Initial

cashflow/irr.cpp

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+#include <cashflow/irr.hpp>
+
+double IRR::IRR_ERROR=-1E30;
+int IRR::IRR_MAX_ITERATIONS=50;
+double IRR::IRR_ACCURACY=1.0E-5;
+
+double IRR::irr(Array<double> &cashflows)
+{
+  double x1=0.00;
+  double x2=.20;
+	double dx=0.00;
+	double f1;
+	double f2;
+	double f;
+	double rtb;
+	double xmid;
+	double fmid;
+	int index;
+
+// create initial bracket with root somewhere between bot,top
+  f1=pv(cashflows,x1);
+	f2=pv(cashflows,x2);
+	for(index=0;index<IRR_MAX_ITERATIONS;index++)
+	{
+	  if((f1*f2)<0.00)break;
+    if(fabs(f1)<fabs(f2))
+		{
+		  f1=pv(cashflows,x1+=1.6*(x1-x2));
+		}
+		else 
+		{
+		  f2=pv(cashflows,x2+=1.6*(x2-x1));
+		}
+	}
+	if(f2*f1>0.00)return IRR_ERROR;
+  f=pv(cashflows,x1);   
+	if(f<0.00)
+	{
+	  rtb=x1;
+		dx=x2-x1;
+	}
+  else
+	{
+	  rtb=x2;
+		dx=x1-x2; 
+	}
+	for(index=0;index<IRR_MAX_ITERATIONS;index++)
+	{
+	  dx*=.50;
+		xmid=rtb+dx;
+		fmid=pv(cashflows,xmid);
+		if(fmid<=0.00)rtb=xmid;
+		if((fabs(fmid)<IRR_ACCURACY)||(fabs(dx)<IRR_ACCURACY))
+		{
+		  return xmid;
+		}
+	}
+	return IRR_ERROR;
+}
+
+double IRR::npv(Array<double> &cashflows,double rate)
+{
+  double npv=0.00;
+	for(int index=0;index<cashflows.size();index++)
+	{
+	  npv+=cashflows[index]*pow(1+rate,index);   // exp(-rate*(index+1)));
+	}
+  return npv;
+}
+
+double IRR::pv(Array<double> &cashflows,double rate)
+{
+  double pv=0.00;
+	for(int index=0;index<cashflows.size();index++)
+	{
+	  pv+=(cashflows[index]*exp(-rate*(index+1)));
+	}
+  return pv;
+}
+
+double IRR::pvD(Array<double> &cashflows,double rate)
+{
+  double pv=0.00;
+	for(int index=0;index<cashflows.size();index++)
+	{
+	  pv+=cashflows[index]/pow(1+rate,index+1);
+	}
+  return pv;
+}