public void TwoCashFlow()
{
var cashFlows = new CashFlows();
cashFlows.Add(new Date(2001, 01, 01), -1000.00m);
cashFlows.Add(new Date(2002, 01, 01), 500.00m);
var result = IrrCalculator.CalculateIrr(new Date(2000, 01, 01), 1000.00m, new Date(2005, 12, 31), 5000.00m, cashFlows);
result.Should().BeApproximately(0.2244317d, 0.000001d);
}
public void AddMatchingExistingDate()
{
var cashFlows = new CashFlows();
cashFlows.Add(new Date(2000, 01, 01), 100.00m);
cashFlows.Add(new Date(2000, 01, 01), 200.00m);
using (new AssertionScope())
{
cashFlows.Count.Should().Be(1);
cashFlows[new Date(2000, 01, 01)].Should().Be(300.00m);
}
}
public void AddNewDate()
{
var cashFlows = new CashFlows();
cashFlows.Add(new Date(2000, 01, 01), 100.00m);
cashFlows.Add(new Date(2001, 06, 30), 200.00m);
using (new AssertionScope())
{
cashFlows.Count.Should().Be(2);
cashFlows[new Date(2000, 01, 01)].Should().Be(100.00m);
cashFlows[new Date(2001, 06, 30)].Should().Be(200.00m);
}
}
public void MoreThanOneYear()
{
var cashFlows = new CashFlows();
cashFlows.Add(new Date(2001, 01, 01), -1500.00m);
cashFlows.Add(new Date(2002, 01, 01), 500.00m);
cashFlows.Add(new Date(2003, 01, 01), 2000.00m);
cashFlows.Add(new Date(2004, 01, 01), -5000.00m);
cashFlows.Add(new Date(2005, 01, 01), 100.00m);
var result = IrrCalculator.CalculateIrr(new Date(2000, 01, 01), 1000.00m, new Date(2005, 12, 31), 10000.00m, cashFlows);
result.Should().BeApproximately(0.2220352d, 0.000001d);
}
public static decimal CalculateIRR(this IReadOnlyPortfolio portfolio, DateRange dateRange)
{
// Get the initial portfolio value
var initialHoldings = portfolio.Holdings.All(dateRange.FromDate);
var initialHoldingsValue = initialHoldings.Sum(x => x.Value(dateRange.FromDate));
var initialCashBalance = portfolio.CashAccount.Balance(dateRange.FromDate);
var initialValue = initialHoldingsValue + initialCashBalance;
// Get the final portfolio value
var finalHoldings = portfolio.Holdings.All(dateRange.ToDate);
var finalHoldingsValue = finalHoldings.Sum(x => x.Value(dateRange.ToDate));
var finalCashBalance = portfolio.CashAccount.Balance(dateRange.ToDate);
var finalValue = finalHoldingsValue + finalCashBalance;
// Generate list of cashFlows
var cashFlows = new CashFlows();
var transactionRange = new DateRange(dateRange.FromDate.AddDays(1), dateRange.ToDate);
var transactions = portfolio.CashAccount.Transactions.InDateRange(transactionRange)
.Where(x => (x.Type == BankAccountTransactionType.Deposit) || ((x.Type == BankAccountTransactionType.Withdrawl)));
foreach (var transaction in transactions)
{
cashFlows.Add(transaction.Date, -transaction.Amount);
}
var irr = IrrCalculator.CalculateIrr(dateRange.FromDate, initialValue, dateRange.ToDate, finalValue, cashFlows);
return((decimal)Math.Round(irr, 5));
}
private void SetCashFlows(int count)
{
if (count == 0)
{
CashFlows.Clear();
}
else if (count < CashFlows.Count)
{
while (count < CashFlows.Count)
{
CashFlows.RemoveAt(CashFlows.Count - 1);
}
}
else if (count > CashFlows.Count)
{
while (count > CashFlows.Count)
{
var index = CashFlows.Count;
CashFlows.Add(new CashFlow {
Index = index + 1
});
}
}
}
public override void LoadData()
{
CashFlows.Clear();
var cashFlowList = CachedService.GetAllCashFlows().Where(x => x.Id != CashFlowToDelete.Id);
