node-irr
v2.0.5
Published
A Node.js package that provides an easy and customizable way to calculate internal rate of return.
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node-irr
A Node.js package that provides an easy and customizable way to calculate internal rate of return.
Installation
# using yarn
yarn add node-irr
# using npm
npm install node-irr --save
Usage
IRR
const irr: (values: number[], options?: RootFinderOptions) => number
const { irr } = require('node-irr')
const data = [-10, -10, 21]
console.log(irr(data))
// -> 0.03297097167558927
// -> ~3.29%
XIRR
const xirr: (inputs: XirrInput[], options?: RootFinderOptions) => { days: number, rate: number }
const { xirr } = require('node-irr')
const data = [
// currently accepted formats for strings:
// YYYYMMDD, YYYY-MM-DD, YYYY/MM/DD
{ amount: -10, date: '20180101' },
{ amount: 10, date: '20180201' },
{ amount: 0.05, date: '20180301' },
]
// or
const data = [
{ amount: -10, date: new Date(2018, 0, 1) },
{ amount: 10, date: new Date(2018, 1, 1) },
{ amount: 0.05, date: new Date(2018, 2, 1) },
]
console.log(xirr(data))
// -> { days: 60, rate: 0.0001601831164046441 }
// ^^^^^^^^^^^^^^^^^^^^^ -> daily rate
// -> ~0.016% per day
// -> ~6.02% per year
Using Options
options.epsilon
- type: number
- default: 10-8
- description: Maximum acceptable absolute distance between exact root (x0) and approximate root (λ), |x0 - λ| < ε.
options.estimate
- type: number | 'auto'
- default: 'auto'
- description: Used as the initial value for the Newton Method (
RootFinderMethod.Newton
).
options.method
- type: RootFinderMethod
- default:
RootFinderMethod.Newton
('newton') - description: Method to use to find the root.
options.maxIterations
- type: number
- default: 100
- description: Number of iterations to go through before stopping if an acceptable approximated root is not found.
options.fallbackMethod
- type: RootFinderMethod
- default:
RootFinderMethod.Bisection
('bisection') - description: Method to use to find the root if the primary one (
options.method
) fails.
Newton vs Bisection
The Newton Method
(1) is considerably faster in number of iterations than the Bisection Method
(2), but sometimes fails depending on the initial estimate, which is why (1) is used as the primary method, and (2) as a fallback.
Helper Functions
convertRate
export enum RateInterval {
Day = 'day',
Week = 'week',
Month = 'month',
Year = 'year',
}
const convertRate: (rate: number, toInterval: RateInterval | number, fromInterval: RateInterval | number = RateInterval.Day) => number
const { convertRate } = require('node-irr')
const rate = 0.0004 // ~ 0.04% (day)
const annualRate = convertRate(rate, 'year') // ~15.7%
// or
const annualRate = convertRate(rate, 365) // ~15.7%