# [Numpy-svn] r4961 - in trunk/numpy/lib: . tests

numpy-svn@scip... numpy-svn@scip...
Fri Apr 4 01:37:48 CDT 2008

```Author: oliphant
Date: 2008-04-04 01:37:45 -0500 (Fri, 04 Apr 2008)
New Revision: 4961

Modified:
trunk/numpy/lib/financial.py
trunk/numpy/lib/tests/test_financial.py
Log:
Add modified internal rate of return calculation which is more conservative and takes into account re-investing profits and expense of financing losses.

Modified: trunk/numpy/lib/financial.py
===================================================================
--- trunk/numpy/lib/financial.py	2008-04-04 06:11:24 UTC (rev 4960)
+++ trunk/numpy/lib/financial.py	2008-04-04 06:37:45 UTC (rev 4961)
@@ -1,8 +1,10 @@
# Some simple financial calculations
from numpy import log, where
import numpy as np

-__all__ = ['fv', 'pmt', 'nper', 'ipmt', 'ppmt', 'pv', 'rate', 'irr', 'npv']
+__all__ = ['fv', 'pmt', 'nper', 'ipmt', 'ppmt', 'pv', 'rate', 'irr', 'npv',
+           'mirr']

_when_to_num = {'end':0, 'begin':1,
'e':0, 'b':1,
@@ -148,4 +150,27 @@
values = np.asarray(values)
return (values / (1+rate)**np.arange(1,len(values)+1)).sum(axis=0)

+def mirr(values, finance_rate, reinvest_rate):
+    """Modified internal rate of return
+
+    Parameters
+    ----------
+    values:
+        Cash flows (must contain at least one positive and one negative value)
+        or nan is returned.
+    finance_rate :
+        Interest rate paid on the cash flows
+    reinvest_rate :
+        Interest rate received on the cash flows upon reinvestment
+    """

+    values = np.asarray(values)
+    pos = values > 0
+    neg = values < 0
+    if not (pos.size > 0 and neg.size > 0):
+        return np.nan
+
+    n = pos.size + neg.size
+    numer = -npv(reinvest_rate, values[pos])*((1+reinvest_rate)**n)
+    denom = npv(finance_rate, values[neg])*(1+finance_rate)
+    return (numer / denom)**(1.0/(n-1)) - 1

Modified: trunk/numpy/lib/tests/test_financial.py
===================================================================
--- trunk/numpy/lib/tests/test_financial.py	2008-04-04 06:11:24 UTC (rev 4960)
+++ trunk/numpy/lib/tests/test_financial.py	2008-04-04 06:37:45 UTC (rev 4961)
@@ -22,6 +22,11 @@
>>> npv(0.05,[-15000,1500,2500,3500,4500,6000])
117.04271900089589

+>>> mirr([-4500,-800,800,800,600,600,800,800,700,3000],0.08,0.055)
+0.066471183500200537
+
+>>> mirr([-120000,39000,30000,21000,37000,46000],0.10,0.12)
+0.13439316981387006
"""

from numpy.testing import *

```