1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75

use crate::common::find_root::find_root;
use crate::scheduled_cashflow::xnpv::calculate_xnpv;
use crate::scheduled_cashflow::CheckedCashflowSchedule;
use chrono::{DateTime, TimeZone};

/// Returns the internal rate of return for a schedule of cash flows that is not necessarily periodic
///
/// # Example
/// ```
/// use chrono::{NaiveDate, DateTime, Utc};
/// let cf = [-379., 100., 100., 100., 100., 100.];
/// let dates = [
///     DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2016, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
///     DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2017, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
///     DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2018, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
///     DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2019, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
///     DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2020, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
///     DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2021, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
/// ];
/// assert!((financial::xirr(&cf, &dates, None).unwrap() - 0.10004608364).abs() < 1e-7);
/// ```
pub fn xirr<T: TimeZone>(
    values: &[f64],
    dates: &[DateTime<T>],
    guess: Option<f64>,
) -> Result<f64, &'static str> {
    let cf = CheckedCashflowSchedule::new(values, dates);

    match cf {
        Err(m) => Err(m),
        Ok(cf) => {
            let f_xnpv = |x: f64| calculate_xnpv(x, &cf);
            match find_root(guess, f_xnpv, 1.1) {
                Some(ans) => Ok(ans),
                None => Err("could't find irr for the values provided"),
            }
        }
    }
}

#[cfg(test)]
mod tests {
    use super::*;
    use chrono::{DateTime, NaiveDate, Utc};

    #[test]
    fn xirr_test() {
        let cf = [-500., 100., 100., 100., 100., 100.];
        let dates = [
            DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2016, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
            DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2017, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
            DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2018, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
            DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2019, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
            DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2020, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
            DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2021, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
        ];
        assert_eq!(xirr(&cf, &dates, None).unwrap(), 0.);
    }

    #[test]
    fn xirr_test2() {
        let cf = [-379., 100., 100., 100., 100., 100.];
        let dates = [
            DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2016, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
            DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2017, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
            DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2018, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
            DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2019, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
            DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2020, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
            DateTime::<Utc>::from_utc(NaiveDate::from_ymd(2021, 7, 8).and_hms_opt(0, 0, 0).unwrap(), Utc),
        ];
        assert!(
            (xirr(&cf, &dates, None).unwrap() - 0.10004608364551086) < crate::common::PRECISION
        );
    }
}