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ghalimi/XIRR.js

Created Jan 30, 2013
XIRR Function
 // Copyright (c) 2012 Sutoiku, Inc. (MIT License) // Some algorithms have been ported from Apache OpenOffice: /************************************************************** * * 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 * "License"); you may not use this file except in compliance * with the License. You may obtain a copy of the License at * * http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, * software distributed under the License is distributed on an * "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY * KIND, either express or implied. See the License for the * specific language governing permissions and limitations * under the License. * *************************************************************/ function XIRR(values, dates, 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, moment(dates[i]).diff(moment(dates[0]), 'days') / 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 = moment(dates[i]).diff(moment(dates[0]), 'days') / 365; result -= frac * values[i] / Math.pow(r, frac + 1); } return result; } // Check that values contains at least one positive value and one negative value var positive = false; var negative = false; for (var i = 0; i < values.length; i++) { 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; }

yalmasri commented Mar 5, 2015

 thank you sooo much for saving time 😊

shaunak-12345 commented Jun 27, 2015

 After doing R&D i got it how to use it. We need moment.js library loaded in our app before we use this XIRR function. Really thank you so much for saving time. Great Job.

wocoburguesa commented Oct 11, 2016 • edited

 Awesome Gist, thanks a lot! P.S. For some reason the difference in days calculated by moment.js is one lower than would be expected. i.e. `moment(2016, 9, 10).diff(moment(2016, 9, 5), 'days')` gives out 4. Just in case anyone else is wondering.

burkel24 commented Oct 16, 2018

 Much thanks!

Bhoomimehta commented Aug 23, 2019

 Hi Please Help me I have all the values and dates but It's not working for me. anyone have a running example so I can get the actual problem.

Bhoomimehta commented Aug 23, 2019

 need urgent to solve, please help me
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