*
* Syntax is IRR(values) or IRR(values,guess)
*
- * @author Marcel May
- * @author Yegor Kozlov
- *
* @see <a href="http://en.wikipedia.org/wiki/Internal_rate_of_return#Numerical_solution">Wikipedia on IRR</a>
* @see <a href="http://office.microsoft.com/en-us/excel-help/irr-HP005209146.aspx">Excel IRR</a>
*/
* http://en.wikipedia.org/wiki/Newton%27s_method</a>
*/
public static double irr(double[] values, double guess) {
- int maxIterationCount = 20;
- double absoluteAccuracy = 1E-7;
+ final int maxIterationCount = 20;
+ final double absoluteAccuracy = 1E-7;
double x0 = guess;
double x1;
while (i < maxIterationCount) {
// the value of the function (NPV) and its derivate can be calculated in the same loop
- double fValue = 0;
+ final double factor = 1.0 + x0;
+ int k = 0;
+ double fValue = values[k];
double fDerivative = 0;
- for (int k = 0; k < values.length; k++) {
- fValue += values[k] / Math.pow(1.0 + x0, k);
- fDerivative += -k * values[k] / Math.pow(1.0 + x0, k + 1);
+ for (double denominator = factor; ++k < values.length; ) {
+ final double value = values[k];
+ fValue += value / denominator;
+ denominator *= factor;
+ fDerivative -= k * value / denominator;
}
// the essense of the Newton-Raphson Method