實現Excel和VB的IRR功能

Question

我需要將Excel和VB中的IRR函數移植到ActionScript。

• Excel IRR formula

任何想法如何找到 「源」 這樣的功能呢？有沒有人有這樣的一些其他類似C語言實現？

Answer 1

這是相當容易使用迭代求解器，如平分法或牛頓法。如果你的現金流C_t_j發生在次t_j然後內部回報率r滿足總結j = 1到n的

C_t_j/(1 + r)^t_j 

等於零。致電f(r)。然後f'(r)是n

的

-t_j * C_t_j/(1 + r)^(t_j+1). 

現在，您可以申請牛頓的方法來解決r總和j = 1。

Answer 2

這是我多年前寫的一個IRR Excel宏。我無法解釋它是如何工作的，但我認爲它是正確的：

它被調用，如：= IrrCont（A8：A15，F8：F15）其中第一個範圍是日期範圍和其次是一系列的價值觀。有些值必須是正值，有些值必須是負值。

Option Explicit 
' 
' Internal Rate of return -- Calculation 
' Returns a result (Double) or an error message (String) 

Private Function IrrCalc(DateRange As Object, ValueRange As Object) 
    Dim i As Integer 
    Dim it As Integer 
    Dim Count As Integer 
    Dim u As Double 
    Dim time As Double 
    Dim d_positive As Double 
    Dim positive As Double 
    Dim d_negative As Double 
    Dim negative As Double 
    Dim sum As Double 
    Const epsilon As Double = 0.000001 
    Const iterations As Integer = 20 
    Dim StartTime As Double 
    Dim pos As Boolean 
    Dim neg As Boolean 
    Dim value As Double 
    Dim temp As Double 
    Dim delta As Double 

    If DateRange.Count <> ValueRange.Count Then 
     IrrCalc = "*** Date Range (argument 1) and Value Range " & _ 
      "(argument 2) must contain the same number of cells. ***" 
     Exit Function 
    End If 

    Count = DateRange.Count 

    For i = 1 To Count 
     If ValueRange.Cells(i).value > 0 Then pos = True 
     If ValueRange.Cells(i).value < 0 Then neg = True 
     If pos And neg Then Exit For 
    Next i 

    If Not pos Or Not neg Then 
     IrrCalc = "*** Cannot calculate IRR: Need both income and expenditure. ***" 
     Exit Function 
    End If 

    StartTime = Application.Min(DateRange) 

    u = 0 ' Initial interest rate guess 

    For it = 1 To iterations 
     positive = 0 
     d_positive = 0 
     negative = 0 
     d_negative = 0 

     For i = 1 To Count 
     value = ValueRange.Cells(i).value 
     time = (DateRange.Cells(i).value - StartTime)/365.2425 
     If value > 0 Then 
      temp = value * Exp(u * time) 
      positive = positive + temp 
      d_positive = d_positive + temp * time 
     ElseIf value < 0 Then 
      temp = -value * Exp(u * time) 
      negative = negative + temp 
      d_negative = d_negative + temp * time 
     End If 
     Next i 
     delta = Log(negative/positive)/(d_negative/negative - d_positive/positive) 
     If Abs(delta) < epsilon Then Exit For 
     u = u - delta 
    Next it 

    If it > iterations Then 
     IrrCalc = "*** irr does not converge in " & Str(iterations) & " iterations ***" 
    Else 
     IrrCalc = u 
    End If 
End Function 

' ==================================================================================================== 
' 
' Internal Rate of Return: Discrete interest calculation 

Function IrrDiscrete(DateRange As Object, ValueRange As Object) 
    Dim result As Variant 
    result = IrrCalc(DateRange, ValueRange) 
    If VarType(result) = vbDouble Then 
    IrrDiscrete = Exp(-result) - 1# 
    Else 
    IrrDiscrete = result 
    End If 
End Function 

' ==================================================================================================== 
' 
' Internal Rate of Return: Continuous (compounding) interest calculation 

Function IrrCont(DateRange As Object, ValueRange As Object) 
    Dim result As Variant 
    result = IrrCalc(DateRange, ValueRange) 
    If VarType(result) = vbDouble Then 
    IrrCont = -result 
    Else 
    IrrCont = result 
    End If 
End Function 

Answer 3

下面是我的迭代實現，在ActionScript：

 

package xattam.net.math 
{ 
    public class Financial 
    { 
     public static const MAX_IRR_ITERATIONS:int = 1000; 

     public static function IRR(cashFlow:Array,guess:Number=0.1):Number { 
      var npv:Number; 
      var cnt:Number = 0; 
      do 
      { 
       npv = Financial.NPV(guess,cashFlow); 
       guess+= 0.001; 

       if(cnt > Financial.MAX_IRR_ITERATIONS) return NaN; 
       else cnt++; 
      } 
      while(npv > 0) 

      return guess; 
     } 
     public static function NPV(discountRate:Number,cashFlow:Array):Number { 
      var npv:Number = 0; 
      for(var t:int = 0; t < cashFlow.length;t++) { 

       npv += cashFlow[t]/Math.pow((1+ discountRate),t); 
      } 
      return npv; 
     } 
    } 
}