mirror of
https://github.com/PHPOffice/PhpSpreadsheet.git
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oleibman
ec96ef3a6c
Fix #689. XIRR is calculated by making guesses which are hopefully better with each iteration. It is not guaranteed to succeed for Excel, PhpSpreadsheet, or any other implementation. PhpSpreadsheet uses the Newton-Raphson method for its guesses. So does Python package xirr (https://github.com/tarioch/xirr/), but, if Newton-Raphson fails to converge, Python tries Brent's method as an alternative. Two sets of non-converging data are noted in 689. For both, a solution does converge in Excel. For the first of the problems, a solution converges in Python with Newton-Raphson; but, for the second, a solution converges which requires Brent. For the Java package https://github.com/RayDeCampo/java-xirr on which Python was based, and which uses only Newton-Raphson, a solution converges for the first, and does not converge for the second. To try to match the good results of the others, I added an alternate algorithm if Newton-Raphson fails. Brent's algorithm seems difficult to implement to me. I might have gone there regardless, but I first tried a slightly simpler alternative, bisection. This solved the problem for both of the cases in 689. Perhaps someone will one day report a problem that doesn't converge for Newton-Raphson or bisection, but does for Brent. We can review this decision then. The new code causes 3 changes in the unit test. In all 3 tests, Excel and PhpSpreadsheet had not converged, but Python and/or Java had. I now believe that Python/Java is correct in those cases, and Excel is not. The new code aligns PhpSpreadsheet with Python/Java for those tests. It is, of course, impossible to know when Excel's implementation doesn't converge, so we aren't guaranteed to match its results in those hopefully rare situations.
225 lines
8.0 KiB
PHP
225 lines
8.0 KiB
PHP
<?php
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// result, message, values, dates, guess
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return [
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'If values and dates contain a different number of values, returns the #NUM! error value' => [
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'#NUM!',
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[4000, -46000],
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['2015-01-04'],
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0.1,
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],
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'Cash flows are all negative' => [
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'#NUM!',
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[-4000, -46000],
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['2015-01-04', '2019-06-27'],
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0.1,
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],
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'Cash flows are all positive' => [
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'#NUM!',
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[4000, 46000],
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['2015-01-04', '2019-06-27'],
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0.1,
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],
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'If any number in dates is not a valid date, returns the #VALUE! error value' => [
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'#VALUE!',
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[4000, -46000],
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['2015-01-04', '2019X06-27'],
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0.1,
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],
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'If any entry in values is not numeric, returns the #VALUE! error value' => [
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'#VALUE!',
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['y', -46000],
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['2015-01-04', '2019-06-27'],
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0.1,
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],
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'If values is not an array, returns the #NUM! error value' => [
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'#NUM!',
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-46000,
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['2015-01-04', '2019-06-27'],
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0.1,
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],
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'If dates is not an array but values is, returns the #NUM! error value' => [
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'#NUM!',
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[4000, -46000],
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'2015-01-04',
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0.1,
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],
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'If neither dates nor values is an array, returns the #N/A error value' => [
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'#N/A',
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4000,
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'2015-01-04',
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0.1,
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],
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'Return VALUE error if guess is non-numeric' => [
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'#VALUE!',
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[1893.67, 139947.43, 52573.25, 48849.74, 26369.16, -273029.18],
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['2019-06-27', '2019-06-20', '2019-06-21', '2019-06-24', '2019-06-27', '2019-07-27'],
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'XYZ',
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],
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'Dates can be in any order after all' => [
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0.137963527441025,
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[1893.67, 139947.43, 52573.25, 48849.74, 26369.16, -273029.18],
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['2019-06-27', '2019-06-20', '2019-06-21', '2019-06-24', '2019-06-27', '2019-07-27'],
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0.1,
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],
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'XIRR calculation #0 is incorrect' => [
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0.77868869226873,
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[4000, -46000],
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['2015-04-01', '2019-06-27'],
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0.1,
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],
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'issue 689' => [
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-0.6118824173,
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[-1000000.706, 947003.58],
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['2018-09-05', '2018-09-26'],
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],
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'issue 689 updated 2022-12-25' => [
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-0.935842486,
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[-20972.36, 20350.545],
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['2022-12-12', '2022-12-16'],
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],
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'XIRR calculation #1 is incorrect' => [
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0.137963527441025,
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[139947.43, 1893.67, 52573.25, 48849.74, 26369.16, -273029.18],
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['2019-06-20', '2019-06-27', '2019-06-21', '2019-06-24', '2019-06-27', '2019-07-27'],
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0.1,
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],
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'XIRR calculation #2 is incorrect' => [
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0.09999999,
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[100.0, -110.0],
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['2019-06-12', '2020-06-11'],
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0.1,
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],
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'XIRR calculation #3 is incorrect' => [
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3235.159644,
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[1.0, 1893.67, 52573.25, 48849.74, 26369.16, -273029.18],
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['2019-06-27', '2019-06-27', '2019-06-21', '2019-06-24', '2019-06-27', '2019-07-27'],
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],
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'XIRR calculation #4 is incorrect' => [
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0.15467888,
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[1893.67, 139947.43, 52573.25, 48849.74, 26369.16, -273029.18],
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['2019-06-20', '2019-06-27', '2019-06-21', '2019-06-24', '2019-06-27', '2019-07-27'],
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],
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'XIRR calculation #5 is incorrect' => [
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-0.197387315,
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[-100, 20, 40, 25],
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['2010-01-01', '2010-04-01', '2010-10-01', '2011-02-01'],
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],
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'XIRR calculation #6 is incorrect' => [
