XIRR Function Written for Ruby 1.9.2

xirr.rb

require 'date'
require 'bigdecimal/newton'
require 'bigdecimal/math'

include Newton

class XIRR
  def initialize(datevalues)
    @datevalues = datevalues
    @zero = BigDecimal::new("0.0")
    @one  = BigDecimal::new("1.0")
    @two  = BigDecimal::new("2.0")
    @ten  = BigDecimal::new("10.0")
    @eps  = BigDecimal::new("1.0e-16")
  end

  def eps; @eps end
  def one; @one end
  def two; @two end
  def ten; @ten end
  def zero; @zero end


  def values(x)
    initial = @datevalues[0][:date]
    xirr = Array.new
    puts "x = #{x}"
    xirr << @datevalues.reduce(0) do |acc, transaction|
      exponent = (transaction[:date] - initial) / BigDecimal::new("365")

      #nth = (@one + x[0]) ** exponent
      nth = BigMath.exp(exponent * BigMath.log(@one + x[0], 15), 15)
      iterant = transaction[:value] / nth
      
      acc + iterant
    end
    xirr
  end
end



trans = Array.new
trans << {value: BigDecimal.new('31206'), date: Date.parse('Thu, 31 Mar 2011')}
trans << {value:  BigDecimal.new('-75580'), date: Date.parse('Thu, 31 Mar 2011')}
trans << {value:  BigDecimal.new('-5154'), date: Date.parse('Wed, 30 Mar 2011')}

xirrfunc = XIRR.new(trans)
z = [xirrfunc.zero]
begin

  nlsolve(xirrfunc, z)
rescue =>  e
 puts "PROBLEM #{e.inspect}"  
end
puts "Final: #{(z[0].to_f*100).round(2)}%"

trans = Array.new

trans << { value: BigDecimal.new("-1500000"), date: Date.parse("2010-09-07")}
trans << { value: BigDecimal.new("1287560"),   date: Date.parse("2011-12-27")}

xirrfunc = XIRR.new(trans)
z = [xirrfunc.zero]
nlsolve(xirrfunc, z)
puts "Final: #{(z[0].to_f*100).round(2)}%"