Merge pull request #17 from sharddith/master

Added XIRR Feature. XIRR determines the IRR for irregular intervals.

Author: ebradyjobory

README.md

@@ -121,6 +121,17 @@ Finance.js
  finance.IRR(-500000, 200000, 300000, 200000);
  => 18.82</code></pre>
 
+<h3 id="XIRR">XIRR<br>
+
+ <code class="highlight">finance.XIRR([cash flows], [dates], guess);</code></h3>
+
+ <p>XIRR is used to determine the Internal Rate of Return when the cash flows are at Irregular intervals.<sup><a href="http://www.financialwisdomforum.org/gummy-stuff/xirr.htm" target="_blank">15</a></sup></p>
+
+ <pre><code>// e.g., If the cash flows are -$1,000 on 1st Nov 2015, -$100 on 01 Jul 2016 and $1,200 on 19 Jul 2016, the XIRR is 14.11%.
+
+ finance.XIRR([-1000, -100, 1200],[new Date(2015, 11, 1 ), new Date(2016, 7, 1 ), new Date(2016, 7, 19 )],0 );
+ => 14.11</code></pre>
+
  <h3 id="LR">Leverage Ratio (LR)<br>
 
  <code class="highlight">finance.LR(total liabilities, total debts, total income);</code></h3>

finance.js

@@ -192,6 +192,62 @@ Finance.prototype.IAR = function(investmentReturn, inflationRate){
   return 100 * (((1 + investmentReturn) / (1 + inflationRate)) - 1);
 }
 
+// XIRR - IRR for irregular intervals
+Finance.prototype.XIRR = function(cfs, dts, guess) {
+if (cfs.length != dts.length) throw new Error('Number of cash flows and dates should match');
+
+  var positive, negative;
+  Array.prototype.slice.call(cfs).forEach(function (value) {
+    if (value > 0) positive = true;
+    if (value < 0) negative = true;
+  });
+
+  if (!positive || !negative) throw new Error('XIRR requires at least one positive value and one negative value');
+  
+
+  guess = !!guess ? guess : 0;
+
+  var limit = 100; //loop limit
+  var guess_last;
+  var durs = [];
+
+  durs.push(0);
+
+  //Create Array of durations from First date
+  for(var i = 1; i < dts.length; i++) {
+    durs.push(durYear(dts[0], dts[i]));
+  }
+  
+  do {
+    guess_last = guess;
+    guess = guess_last - sumEq(cfs, durs, guess_last);
+    limit--;
+    
+  }while(guess_last.toFixed(5) != guess.toFixed(5) && limit > 0);
+
+  var xirr = guess_last.toFixed(5) != guess.toFixed(5) ? null : guess*100;
+
+  return Math.round(xirr * 100) / 100;
+};
+
+//Returns Sum of f(x)/f'(x)
+function sumEq(cfs, durs, guess) {
+  var sum_fx = 0;
+  var sum_fdx = 0;
+  for (var i = 0; i < cfs.length; i++) {
+    sum_fx = sum_fx + (cfs[i] / Math.pow(1 + guess, durs[i]));
+  }
+  for ( i = 0; i < cfs.length; i++) {
+    sum_fdx = sum_fdx + (-cfs[i] * durs[i] * Math.pow(1 + guess, -1 - durs[i]));
+  }
+  return sum_fx / sum_fdx;
+}
+
+//Returns duration in years between two dates
+function durYear(first, last) {
+  return (Math.abs(last.getTime() - first.getTime()) / (1000 * 3600 * 24 * 365));
+}
+
 if (typeof exports !== 'undefined') {
   if (typeof module !== 'undefined' && module.exports) {
       module.exports = Finance;