EvoCalculator.Core/EvoCalculator.Core.FinanceFormulas/XIRR.cs

using System;
using EvoCalculator.Core.Models.Calculation.Interfaces;
using EvoCalculator.Core.Models.Calculation.Models;

namespace EvoCalculator.Core.FinanceFormulas
{
    public class XIRR : IFinanceFormula<double>
    {
        private readonly Flow[] _flows;
        private readonly double _guess = 0.1;

        public XIRR(Flow[] flows)
        {
            _flows = flows;
        }

        public XIRR(Flow[] flows, double guess)
        {
            _flows = flows;
            _guess = guess;
        }

        public double GetResult()
        {
            var x1 = 0.0;
            var x2 = _guess;
            var f1 = new XNPV(_flows, x1).GetResult();
            var f2 = new XNPV(_flows, x2).GetResult();

            for (var i = 0; i < 100; i++)
            {
                if (f1 * f2 < 0.0) break;
                if (Math.Abs(f1) < Math.Abs(f2))
                {
                    x1 += 1.6 * (x1 - x2);
                    f1 = new XNPV(_flows, x1).GetResult();
                }
                else
                {
                    x2 += 1.6 * (x2 - x1);
                    f2 = new XNPV(_flows, x2).GetResult();
                }
            }

            if (f1 * f2 > 0.0) return 0;

            var f = new XNPV(_flows, x1).GetResult();
            var dx = 0.0;
            var rtb = 0.0;
            if (f < 0.0)
            {
                rtb = x1;
                dx = x2 - x1;
            }
            else
            {
                rtb = x2;
                dx = x1 - x2;
            }

            for (var i = 0; i < 100; i++)
            {
                dx *= 0.5;
                var xMid = rtb + dx;
                var fMid = new XNPV(_flows, xMid).GetResult();
                if (fMid <= 0.0) rtb = xMid;
                if (Math.Abs(fMid) < 1.0e-6 || Math.Abs(dx) < 1.0e-6) return xMid;
            }

            return 0;
        }
    }
}