diff options
Diffstat (limited to 'numpy/lib/financial.py')
| -rw-r--r-- | numpy/lib/financial.py | 18 |
1 files changed, 11 insertions, 7 deletions
diff --git a/numpy/lib/financial.py b/numpy/lib/financial.py index 0b9372515..496e960fc 100644 --- a/numpy/lib/financial.py +++ b/numpy/lib/financial.py @@ -612,7 +612,7 @@ def mirr(values, finance_rate, reinvest_rate): ---------- values : array_like Cash flows (must contain at least one positive and one negative value) - or nan is returned. + or nan is returned. The first value is considered a sunk cost at time zero. finance_rate : scalar Interest rate paid on the cash flows reinvest_rate : scalar @@ -626,12 +626,16 @@ def mirr(values, finance_rate, reinvest_rate): """ values = np.asarray(values) + initial = values[0] + values = values[1:] + n = values.size pos = values > 0 neg = values < 0 - if not (pos.size > 0 and neg.size > 0): + if not (pos.sum() > 0 and neg.sum() > 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 + numer = np.abs(npv(reinvest_rate, values*pos)) + denom = np.abs(npv(finance_rate, values*neg)) + if initial > 0: + return ((initial + numer) / denom)**(1.0/n)*(1+reinvest_rate) - 1 + else: + return ((numer / (-initial + denom)))**(1.0/n)*(1+reinvest_rate) - 1 |