XIRR.py

'''
A single function that calculates IRR using Newton's Method
'''

from datetime import date

def xirr(transactions):

    '''
    Calculates the Internal Rate of Return (IRR) for an irregular series of cash flows (XIRR)
    Takes a list of tuples [(date,cash-flow),(date,cash-flow),...]
    Returns a rate of return as a percentage
    '''

    years = [(ta[0] - transactions[0][0]).days / 365. for ta in transactions]
    residual = 1.0
    step = 0.05
    guess = 0.05
    epsilon = 0.0001
    limit = 10000
    while abs(residual) > epsilon and limit > 0:
        limit -= 1
        residual = 0.0
        for i, trans in enumerate(transactions):
            residual += trans[1] / pow(guess, years[i])
        if abs(residual) > epsilon:
            if residual > 0:
                guess += step
            else:
                guess -= step
                step /= 2.0
    return guess - 1

tas = [(date(2006, 1, 24), -39967),
       (date(2008, 2, 6), -19866),
       (date(2010, 10, 18), 245706),
       (date(2013, 9, 14), 52142)]

if __name__ == '__main__':
    print(tas,)
    print("IRR for test data = {:.2%}".format(xirr(tas)))