Hi, I am new to R, and as a first exercise, I decided to try to implement an XIRR function using the secant method. I did a quick search and saw another posting that used the Bisection method but wanted to see if it was possible using the secant method.
I would input a Cash Flow and Date vector as well as an initial guess. I hardcoded today's initial date so I could do checks in Excel. This code seems to only converge when my initial guess is very close to the correct IRR. Maybe I have some basic errors in my coding/logic? Any help would be greatly appreciated. The Wikipedia article to secant method and IRR: http://en.wikipedia.org/wiki/Internal_rate_of_return#Numerical_solution Thanks! ANXIRR <- function (cashFlow, cfDate, guess){ cfDate<-as.Date(cfDate,format="%m/%d/%Y") irrprev <- c(0); irr<- guess pvPrev<- sum(cashFlow) pv<- sum(cashFlow/((1+irr)^(as.numeric(difftime(cfDate,"2010-08-24",units="days"))/360))) print(pv) print("Hi") while (abs(pv) >= 0.001) { t<-irrprev; irrprev<- irr; irr<-irr-((irr-t)*pv/(pv-pvPrev)); pvPrev<-pv; pv<-sum(cashFlow/((1+irr)^(as.numeric(difftime(cfDate,"2010-08-24",units="days"))/365))) print(irr);print(pv) } } Please consider the environment before printing this e-mail. [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
