xirr_newton_calculator 0.0.1

data/README.md

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+xirr-newton-calculator
+======================
+
+A library to calculate Xirr using Newton Raphson algorithm

data/lib/xirr_newton_calculator.rb

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+class XirrNewtonCalculator
+	# Calculate Xirr using Newton Raphson
+
+	# Arguments
+	# 	flows: (Array)
+	# 	init_rate: (Fixnum, Bignum)
+	# 	max_iteration: (Fixnum)
+
+
+	EPS = 10 ** -7
+
+	attr_writer :f_xn
+
+  def initialize(flows, init_rate, max_iteration=1000)
+   @flows = flows
+   @x_n = init_rate < 1 ? 1 / (1 + init_rate) : 0.5
+   @max_iteration = max_iteration
+  end
+
+  def calculate
+  	@f_xn = f(@x_n)
+  	iteration = 0
+  	while @f_xn.abs >= EPS && iteration <= @max_iteration
+  		@f_xn = f(@x_n)
+    	@x_n = next_value(@x_n)
+    	iteration += 1
+    end
+    discount_factor_to_irr(@x_n)
+  end
+
+  private 
+
+  def next_value(x)
+  	x - @f_xn.to_f/dfdx(x)
+  end
+
+  def dfdx(x)
+  	@flows.inject(0) do |result, flow|
+  		diff_date = (flow.date - @flows[0].date)/365
+  		result += flow.value * diff_date * x.to_f ** (diff_date -1)
+  	end
+  end
+
+  def f(x)
+  	@f_xn = @flows.inject(0) do |result, flow|
+  		diff_date = (flow.date - @flows[0].date)/365
+  		result += flow.value * x.to_f ** diff_date 
+  	end
+  end
+
+  def discount_factor_to_irr (disc_fac)
+  	1.0/disc_fac - 1
+  end
+end

data/spec/xirr_newton_calculator_spec.rb

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+require_relative '../lib/xirr_newton_calculator'
+Transaction = Struct.new(:value, :date)
+
+describe "XirrNewtonCalculator" do
+  before :each do
+    @flows = [
+      Transaction.new(-40, Date.new(2013,10,17)),
+      Transaction.new(11, Date.new(2013,11, 1)),
+      Transaction.new(11, Date.new(2013,12, 1)),
+      Transaction.new(11, Date.new(2014,1, 1)),
+      Transaction.new(11, Date.new(2014,2, 1))
+    ]
+    @init_rate = 0.15
+  end
+
+  let(:xirr_calculator) { XirrNewtonCalculator.new(@flows, @init_rate) }
+
+  describe "#calculate" do   
+    it "returns 0.789" do 
+      expect(xirr_calculator.calculate.round(3)).to eq 0.789
+    end
+
+    it "returns correct value" do
+      flows = []
+      flows << Transaction.new(-213_024_000, Date.new(2013, 10, 17))
+      flows << Transaction.new(10_011_582, Date.new(2013, 11, 7))
+      flows << Transaction.new(10_021_461, Date.new(2013, 12, 9))
+      flows << Transaction.new(10_030_258, Date.new(2014, 1, 7))
+      flows << Transaction.new(10_039_489, Date.new(2014, 2, 7))
+      flows << Transaction.new(10_048_642, Date.new(2014, 3, 7))
+      flows << Transaction.new(10_058_204, Date.new(2014, 4, 7))   
+      flows << Transaction.new(10_067_615, Date.new(2014, 5, 7))
+      flows << Transaction.new(10_077_241, Date.new(2014, 6, 9)) 
+      flows << Transaction.new(10_086_750, Date.new(2014, 7, 7))
+      flows << Transaction.new(10_096_787, Date.new(2014, 8, 7))
+      flows << Transaction.new(10_106_729, Date.new(2014, 9, 8))
+      flows << Transaction.new(10_116_739, Date.new(2014, 10, 7))
+      flows << Transaction.new(10_127_085, Date.new(2014, 11, 7))
+      flows << Transaction.new(10_137_444, Date.new(2014, 12, 9))
+      flows << Transaction.new(10_147_891, Date.new(2015, 1, 7))
+      flows << Transaction.new(10_158_638, Date.new(2015, 2, 9))
+      flows << Transaction.new(10_169_341, Date.new(2015, 3, 9))
+      flows << Transaction.new(10_180_406, Date.new(2015, 4, 7))
+      flows << Transaction.new(10_191_572, Date.new(2015, 5, 7))
+      flows << Transaction.new(10_202_851, Date.new(2015, 6, 8))
+      flows << Transaction.new(10_214_228, Date.new(2015, 7, 7))
+      flows << Transaction.new(10_225_830, Date.new(2015, 8, 7)) 
+      flows << Transaction.new(10_237_550, Date.new(2015, 9, 7)) 
+      flows << Transaction.new(10_249_432, Date.new(2015, 10, 7))
+      xirr_calculator = XirrNewtonCalculator.new(flows, 0.15)
+      expect(xirr_calculator.calculate.round(6)).to eq 0.141087
+    end
+  end
+
+  describe "#next_value" do
+    it "calls dfdx" do
+      xirr_calculator.instance_variable_set(:@f_xn, 1)
+      xirr_calculator.should_receive(:dfdx).with(10).and_return(1)
+      xirr_calculator.send(:next_value,10)
+    end
+
+    it "returns proper value for x=1" do
+      xirr_calculator.stub(dfdx: 2)
+      xirr_calculator.f_xn = 1
+      expect(xirr_calculator.send(:next_value,1)).to eq 0.5
+    end
+  end
+
+  describe "#f" do 
+    it "returns 4 for x = 1" do
+      expect(xirr_calculator.send(:f, 1)).to eq 4
+    end
+
+    it "returns -9.3 for x = 0.1" do
+      expect(xirr_calculator.send(:f, 0.1).round(1)).to eq -9.3
+    end
+  end
+
+  describe '#dfdx' do
+    it "returns 44.9 for x = 0.1" do
+      expect(xirr_calculator.send(:dfdx, 0.1).round(1)).to eq 44.9
+    end
+
+    it "returns 7.3 for x = 1" do
+      expect(xirr_calculator.send(:dfdx, 1).round(1)).to eq 7.3
+    end
+  end
+
+end

metadata

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+--- !ruby/object:Gem::Specification
+name: xirr_newton_calculator
+version: !ruby/object:Gem::Version
+  version: 0.0.1
+  prerelease: 
+platform: ruby
+authors:
+- JP Colomer
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2013-10-17 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: rspec
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ! '>='
+      - !ruby/object:Gem::Version
+        version: 2.14.1
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ! '>='
+      - !ruby/object:Gem::Version
+        version: 2.14.1
+description: 
+email: jpcolomer@gmail.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- lib/xirr_newton_calculator.rb
+- spec/xirr_newton_calculator_spec.rb
+- README.md
+homepage: 
+licenses:
+- MIT
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  none: false
+  requirements:
+  - - ! '>='
+    - !ruby/object:Gem::Version
+      version: '1.9'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  none: false
+  requirements:
+  - - ! '>='
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 1.8.25
+signing_key: 
+specification_version: 3
+summary: a library to calculate xirr on Ruby.
+test_files: []