org.apache.poi.ss.formula.functions.Irr Maven / Gradle / Ivy
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package org.apache.poi.ss.formula.functions;
import org.apache.logging.log4j.LogManager;
import org.apache.logging.log4j.Logger;
import org.apache.poi.ss.formula.eval.ErrorEval;
import org.apache.poi.ss.formula.eval.EvaluationException;
import org.apache.poi.ss.formula.eval.NumberEval;
import org.apache.poi.ss.formula.eval.ValueEval;
/**
* Calculates the internal rate of return.
*
* Syntax is IRR(values) or IRR(values,guess)
*
* @see Wikipedia on IRR
* @see Excel IRR
*/
public final class Irr implements Function {
private static final int MAX_ITERATION_COUNT = 1000;
private static final double ABSOLUTE_ACCURACY = 1E-7;
private static final Logger LOGGER = LogManager.getLogger(Irr.class);
public ValueEval evaluate(final ValueEval[] args, final int srcRowIndex, final int srcColumnIndex) {
if(args.length == 0 || args.length > 2) {
// Wrong number of arguments
return ErrorEval.VALUE_INVALID;
}
try {
double[] values = AggregateFunction.ValueCollector.collectValues(args[0]);
double guess;
if(args.length == 2) {
guess = NumericFunction.singleOperandEvaluate(args[1], srcRowIndex, srcColumnIndex);
} else {
guess = 0.1d;
}
double result = irr(values, guess);
NumericFunction.checkValue(result);
return new NumberEval(result);
} catch (EvaluationException e){
return e.getErrorEval();
}
}
/**
* Computes the internal rate of return using an estimated irr of 10 percent.
*
* @param income the income values.
* @return the irr.
*/
public static double irr(double[] income) {
return irr(income, 0.1d);
}
/**
* Calculates IRR using the Newton-Raphson Method.
*
* Starting with the guess, the method cycles through the calculation until the result
* is accurate within 0.00001 percent. If IRR can't find a result that works
* after 1000 tries, the {@code Double.NaN} is returned.
*
*
* The implementation is inspired by the NewtonSolver from the Apache Commons-Math library,
* @see http://commons.apache.org
*
*
* @param values the income values.
* @param guess the initial guess of irr.
* @return the irr value. The method returns {@code Double.NaN}
* if the maximum iteration count is exceeded
*
* @see
* http://en.wikipedia.org/wiki/Internal_rate_of_return#Numerical_solution
* @see
* http://en.wikipedia.org/wiki/Newton%27s_method
*/
public static double irr(double[] values, double guess) {
double x0 = guess;
for (int i = 0; i < MAX_ITERATION_COUNT; i++) {
// the value of the function (NPV) and its derivation can be calculated in the same loop
final double factor = 1.0 + x0;
double denominator = factor;
if (denominator == 0) {
LOGGER.atWarn().log("Returning NaN because IRR has found an denominator of 0");
return Double.NaN;
}
double fValue = values[0];
double fDerivative = 0;
for (int k = 1; k < values.length; k++) {
final double value = values[k];
fValue += value / denominator;
denominator *= factor;
fDerivative -= k * value / denominator;
}
// the essence of the Newton-Raphson Method
if (fDerivative == 0) {
LOGGER.atWarn().log("Returning NaN because IRR has found an fDerivative of 0");
return Double.NaN;
}
double x1 = x0 - fValue/fDerivative;
if (Math.abs(x1 - x0) <= ABSOLUTE_ACCURACY) {
return x1;
}
x0 = x1;
}
// maximum number of iterations is exceeded
LOGGER.atWarn().log("Returning NaN because IRR has reached max number of iterations allowed: {}", MAX_ITERATION_COUNT);
return Double.NaN;
}
}