5960767119d5ed4c6ba3bec2f616

data/.gitignore

@@ -20,3 +20,4 @@ tmp
 *.o
 *.a
 mkmf.log
+.idea

data/.ruby-gemset

@@ -0,0 +1 @@
+xirr

data/.ruby-version

@@ -0,0 +1 @@
+ruby-2.1.5

data/CHANGE_LOG.md

@@ -1,3 +1,6 @@
+## Version 0.5.2
+* Changed negative limits to return nil
+
 ## Version 0.5.1
 * Newton Method will return nil if result is less than 100%
 

data/drafts.rb

@@ -0,0 +1,123 @@
+# @cf = Cashflow.new
+# @cf << Transaction.new(105187.06,     date: '2011-12-07'.to_date )
+# @cf << Transaction.new(816709.66,     date: '2011-12-07'.to_date )
+# @cf << Transaction.new(479069.684,      date: '2011-12-07'.to_date )
+# @cf << Transaction.new(937309.708,      date: '2012-01-18'.to_date )
+# @cf << Transaction.new(88622.661,     date: '2012-07-03'.to_date )
+# @cf << Transaction.new(100000.0,      date: '2012-07-03'.to_date )
+# @cf << Transaction.new(80000.0,     date: '2012-07-19'.to_date )
+# @cf << Transaction.new(403627.95,     date: '2012-07-23'.to_date )
+# @cf << Transaction.new(508117.9,      date: '2012-07-23'.to_date )
+# @cf << Transaction.new(789706.87,     date: '2012-07-23'.to_date )
+# @cf << Transaction.new(-88622.661,      date: '2012-09-11'.to_date )
+# @cf << Transaction.new(-789706.871,     date: '2012-09-11'.to_date )
+# @cf << Transaction.new(-688117.9,     date: '2012-09-11'.to_date )
+# @cf << Transaction.new(-403627.95,      date: '2012-09-11'.to_date )
+# @cf << Transaction.new(403627.95,     date: '2012-09-12'.to_date )
+# @cf << Transaction.new(789706.871,      date: '2012-09-12'.to_date )
+# @cf << Transaction.new(88622.661,     date: '2012-09-12'.to_date )
+# @cf << Transaction.new(688117.9,      date: '2012-09-12'.to_date )
+# @cf << Transaction.new(45129.14,      date: '2013-03-11'.to_date )
+# @cf << Transaction.new(26472.08,      date: '2013-03-11'.to_date )
+# @cf << Transaction.new(51793.2,     date: '2013-03-11'.to_date )
+# @cf << Transaction.new(126605.59,     date: '2013-03-11'.to_date )
+# @cf << Transaction.new(278532.29,     date: '2013-03-28'.to_date )
+# @cf << Transaction.new(99284.1,     date: '2013-03-28'.to_date )
+# @cf << Transaction.new(58238.57,      date: '2013-03-28'.to_date )
+# @cf << Transaction.new(113945.03,     date: '2013-03-28'.to_date )
+# @cf << Transaction.new(405137.88,     date: '2013-05-21'.to_date )
+# @cf << Transaction.new(-405137.88,      date: '2013-05-21'.to_date )
+# @cf << Transaction.new(165738.23,     date: '2013-05-21'.to_date )
+# @cf << Transaction.new(-165738.23,      date: '2013-05-21'.to_date )
+# @cf << Transaction.new(144413.24,     date: '2013-05-21'.to_date )
+# @cf << Transaction.new(84710.65,      date: '2013-05-21'.to_date )
+# @cf << Transaction.new(-84710.65,     date: '2013-05-21'.to_date )
+# @cf << Transaction.new(-144413.24,      date: '2013-05-21'.to_date )
+#
+#
+# #
+# # (0.0,2014-02-14)
+# # (0.0,2014-02-14)
+# # (0.0,2014-02-14)
+# # (0.0,2014-02-14)
+# # (0.0,2014-02-14)
+# # (0.0,2014-02-14)
+# # (0.0,2014-02-14)
+# # (0.0,2014-02-14)
+# # (0.0,2014-02-14)
+# # (0.0,2014-02-14)
+# # (0.0,2014-02-14)
+# # (0.0,2014-02-14) (0.0,2014-02-14) (0.0,2014-02-14) (0.0,2014-02-14) (0.0,2014-08-12) (0.0,2014-08-12) (0.0,2014-08-12) (0.0,2014-08-12) (0.0,2014-08-12) (0.0,2014-08-12) (0.0,2014-08-12) (0.0,2014-08-12) (0.0,2014-08-12) (0.0,2014-08-12) (0.0,2014-08-12) (0.0,2014-08-12) (-0.0,2014-11-19)]
