IRR Function
// Copyright (c) 2012 Sutoiku, Inc. (MIT License) | |
// Some algorithms have been ported from Apache OpenOffice: | |
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* Licensed to the Apache Software Foundation (ASF) under one | |
* or more contributor license agreements. See the NOTICE file | |
* distributed with this work for additional information | |
* regarding copyright ownership. The ASF licenses this file | |
* to you under the Apache License, Version 2.0 (the | |
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* with the License. You may obtain a copy of the License at | |
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* http://www.apache.org/licenses/LICENSE-2.0 | |
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* software distributed under the License is distributed on an | |
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function IRR(values, guess) { | |
// Credits: algorithm inspired by Apache OpenOffice | |
// Calculates the resulting amount | |
var irrResult = function(values, dates, rate) { | |
var r = rate + 1; | |
var result = values[0]; | |
for (var i = 1; i < values.length; i++) { | |
result += values[i] / Math.pow(r, (dates[i] - dates[0]) / 365); | |
} | |
return result; | |
} | |
// Calculates the first derivation | |
var irrResultDeriv = function(values, dates, rate) { | |
var r = rate + 1; | |
var result = 0; | |
for (var i = 1; i < values.length; i++) { | |
var frac = (dates[i] - dates[0]) / 365; | |
result -= frac * values[i] / Math.pow(r, frac + 1); | |
} | |
return result; | |
} | |
// Initialize dates and check that values contains at least one positive value and one negative value | |
var dates = []; | |
var positive = false; | |
var negative = false; | |
for (var 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; | |
} | |
// Return error if values does not contain at least one positive value and one negative value | |
if (!positive || !negative) return '#NUM!'; | |
// Initialize guess and resultRate | |
var guess = (typeof guess === 'undefined') ? 0.1 : guess; | |
var resultRate = guess; | |
// Set maximum epsilon for end of iteration | |
var epsMax = 1e-10; | |
// Set maximum number of iterations | |
var iterMax = 50; | |
// Implement Newton's method | |
var newRate, epsRate, resultValue; | |
var iteration = 0; | |
var 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 internal rate of return | |
return resultRate; | |
} |
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what type of parameter values? |
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Awesome. Thanks for sharing