1 ## Copyright (C) 2008 Bill Denney <bill@denney.ws>
3 ## This program is free software; you can redistribute it and/or modify it under
4 ## the terms of the GNU General Public License as published by the Free Software
5 ## Foundation; either version 3 of the License, or (at your option) any later
8 ## This program is distributed in the hope that it will be useful, but WITHOUT
9 ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
10 ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
13 ## You should have received a copy of the GNU General Public License along with
14 ## this program; if not, see <http://www.gnu.org/licenses/>.
17 ## @deftypefn {Function File} {@var{return} =} mirr (@var{cashflow}, @var{finrate}, @var{reinvestrate})
18 ## Compute the modified internal rate of return.
19 ## Take periodic @var{cashflow}s as a vector and the finance rate,
20 ## @var{finrate}, for negative cash flows and a reinvestment rate,
21 ## @var{reinvestrate}, for positive cash flows.
22 ## @seealso{irr, effrr, nomrr, pvvar, xirr}
26 ## http://en.wikipedia.org/wiki/Modified_Internal_Rate_of_Return
28 function rate = mirr (flow, finrate, reinvestrate)
34 posflow = zeros (size (flow));
35 negflow = zeros (size (flow));
37 posflow(mask) = flow(mask);
38 negflow(!mask) = flow(!mask);
42 rate = (-npv (reinvestrate, posflow)*(1+reinvestrate)^n/
43 (npv (finrate, negflow)*(1+finrate)))^(1/(n-1))-1;
48 %!assert (mirr ([-100000 20000 -10000 30000 38000 50000], 0.09, 0.12), 0.0832, 0.00005)