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3.434984565,
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[-10000, 2750, 4250, 3250, 2750, 46000],
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['2008-01-01', '2008-03-01', '2008-10-30', '2009-02-15', '2009-04-01', '2009-06-01'],
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],
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'Substitute for guess=0' => [
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0.13796353,
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[139947.43, 1893.67, 52573.25, 48849.74, 26369.16, -273029.18],
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['2019-06-20', '2019-06-27', '2019-06-21', '2019-06-24', '2019-06-27', '2019-07-27'],
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0.00000,
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],
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'Substitute when guess is empty cell' => [
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0.13796353,
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[139947.43, 1893.67, 52573.25, 48849.74, 26369.16, -273029.18],
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['2019-06-20', '2019-06-27', '2019-06-21', '2019-06-24', '2019-06-27', '2019-07-27'],
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'C1',
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],
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'Can\'t find a result2 that works after FINANCIAL_MAX_ITERATIONS tries, the #NUM! error value is returned' => [
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'#NUM!',
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[-10000, 10000, -10000, 5],
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['2010-01-15', '2010-04-16', '2010-07-16', '2010-10-15'],
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],
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'See issue #2469 - non-convergence with initial guess' => [
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-0.642307613,
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[55600, -51094.83],
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['2021-11-24', '2021-12-24'],
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],
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'See issue #2469 - non-convergence with initial guess equal to correct answer' => [
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-0.642307613,
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[55600, -51094.83],
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['2021-11-24', '2021-12-24'],
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-0.642307613,
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],
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'Only one argument should cause exception' => [
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'exception',
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['2021-11-24', '2021-12-24'],
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],
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'No argument should cause exception' => [
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'exception',
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],
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'DeCampo One year no growth' => [
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0,
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[-1000, 1000],
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['2010-01-01', '2011-01-01'],
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],
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'DeCampo One year growth' => [
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0.1,
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[-1000, 1100],
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['2010-01-01', '2011-01-01'],
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],
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'DeCampo One year decline' => [
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-0.1,
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[-1000, 900],
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['2010-01-01', '2011-01-01'],
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],
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'DeCampo vs spreadsheet' => [
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0.1212676,
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[-1000, -1000, -1000, -1000, 4300],
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['2010-01-01', '2010-04-01', '2010-07-01', '2010-10-01', '2011-01-01'],
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],
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'DeCampo vs spreadsheet reordered' => [
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0.1212676,
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[-1000, 4300, -1000, -1000, -1000],
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['2010-10-01', '2011-01-01', '2010-07-01', '2010-01-01', '2010-04-01'],
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],
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'DeCampo Over 100% growth' => [
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2.0,
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[-1000, 3000],
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['2010-01-01', '2011-01-01'],
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],
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'DeCampo Total loss one year, agree with Excel not DeCampo' => [
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'#NUM!', // -1.0, DeCampo accounts for this case, Excel doesn't
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[-1000, 0],
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['2010-01-01', '2011-01-01'],
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],
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'DeCampo Total loss two years, agree with Excel not DeCampo' => [
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'#NUM!', // -1.0, DeCampo accounts for this case, Excel doesn't
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[-1000, 0],
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['2010-01-01', '2012-01-01'],
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],
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'DeCampo Readme example' => [
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0.2504234710540838,
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[-1000, -2500, -1000, 5050],
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['2016-01-15', '2016-02-08', '2016-04-17', '2016-08-24'],
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],
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'DeCampo from nodejs' => [
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0.2126861,
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[-10000, 3027.25, 630.68, 2018.2, 1513.62, 1765.89, 4036.33, 4036.33, 1513.62, 1513.62, 2018.16, 1513.62, 1009.08, 1513.62, 1513.62, 1765.89, 1765.89, 22421.55],
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['2000-05-24', '2000-06-05', '2001-04-09', '2004-02-24', '2005-03-18', '2006-02-15', '2007-01-10', '2007-11-14', '2008-12-17', '2010-01-15', '2011-01-14', '2012-02-03', '2013-01-18', '2014-01-24', '2015-01-30', '2016-01-22', '2017-01-20', '2017-06-05'],
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],
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'DeCampo issue5a, agree with DeCampo not Excel' => [
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-0.7640294, // '#NUM!'
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[-2610, -2589, -5110, -2550, -5086, -2561, -5040, -2552, -2530, 29520],
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['2001-06-22', '2001-07-03', '2001-07-05', '2001-07-06', '2001-07-09', '2001-07-10', '2001-07-12', '2001-07-13', '2001-07-16', '2001-07-17'],
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],
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'DeCampo issue5b, agree with DeCampo not Excel' => [
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-0.8353404, // '#NUM!'
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[-2610, -2589, -5110, -2550, -5086, -2561, -5040, -2552, -2530, -9840, 38900],
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['2001-06-22', '2001-07-03', '2001-07-05', '2001-07-06', '2001-07-09', '2001-07-10', '2001-07-12', '2001-07-13', '2001-07-16', '2001-07-17', '2001-07-18'],
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],
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'Python XIRR test line 20' => [
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412461.6383,
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[-100, 1000],
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['2019-12-31', '2020-03-05'],
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],
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'Python XIRR test line 21' => [
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1.223853529e16,
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[-2236.3994659663, -47.3417585212, -46.52619316339632, 10424.74612565936, -13.077972551952],
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['2017-12-16', '2017-12-26', '2017-12-29', '2017-12-31', '2017-12-20'],
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],
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'Python XIRR test line 39, agree with Python not Excel' => [
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-1, // '#NUM!',
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[18902, 83600, -5780, -4080, -56780, -2210, -2380, 33975, 23067.98, -1619.57],
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['2016-04-06', '2016-05-04', '2016-05-12', '2017-05-08', '2017-07-03', '2018-05-07', '2019-05-06', '2019-10-01', '2020-03-13', '2020-05-07'],
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],
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];
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