public void IRR6Compute()
{
//Arrange,
var obj = new CfObject();
obj.CF0_Irr = -5000;
obj.CF0_Npv = -5000;
obj.I_Npv = 5;
obj.CashFlows_Irr = new List <double>
{
1000
};
obj.Frequency_Irr = new List <double>
{
3
};
obj.CashFlows_Npv = new List <double>
{
1000
};
obj.Frequency_Npv = new List <double>
{
3
};
//Act,
var result2 = CfNPVMethod(obj);
var result = Math.Round(CfIRRMethod(obj), 4);
//Assert
Assert.AreEqual(-21.7627, result);
}
//CashFlow Functions (NPV IRR Calculations)
/// <summary>
/// Computes the Net Present Value or NPV of a list of provided cash flows at a set interest rate.
/// </summary>
public static double CfNPVMethod(CfObject cfoObject)
{
var args_cf = cfoObject.CashFlows_Npv;
var args_f = cfoObject.Frequency_Npv;
var count = args_cf.Count;
var t = 0;
var t2 = 0;
// Adjust the CF list for the frequency of the Cash flows
for (int x = 0; x < count; x++)
{
if (x != 0)
{
t2++;
}
;
for (int y = 1; y < args_f[x]; y++)
{
double cf = cfoObject.CashFlows_Npv[t2];
args_cf.Insert(t2, cf);
t2++;
}
}
;
// Lookup rate
double rate = cfoObject.I_Npv / 100;
// Initialize net present value
double value = 0;
// Loop on all values
for (int z = 0; z < count; z++)
{
for (int x = 0; x < args_f[z]; x++)
{
value += args_cf[t] / Math.Pow(1 + rate, (t + 1));
t++;
}
}
// Return net present value
cfoObject.NPV = value + cfoObject.CF0_Npv;
//cfoObject.CashFlows = args_cf;
return(cfoObject.NPV);
}
public void IRR4Compute()
{
//Arrange,
var obj = new CfObject();
obj.CF0_Irr = -3500;
obj.CashFlows_Irr = new List <double>
{
5, -10, 5, 2000
};
obj.Frequency_Irr = new List <double>
{
10, 2, 3, 1
};
//Act,
var result = Math.Round(CfIRRMethod(obj), 4);
//Assert
Assert.AreEqual(-3.3412, result);
}
public void IRR2Compute()
{
//Arrange,
var obj = new CfObject();
obj.CF0_Irr = 0;
obj.CashFlows_Irr = new List <double>
{
500, -100, -300
};
obj.Frequency_Irr = new List <double>
{
3, 2, 1
};
//Act,
var result = Math.Round(CfIRRMethod(obj), 4);
//Assert
Assert.AreEqual(-27.6896, result);
}
public void IRRCompute()
{
//Arrange,
var obj = new CfObject();
obj.CF0_Irr = 0;
obj.CashFlows_Irr = new List <double>
{
5555, -1000
};
obj.Frequency_Irr = new List <double>
{
2, 15
};
//Act,
var result = Math.Round(CfIRRMethod(obj), 4);
//Assert
Assert.AreEqual(3.7465, result);
}
public void CFNPV3Compute()
{
//Arrange,
var obj = new CfObject();
obj.CF0_Npv = 0;
obj.I_Npv = 10;
obj.CashFlows_Npv = new List <double>
{
5, -10
};
obj.Frequency_Npv = new List <double>
{
1, 1
};
//Act,
var result = Math.Round(CfNPVMethod(obj), 4);
//Assert
Assert.AreEqual(-3.7190, result);
}
public void CFNPV2Compute()
{
//Arrange,
var obj = new CfObject();
obj.CF0_Npv = 150;
obj.I_Npv = 8.04;
obj.CashFlows_Npv = new List <double>
{
10, 15, -5, -33, 50
};
obj.Frequency_Npv = new List <double>
{
5, 2, 3, 5, 1
};
//Act,
var result = Math.Round(CfNPVMethod(obj), 4);
//Assert
Assert.AreEqual(154.3204, result);
}
public void CFNPVCompute()
{
//Arrange,
var obj = new CfObject();
obj.CF0_Npv = -150;
obj.I_Npv = 10;
obj.CashFlows_Npv = new List <double>
{
10, 20, 5, 3, 250
};
obj.Frequency_Npv = new List <double>
{
5, 2, 3, 5, 1
};
//Act,
var result = Math.Round(CfNPVMethod(obj), 4);
//Assert
Assert.AreEqual(-25.3669, result);
}
/// <summary>
/// computes the internal rate of return for a set of provided cash flows. Newton's method is utilized.
/// </summary>
/// <param name="cfObject"></param>
/// <returns></returns>
public static double CfIRRMethod(CfObject cfObject)
{
var args_cf = cfObject.CashFlows_Irr;
var args_f = cfObject.Frequency_Irr;
var count = args_cf.Count;
var t2 = 0;
// Adjust the CF list for the frequency of the Cash flows
for (int t = 0; t < count; t++)
{
if (t != 0)
{
t2++;
}
;
for (int y = 1; y < args_f[t]; y++)
{
double cf = cfObject.CashFlows_Irr[t2];
args_cf.Insert(t2, cf);
t2++;
}
}
;
if (cfObject.CF0_Irr > 1e-10 || cfObject.CF0_Irr < -1e-10)
{
args_cf.Insert(0, cfObject.CF0_Irr);
}
int itrMax = 20;
double espMax = 1e-5;
double x = -0.1; //need to start with a negative to allow for negative IRR return values.
int iter = 0;
while (iter++ < itrMax)
{
double x1 = 1.0 + x;
double fx = 0.0;
double dfx = 0.0;
for (int i = 0; i < args_cf.Count; i++)
{
double v = args_cf[i];
double x1_i = Math.Pow(x1, i);
fx += v / x1_i;
double x1_i1 = x1_i * x1;
dfx += -i * v / x1_i1;
}
double new_x = x - fx / dfx;
double esp = Math.Abs(new_x - x);
if (esp <= espMax)
{
if (x == 0.0 && Math.Abs(new_x) <= espMax)
{
return(0.0);
}
else
{
return(new_x * 100);
}
}
x = new_x;
}
return(x);
}