Python Rate of return

Author: alisx

taiyangxue/README.md

@@ -16,7 +16,7 @@
 - [python39](https://github.com/JustDoPython/python-examples/tree/master/taiyangxue/python39) : 你在享受十一长假时，Python 已悄悄地变了
 - [matrix](https://github.com/JustDoPython/python-examples/tree/master/taiyangxue/matrix) : Python 世界的黑客帝国
 - [why](https://github.com/JustDoPython/python-examples/tree/master/taiyangxue/why) : 练那么多，为啥还不会编程
-
+- [rate](https://github.com/JustDoPython/python-examples/tree/master/taiyangxue/rate-of-return) : 练那么多，为啥还不会编程
 ---
 
 从小白到工程师的学习之路

taiyangxue/rate-of-return/XIRR.py

@@ -0,0 +1,91 @@
+# // Copyright (c) 2012 Sutoiku, Inc. (MIT License)
+
+# // Some algorithms have been ported from Apache OpenOffice:
+
+# /**************************************************************
+#  *
+#  * Licensed to the Apache Software Foundation (ASF) under one
+#  * or more contributor license agreements.  See the NOTICE file
+#  * distributed with this work for additional information
+#  * regarding copyright ownership.  The ASF licenses this file
+#  * to you under the Apache License, Version 2.0 (the
+#  * "License"); you may not use this file except in compliance
+#  * with the License.  You may obtain a copy of the License at
+#  *
+#  *   http://www.apache.org/licenses/LICENSE-2.0
+#  *
+#  * Unless required by applicable law or agreed to in writing,
+#  * software distributed under the License is distributed on an
+#  * "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
+#  * KIND, either express or implied.  See the License for the
+#  * specific language governing permissions and limitations
+#  * under the License.
+#  *
+#  *************************************************************/
+
+
+def years_between_dates(date1, date2):
+    delta = date2 - date1
+    return (delta.days / 365)
+
+
+# // Credits: algorithm inspired by Apache OpenOffice
+# // Calculates the resulting amount
+def irrResult(values, dates, rate):
+    r = rate + 1
+    result = values[0]
+    for i in range(1, len(values)):
+        result = result + values[i] / pow(r, years_between_dates(dates[0], dates[i]))
+        i = i + 1
+    return result
+
+
+# // Calculates the first derivation
+def irrResultDeriv(values, dates, rate):
+    r = rate + 1
+    result = 0
+    for i in range(1, len(values)):
+        frac = years_between_dates(dates[0], dates[i])
+        result = result - frac * values[i] / pow(r, frac + 1)
+        i = i + 1
+    return result
+
+
+def xirr(values, dates):
+    # // Check that values contains at least one positive value and one negative value
+    positive = False
+    negative = False
+    for v in values:
+        if v > 0:
+            positive = True
+        if v < 0:
+            negative = True
+
+    # // Return error if values does not contain at least one positive value and one negative value
+    if not (positive and negative):
+        return 'Error'
+    # // Initialize guess and resultRate
+    guess = 0.1
+    resultRate = guess
+
+    # // Set maximum epsilon for end of iteration
+    epsMax = 1e-10
+
+    # // Set maximum number of iterations
+    iterMax = 20
+
+    # // Implement Newton's method
+    iteration = 0
+    contLoop = True
+    while contLoop and (iteration < iterMax):
+        resultValue = irrResult(values, dates, resultRate)
+        newRate = resultRate - (resultValue / irrResultDeriv(values, dates, resultRate))
+        epsRate = abs(newRate - resultRate)
+        resultRate = newRate
+        if resultRate < -1:
+            resultRate = -0.999999999
+        contLoop = (epsRate > epsMax) and (abs(resultValue) > epsMax)
+        iteration = iteration + 1
+    if contLoop:
+        return epsRate > epsMax, epsRate, 'iterMax'
+    return resultRate

taiyangxue/rate-of-return/main.py

@@ -0,0 +1,31 @@
+# 年化复合回报 15%
+(1+0.15)**100
+# 1174313.4507002793
+
+# 定投的收益
+import numpy_financial as npf
+npf.fv(0.1, 12, -1000, 0)
+# 21384.28376721003
+npf.pmt(0.1, 12, 0, 50000)
+# -2338.165755014362
+
+
+# 定期不定额的收益率
+pmts = [-1000, 100, -1300, -2000, 5200]
+npf.irr(pmts)
+# 0.10969579295711918
+
+# 不定期不定额的收益率
+from XIRR import xirr
+import datetime
+
+dates = [datetime.date(2019, 2,4), 
+datetime.date(2019, 6, 17), 
+datetime.date(2019,11, 18),
+datetime.date(2020,4, 27),
+datetime.date(2020,10, 19)]
+
+values = [-300.3,-500.5,741.153,-600.6,1420.328547]
+
+xirr(values, dates)
+# 输出为: 0.779790640991537