cashFlowList.ForEach(x => CashFlows.Add(x));
SelectedCashFlow = CashFlows.FirstOrDefault();
}
public void GetCashFlowsPartialList()
{
var cashFlows = new CashFlows();
cashFlows.Add(new Date(2000, 01, 01), 100.00m);
cashFlows.Add(new Date(2000, 03, 01), 200.00m);
cashFlows.Add(new Date(2000, 02, 01), 300.00m);
cashFlows.Add(new Date(2000, 03, 01), 400.00m);
cashFlows.Add(new Date(2000, 04, 01), 500.00m);
cashFlows.GetCashFlows(new Date(2000, 01, 15), 10.00m, new Date(2000, 03, 15), 600.00m, out var values, out var periods);
using (new AssertionScope())
{
values.Should().Equal(new double[] { -10d, 300.00d, 600.00d, 600.00d });
periods.Should().Equal(new double[] { 0, 17 / 365d, (17 + 29) / 365d, (17 + 29 + 14) / 365d });
}
}
public void GetCashFlowsEntryMatchingEndDate()
{
var cashFlows = new CashFlows();
cashFlows.Add(new Date(2000, 02, 01), 100.00m);
cashFlows.Add(new Date(2000, 04, 01), 200.00m);
cashFlows.Add(new Date(2000, 03, 01), 300.00m);
cashFlows.Add(new Date(2000, 04, 01), 400.00m);
cashFlows.Add(new Date(2000, 05, 01), 500.00m);
cashFlows.GetCashFlows(new Date(2000, 01, 01), 10.00m, new Date(2000, 05, 01), 600.00m, out var values, out var periods);
using (new AssertionScope())
{
values.Should().Equal(new double[] { -10d, 100.00d, 300.00d, 600.00d, 1100d });
periods.Should().Equal(new double[] { 0, 31 / 365d, (31 + 29) / 365d, (31 + 29 + 31) / 365d, (31 + 29 + 31 + 30) / 365d });
}
}
public void GetCashFlowsOnlyZeroValues()
{
var cashFlows = new CashFlows();
cashFlows.Add(new Date(2000, 02, 01), 0.00m);
cashFlows.Add(new Date(2000, 04, 01), 0.00m);
cashFlows.Add(new Date(2000, 03, 01), 0.00m);
cashFlows.Add(new Date(2000, 04, 01), 0.00m);
cashFlows.Add(new Date(2000, 05, 01), 0.00m);
cashFlows.GetCashFlows(new Date(2000, 01, 01), 10.00m, new Date(2001, 01, 01), 20.00m, out var values, out var periods);
using (new AssertionScope())
{
values.Should().Equal(new double[] { -10d, 20d });
periods.Should().Equal(new double[] { 0, 366 / 365d });
}
}
public void SingleCashFlow()
{
var cashFlows = new CashFlows();
cashFlows.Add(new Date(2001, 01, 01), -1000.00m);
var result = IrrCalculator.CalculateIrr(new Date(2000, 01, 01), 1000.00m, new Date(2005, 12, 31), 2500.00m, cashFlows);
result.Should().BeApproximately(0.0413562d, 0.000001d);
}
private void LoadCashFlows()
{
Diagnostics.Start();
ExpensesGridCashFlows.IsNotifying = false;
ExpensesGridCashFlows.Clear();
CashFlows.Clear();
var cashFlowList = CachedService.GetAllCashFlows();
cashFlowList.ForEach(x => ExpensesGridCashFlows.Add(x));
cashFlowList.ForEach(x => CashFlows.Add(x));
ExpensesGridCashFlows.IsNotifying = true;
SelectedExpenseCashFlow = CashFlows.FirstOrDefault();
NotifyOfPropertyChange(() => ExpensesGridCashFlows);
Diagnostics.Stop();
}
public void LessThanOneYear()
{
var cashFlows = new CashFlows();
cashFlows.Add(new Date(2000, 02, 01), -1000.00m);
cashFlows.Add(new Date(2000, 03, 01), 500.00m);
cashFlows.Add(new Date(2000, 04, 01), -1500.00m);
cashFlows.Add(new Date(2000, 05, 01), -1500.00m);
cashFlows.Add(new Date(2000, 06, 01), 500.00m);
cashFlows.Add(new Date(2000, 07, 01), -2000.00m);
var result = IrrCalculator.CalculateIrr(new Date(2000, 01, 01), 1000.00m, new Date(2000, 08, 30), 10000.00m, cashFlows);
result.Should().BeApproximately(2.5071595d, 0.000001d);
}