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XIRR 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
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* regarding copyright ownership. The ASF licenses this file
* to you under the Apache License, Version 2.0 (the
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*
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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

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yalmasri commented Mar 5, 2015

thank you sooo much for saving time 😊

@shaunak-12345

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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

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wocoburguesa commented Oct 11, 2016

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

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burkel24 commented Oct 16, 2018

Much thanks!

@Bhoomimehta

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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

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Bhoomimehta commented Aug 23, 2019

need urgent to solve, please help me

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