calculate-irr.js

IRR(values, guess) {
  let irrResult = function(values, dates, rate) {
    let r = rate + 1;
    let result = values[0];
    for (let i = 1; i < values.length; i++) {
      result += values[i] / Math.pow(r, (dates[i] - dates[0]) / 365);
    }
    return result;
  };

  let irrResultDeriv = function(values, dates, rate) {
    let r = rate + 1;
    let result = 0;
    for (let i = 1; i < values.length; i++) {
      let frac = (dates[i] - dates[0]) / 365;
      result -= (frac * values[i]) / Math.pow(r, frac + 1);
    }
    return result;
  };

  let dates = [];
  let positive = false;
  let negative = false;
  for (let i = 0; i < values.length; i++) {
    dates[i] = i === 0 ? 0 : dates[i - 1] + 365;
    if (values[i] > 0) positive = true;
    if (values[i] < 0) negative = true;
  }

  if (!positive || !negative) return "#NUM!";

  guess = typeof guess === "undefined" ? 0.1 : guess;

  let resultRate = guess;
  let epsMax = 1e-10;

  let iterMax = 10;
  let newRate, epsRate, resultValue;
  let iteration = 0;
  let contLoop = true;
  do {
    resultValue = irrResult(values, dates, resultRate);
    newRate =
      resultRate - resultValue / irrResultDeriv(values, dates, resultRate);
    epsRate = Math.abs(newRate - resultRate);
    resultRate = newRate;
    contLoop = epsRate > epsMax && Math.abs(resultValue) > epsMax;
  } while (contLoop && ++iteration < iterMax);

  if (contLoop) return "#NUM!";

  return resultRate;
}