+
+
+
+require 'active_support/all'
+require_relative 'lib/xirr.rb'
+require_relative 'lib/xirr/config.rb'
+require_relative 'lib/xirr/base.rb'
+require_relative 'lib/xirr/bisection.rb'
+require_relative 'lib/xirr/newton_method.rb'
+require_relative 'lib/xirr/cashflow.rb'
+require_relative 'lib/xirr/transaction.rb'
+include Xirr
+
+require 'Benchmark'
+
+@cf = Cashflow.new
+@cf << Transaction.new(105187.06,     date: '2011-12-07'.to_date )
+@cf << Transaction.new(816709.66,     date: '2011-12-07'.to_date )
+@cf << Transaction.new(479069.684,      date: '2011-12-07'.to_date )
+@cf << Transaction.new(937309.708,      date: '2012-01-18'.to_date )
+@cf << Transaction.new(88622.661,     date: '2012-07-03'.to_date )
+
+@cf << Transaction.new(100000.0,      date: '2012-07-03'.to_date )
+@cf << Transaction.new(80000.0,     date: '2012-07-19'.to_date )
+@cf << Transaction.new(403627.95,     date: '2012-07-23'.to_date )
+@cf << Transaction.new(508117.9,      date: '2012-07-23'.to_date )
+@cf << Transaction.new(789706.87,     date: '2012-07-23'.to_date )
+@cf << Transaction.new(-88622.661,      date: '2012-09-11'.to_date )
+@cf << Transaction.new(-789706.871,     date: '2012-09-11'.to_date )
+@cf << Transaction.new(-688117.9,     date: '2012-09-11'.to_date )
+@cf << Transaction.new(-403627.95,      date: '2012-09-11'.to_date )
+@cf << Transaction.new(403627.95,     date: '2012-09-12'.to_date )
+@cf << Transaction.new(789706.871,      date: '2012-09-12'.to_date )
+@cf << Transaction.new(88622.661,     date: '2012-09-12'.to_date )
+
+@cf << Transaction.new(688117.9,      date: '2012-09-12'.to_date )
+@cf << Transaction.new(45129.14,      date: '2013-03-11'.to_date )
+@cf << Transaction.new(26472.08,      date: '2013-03-11'.to_date )
+@cf << Transaction.new(51793.2,     date: '2013-03-11'.to_date )
+@cf << Transaction.new(126605.59,     date: '2013-03-11'.to_date )
+@cf << Transaction.new(278532.29,     date: '2013-03-28'.to_date )
+@cf << Transaction.new(99284.1,     date: '2013-03-28'.to_date )
+@cf << Transaction.new(58238.57,      date: '2013-03-28'.to_date )
+@cf << Transaction.new(113945.03,     date: '2013-03-28'.to_date )
+@cf << Transaction.new(405137.88,     date: '2013-05-21'.to_date )
+
+@cf << Transaction.new(-405137.88,      date: '2013-05-21'.to_date )
+@cf << Transaction.new(165738.23,     date: '2013-05-21'.to_date )
+@cf << Transaction.new(-165738.23,      date: '2013-05-21'.to_date )
+@cf << Transaction.new(144413.24,     date: '2013-05-21'.to_date )
+@cf << Transaction.new(84710.65,      date: '2013-05-21'.to_date )
+@cf << Transaction.new(-8471000.65,     date: '2013-05-21'.to_date )
+@cf << Transaction.new(-1444130.24,      date: '2013-05-21'.to_date )
+
+
+
+def compact_cf
+  compact = Hash.new
+  @cf.map(&:date).uniq.each {|date| compact[date] = 0 }
+  @cf.each { |flow| compact[flow.date] += flow.amount}
+  @compact_cf = Cashflow.new compact.map { |key,value| Transaction.new(value, date: key.to_date)}
+  @compact_cf.xirr(@compact_cf.irr_guess, :newton_method)
+end
+
+
+
+
+n = 100
+Benchmark.bm (10) { |x|
+  x.report('Compact') { n.times { @cf.xirr(nil, :newton_method, true) } }
+  # x.report('Compact') { n.times { compact_cf } }
+  x.report('Natural') { n.times { @cf.xirr(nil, :newton_method, false) } }
+}

data/lib/xirr/bisection.rb

@@ -11,8 +11,8 @@ module Xirr
     def xirr midpoint
 
       # Initial values
-      left = [BigDecimal.new(-0.99, Xirr::PRECISION), cf.irr_guess].min
-      right = [BigDecimal.new(9.99, Xirr::PRECISION), cf.irr_guess + 1].max
+      left  = [BigDecimal.new(-0.99999999, Xirr::PRECISION), cf.irr_guess].min
+      right = [BigDecimal.new(9.99999999, Xirr::PRECISION), cf.irr_guess + 1].max
       @original_right = right
       midpoint ||= cf.irr_guess
       runs = 0

data/lib/xirr/cashflow.rb

@@ -16,7 +16,7 @@ module Xirr
       @period   = period
       @fallback = options[:fallback]
       @options  = options
-      flow.each { |a| self << a }
+      self << flow
       self.flatten!
     end
 
@@ -155,7 +155,11 @@ module Xirr
     # @return [Float]
     def multiple
       result = positives.sum(&:amount) / -negatives.sum(&:amount)
-      first_transaction_direction > 0 ? result : 1 / result
+      first_transaction_positive? ? result : 1 / result
+    end
+
+    def first_transaction_positive?
+      first_transaction_direction > 0
     end
 
     # @api private
@@ -171,7 +175,7 @@ module Xirr
     # Selects all positives transactions from Cashflow
     def positives
       return @positives if @positives
-      @positives, @negatives = self.partition { |x| x.amount < 0 }
+      extract_positives_and_negatives
       @positives
     end
 
@@ -181,10 +185,14 @@ module Xirr
     # Selects all negatives transactions from Cashflow
     def negatives
       return @negatives if @negatives
-      @negatives, @positives= self.partition { |x| x.amount > 0 }
+      extract_positives_and_negatives
       @negatives
     end
 
+    def extract_positives_and_negatives
+      @positives, @negatives = self.partition { |x| x.amount < 0 }
+    end
+
   end
 
 end

data/lib/xirr/config.rb

@@ -10,7 +10,7 @@ module Xirr
       default_method:  :newton_method,
       fallback:        true,
       replace_for_nil: 0.0,
-      compact:         false,
+      compact: true,
       raise_exception: false
   }
 

data/lib/xirr/newton_method.rb

@@ -48,7 +48,8 @@ module Xirr
       rate = [guess || cf.irr_guess]
       begin
         nlsolve(func, rate)
-        rate[0] < -1 ? nil : rate[0].round(Xirr::PRECISION)
+        rate[0] <= -1 ? nil : rate[0].round(Xirr::PRECISION)
+          # rate[0].round(Xirr::PRECISION)
       rescue
         nil
       end

data/lib/xirr/version.rb

@@ -1,4 +1,4 @@
 module Xirr
   # Version of the Gem
-  VERSION = '0.5.1'
+  VERSION = '0.5.2'
 end

data/test/test_cashflow.rb

@@ -277,7 +277,18 @@ describe 'Cashflows' do
     end
 
     it 'is a long and bad investment and newton generates an error' do
-      assert_equal '-0.99'.to_f, @cf.xirr #(method: :newton_method)
+      assert_equal '-1.0'.to_f, @cf.xirr #(method: :newton_method)
+    end
+
+  end
+
+  describe 'xichen27' do
+    it 'it matchs Excel' do
+      cf = Cashflow.new
+      cf << Transaction.new(-10000, date: '2014-04-15'.to_date)
+      cf << Transaction.new(305.6, date: '2014-05-15'.to_date)
+      cf << Transaction.new(500, date: '2014-10-19'.to_date)
+      assert_equal '-0.996814607'.to_f.round(3), cf.xirr.to_f.round(3)
     end
 
   end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: xirr
 version: !ruby/object:Gem::Version
-  version: 0.5.1
+  version: 0.5.2
 platform: ruby
 authors:
 - tubedude
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2015-02-23 00:00:00.000000000 Z
+date: 2015-03-24 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -102,14 +102,18 @@ executables: []
 extensions: []
 extra_rdoc_files: []
 files:
+- ".DS_Store"
 - ".coveralls.yml"
 - ".gitignore"
+- ".ruby-gemset"
+- ".ruby-version"
 - ".travis.yml"
 - CHANGE_LOG.md
 - Gemfile
 - LICENSE.txt
 - README.md
 - Rakefile
+- drafts.rb
 - lib/xirr.rb
 - lib/xirr/base.rb
 - lib/xirr/bisection.rb