X-Git-Url: https://git.creatis.insa-lyon.fr/pubgit/?a=blobdiff_plain;f=octave_packages%2Ffinancial-0.4.0%2Fmirr.m;fp=octave_packages%2Ffinancial-0.4.0%2Fmirr.m;h=18f461d31afdc9aecdc496b9606a56e0143592ce;hb=c880e8788dfc484bf23ce13fa2787f2c6bca4863;hp=0000000000000000000000000000000000000000;hpb=1705066eceaaea976f010f669ce8e972f3734b05;p=CreaPhase.git

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+## Copyright (C) 2008 Bill Denney <bill@denney.ws>
+##
+## This program is free software; you can redistribute it and/or modify it under
+## the terms of the GNU General Public License as published by the Free Software
+## Foundation; either version 3 of the License, or (at your option) any later
+## version.
+##
+## This program is distributed in the hope that it will be useful, but WITHOUT
+## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
+## details.
+##
+## You should have received a copy of the GNU General Public License along with
+## this program; if not, see <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {@var{return} =} mirr (@var{cashflow}, @var{finrate}, @var{reinvestrate})
+## Compute the modified internal rate of return.
+## Take periodic @var{cashflow}s as a vector and the finance rate,
+## @var{finrate}, for negative cash flows and a reinvestment rate,
+## @var{reinvestrate}, for positive cash flows.
+## @seealso{irr, effrr, nomrr, pvvar, xirr}
+## @end deftypefn
+
+## Algorithm from
+## http://en.wikipedia.org/wiki/Modified_Internal_Rate_of_Return
+
+function rate = mirr (flow, finrate, reinvestrate)
+
+  if (nargin != 3)
+    print_usage ();
+  endif
+
+  posflow = zeros (size (flow));
+  negflow = zeros (size (flow));
+  mask    = flow >= 0;
+  posflow(mask)  = flow(mask);
+  negflow(!mask) = flow(!mask);
+
+  n = numel (flow);
+
+  rate = (-npv (reinvestrate, posflow)*(1+reinvestrate)^n/
+          (npv (finrate, negflow)*(1+finrate)))^(1/(n-1))-1;
+
+endfunction
+
+## Tests
+%!assert (mirr ([-100000 20000 -10000 30000 38000 50000], 0.09, 0.12), 0.0832, 0.00005)