xirr_newton_calculator 0.0.4 → 0.0.5

data/lib/xirr_newton_calculator.rb

@@ -1,29 +1,30 @@
 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
-   @max_iteration = max_iteration
+  # Calculate Xirr using Newton Raphson
+
+  # Arguments
+  #   flows: (Array)
+  #   init_rate: (Fixnum, Bignum)
+  #   max_iteration: (Fixnum)
+
+  EPS = 10 ** -10
+
+  def initialize(flows, init_rate, max_iteration=10_000)
+    initial_date = Date.parse flows[0].date.to_s
+    @flows = flows.collect do |flow|
+      {
+        amount: flow.amount,
+        diff_date: (Date.parse(flow.date.to_s) - initial_date) / 365.0
+      }
+    end
+    @x_n = init_rate
+    @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
+    f(@x_n)
+    @max_iteration.times do
+      break if @f_xn.abs < EPS
+      @x_n = next_value(@x_n)
     end
     @x_n
   end
@@ -33,24 +34,18 @@ class XirrNewtonCalculator
   # Argument X_n
   # Returns X_n+1
   def next_value(x)
-  	x - @f_xn.to_f/dfdx(x)
+    x - f(x) / dfdx(x)
   end
 
   def dfdx(x)
-  	@flows[1..-1].inject(0) do |result, flow|
-  		diff_date = (Date.parse(flow.date.to_s) - Date.parse(@flows[0].date.to_s))/365
-  		result += flow.amount * (-diff_date) / ((1.0 + x) ** (diff_date + 1))
-  	end
+    @flows[1..-1].inject(0) do |result, flow|
+      result += flow[:amount] * (-flow[:diff_date]) / ((1.0 + x) ** (flow[:diff_date] + 1.0))
+    end
   end
 
   def f(x)
-  	@f_xn = @flows.inject(0) do |result, flow|
-      diff_date = (Date.parse(flow.date.to_s) - Date.parse(@flows[0].date.to_s))/365
-  		result += flow.amount / ((1 + x) ** diff_date)
-  	end
-  end
-
-  def discount_factor_to_irr (disc_fac)
-  	1.0/disc_fac - 1
+    @f_xn = @flows.inject(0) do |result, flow|
+      result += flow[:amount] / ((1.0 + x) ** flow[:diff_date])
+    end
   end
 end

data/spec/xirr_newton_calculator_spec.rb

@@ -60,8 +60,8 @@ describe "XirrNewtonCalculator" do
     end
 
     it "returns proper value for x=1" do
-      xirr_calculator.stub(dfdx: 2)
-      xirr_calculator.f_xn = 1
+      xirr_calculator.stub(dfdx: 2.0)
+      xirr_calculator.stub(f: 1.0)
       expect(xirr_calculator.send(:next_value,1)).to eq 0.5
     end
   end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: xirr_newton_calculator
 version: !ruby/object:Gem::Version
-  version: 0.0.4
+  version: 0.0.5
   prerelease: 
 platform: ruby
 authors: