Python function to calculate XIRR

xirr.py

"""
This file is copied from https://github.com/dkensinger/python/blob/master/XIRR.py
which doesn't exist anymore!
"""
from datetime import date


def xirr(transactions):
    """
    Calculates the Internal Rate of Return (IRR) for an irregular series of cash flows (XIRR)
    Takes a list of tuples [(date,cash-flow),(date,cash-flow),...]
    Returns a rate of return as a percentage
    """

    years = [(ta[0] - transactions[0][0]).days / 365. for ta in transactions]
    residual = 1.0
    step = 0.05
    guess = 0.05
    epsilon = 0.0001
    limit = 10000
    while abs(residual) > epsilon and limit > 0:
        limit -= 1
        residual = 0.0
        for i, trans in enumerate(transactions):
            residual += trans[1] / pow(guess, years[i])
        if abs(residual) > epsilon:
            if residual > 0:
                guess += step
            else:
                guess -= step
                step /= 2.0
    return (guess - 1) * 100