faster pow

Author: Anexen

src/core/periodic.rs

@@ -427,7 +427,11 @@ pub fn npv(rate: f64, values: &[f64], start_from_zero: Option<bool>) -> f64 {
 }
 
 fn npv_deriv(rate: f64, values: &[f64]) -> f64 {
-    values.iter().enumerate().map(|(i, v)| -(i as f64) * v / (rate + 1.0).powf(i as f64 + 1.)).sum()
+    values
+        .iter()
+        .enumerate()
+        .map(|(i, v)| -(i as f64) * v * utils::fast_pow(rate + 1.0, -(i as f64 + 1.0)))
+        .sum()
 }
 
 pub fn irr(values: &[f64], guess: Option<f64>) -> Result<f64, InvalidPaymentsError> {
@@ -442,7 +446,6 @@ pub fn irr(values: &[f64], guess: Option<f64>) -> Result<f64, InvalidPaymentsErr
         self::npv(rate, values, Some(true))
     };
     let df = |rate| self::npv_deriv(rate, values);
-    let is_good_rate = |rate: f64| rate.is_finite() && f(rate).abs() < 1e-3;
 
     let guess = match guess {
         Some(g) => g,
@@ -454,13 +457,13 @@ pub fn irr(values: &[f64], guess: Option<f64>) -> Result<f64, InvalidPaymentsErr
 
     let rate = newton_raphson(guess, &f, &df);
 
-    if is_good_rate(rate) {
+    if utils::is_a_good_rate(rate, f) {
         return Ok(rate);
     }
 
     let rate = brentq(&f, -0.999999999999999, 100., 100);
 
-    if is_good_rate(rate) {
+    if utils::is_a_good_rate(rate, f) {
         return Ok(rate);
     }
 

src/core/scheduled/xirr.rs

@@ -2,6 +2,7 @@ use super::{year_fraction, DayCount};
 use crate::core::{
     models::{validate, DateLike, InvalidPaymentsError},
     optimize::{brentq, newton_raphson},
+    utils::{self, fast_pow},
 };
 
 pub fn xirr(
@@ -22,25 +23,24 @@ pub fn xirr(
         xnpv_result(amounts, deltas, rate)
     };
     let df = |rate| xnpv_result_deriv(amounts, deltas, rate);
-    let is_good_rate = |rate: f64| rate.is_finite() && f(rate).abs() < 1e-3;
 
     let rate = newton_raphson(guess.unwrap_or(0.1), &f, &df);
 
-    if is_good_rate(rate) {
+    if utils::is_a_good_rate(rate, f) {
         return Ok(rate);
     }
 
     let rate = brentq(&f, -0.999999999999999, 100., 100);
 
-    if is_good_rate(rate) {
+    if utils::is_a_good_rate(rate, f) {
         return Ok(rate);
     }
 
     let mut step = 0.01;
     let mut guess = -0.99999999999999;
     while guess < 1.0 {
         let rate = newton_raphson(guess, &f, &df);
-        if is_good_rate(rate) {
+        if utils::is_a_good_rate(rate, f) {
             return Ok(rate);
         }
         guess += step;
@@ -86,15 +86,15 @@ fn day_count_factor(dates: &[DateLike], day_count: Option<DayCount>) -> Vec<f64>
 
 // \sum_{i=1}^n \frac{P_i}{(1 + rate)^{(d_i - d_0)/365}}
 fn xnpv_result(payments: &[f64], deltas: &[f64], rate: f64) -> f64 {
-    payments.iter().zip(deltas).map(|(p, &e)| p * (1.0 + rate).powf(-e)).sum()
+    payments.iter().zip(deltas).map(|(p, &e)| p * fast_pow(1.0 + rate, -e)).sum()
 }
 
 // XNPV first derivative
 // \sum_{i=1}^n P_i * (d_0 - d_i) / 365 * (1 + rate)^{((d_0 - d_i)/365 - 1)}}
 // simplify in order to reuse cached deltas (d_i - d_0)/365
 // \sum_{i=1}^n \frac{P_i * -(d_i - d_0) / 365}{(1 + rate)^{((d_i - d_0)/365 + 1)}}
 fn xnpv_result_deriv(payments: &[f64], deltas: &[f64], rate: f64) -> f64 {
-    payments.iter().zip(deltas).map(|(p, e)| p * -e * (1.0 + rate).powf(-e - 1.0)).sum()
+    payments.iter().zip(deltas).map(|(p, e)| p * -e * fast_pow(1.0 + rate, -e - 1.0)).sum()
 }
 
 #[cfg(test)]

src/core/utils.rs

@@ -1,3 +1,8 @@
+pub(crate) fn fast_pow(a: f64, b: f64) -> f64 {
+    // works only if a is positive
+    (a.log2() * b).exp2()
+}
+
 pub(crate) fn scale(values: &[f64], factor: f64) -> Vec<f64> {
     values.iter().map(|v| v * factor).collect()
 }
@@ -12,7 +17,11 @@ pub(crate) fn pairwise_mul(a: &[f64], b: &[f64]) -> Vec<f64> {
 
 pub(crate) fn series_signum(a: &[f64]) -> f64 {
     // returns -1. if any item is negative, otherwise +1.
-    if a.iter().any(|x| x.is_sign_negative()) { -1. } else { 1. }
+    if a.iter().any(|x| x.is_sign_negative()) {
+        -1.
+    } else {
+        1.
+    }
 }
 
 pub(crate) fn sum_negatives_positives(values: &[f64]) -> (f64, f64) {
@@ -24,3 +33,10 @@ pub(crate) fn sum_negatives_positives(values: &[f64]) -> (f64, f64) {
         }
     })
 }
+
+pub(crate) fn is_a_good_rate<F>(rate: f64, f: F) -> bool
+where
+    F: Fn(f64) -> f64,
+{
+    rate.is_finite() && f(rate).abs() < 1e-3
+}