I couldn't resist the temptation.
Here is the example using the R package nleqslv.
script
library(nleqslv)
npv - function (irr, cashFlow, times) sum(cashFlow / (1 + irr)^times)
CF - c(-1000,500,500,500,500,500)
dates -
c(1/1/2001,2/1/2002,3/1/2003,4/1/2004,5/1/2005,6/1/2006)
cfDate -
Hi,
I am new to R, and as a first exercise, I decided to try to implement an XIRR
function using the secant method. I did a quick search and saw another posting
that used the Bisection method but wanted to see if it was possible using the
secant method.
I would input a Cash Flow and Date
] 0.1429934
$npv
[1] 1.705303e-12
Hope this helps,
Ravi.
-Original Message-
From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On
Behalf Of Adrian Ng
Sent: Wednesday, August 25, 2010 8:39 AM
To: r-help@r-project.org
Subject: [R] Secant Method Convergence (Method
(Method to replicate Excel XIRR/IRR)
Hi,
I am new to R, and as a first exercise, I decided to try to implement an
XIRR function using the secant method. I did a quick search and saw another
posting that used the Bisection method but wanted to see if it was possible
using the secant method.
I would
: [R] Secant Method Convergence (Method to replicate Excel
XIRR/IRR)
Another approach is to use `uniroot' to find the zero of the NPV function:
npv - function (cashFlow, irr) {
n - length(cashFlow)
sum(cashFlow / (1 + irr)^{0: (n-1)})
}
uniroot(f=npv, interval=c(0,1
] 0.4106115
$npv
[1] 2.984279e-13
Ravi.
-Original Message-
From: Adrian Ng [mailto:a...@hamiltonlane.com]
Sent: Wednesday, August 25, 2010 6:23 PM
To: Ravi Varadhan
Subject: RE: [R] Secant Method Convergence (Method to replicate Excel
XIRR/IRR)
The forum is kind of slow so I'm just re
of Medicine
Johns Hopkins University
Ph. (410) 502-2619
email: rvarad...@jhmi.edu
- Original Message -
From: Adrian Ng a...@hamiltonlane.com
Date: Wednesday, August 25, 2010 8:33 pm
Subject: RE: [R] Secant Method Convergence (Method to replicate Excel XIRR/IRR)
To: Ravi Varadhan rvarad
. (410) 502-2619
email: rvarad...@jhmi.edu
- Original Message -
From: Adrian Ng a...@hamiltonlane.com
Date: Wednesday, August 25, 2010 8:33 pm
Subject: RE: [R] Secant Method Convergence (Method to replicate Excel
XIRR/IRR)
To: Ravi Varadhan rvarad...@jhmi.edu
Cc: r-help@r
[mailto:rvarad...@jhmi.edu]
Sent: Wednesday, August 25, 2010 7:24 PM
To: Adrian Ng
Cc: r-help@r-project.org
Subject: RE: [R] Secant Method Convergence (Method to replicate Excel XIRR/IRR)
The secant method converges just fine. Your problem might have occurred due
to improper conversion of dates to elapsed
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