Refinement for XIRR (#2487)
* Refinement for XIRR Fix #2469. The algorithm used for XIRR is known not to converge in some cases, some of which are because the value is legitimately unsolvable; for others, using a different guess might help. The algorithm uses continual guesses at a rate to hopefully converge on the solution. The code in Python package xirr (https://github.com/tarioch/xirr/) suggests a refinement when this rate falls below -1. Adopting this refinement solves the problem for the data in issue 2469 without any adverse effect on the existing tests. My thanks to @tarioch for that refinement. The data from 2469 is, of course, added to the test cases. The user also mentions that an initial guess equal to the actual result doesn't converge either. A test is also added to confirm that that case now works. The test cases are changed to run in the context of a spreadsheet rather than by direct calls to XIRR calculation routine. This revealed some data validation errors which are also cleaned up with this PR. This suggests that other financial tests might benefit from the same change; I will look into that. * More Unit Tests From https://github.com/RayDeCampo/java-xirr/blob/master/src/test/java/org/decampo/xirr/XirrTest.java https://github.com/tarioch/xirr/blob/master/tests/test_math.py Note that there are some cases where the PHP tests do not converge, but the non-PHP tests do. I have confirmed in each of those cases that Excel does not converge, so the PhpSpreadsheet results are good, at least for now. The discrepancies are noted in comments in the test member.
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oleibman
GitHub
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1509097e84
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95d9cc965d
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@ -930,11 +930,6 @@ parameters:
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count: 1
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path: src/PhpSpreadsheet/Calculation/Financial/CashFlow/Constant/Periodic/InterestAndPrincipal.php
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-
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message: "#^Parameter \\#4 \\$x2 of static method PhpOffice\\\\PhpSpreadsheet\\\\Calculation\\\\Financial\\\\CashFlow\\\\Variable\\\\NonPeriodic\\:\\:xirrPart3\\(\\) expects float, mixed given\\.$#"
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count: 1
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path: src/PhpSpreadsheet/Calculation/Financial/CashFlow/Variable/NonPeriodic.php
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-
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message: "#^Method PhpOffice\\\\PhpSpreadsheet\\\\Calculation\\\\Financial\\\\CashFlow\\\\Variable\\\\Periodic\\:\\:presentValue\\(\\) has parameter \\$args with no type specified\\.$#"
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count: 1
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@ -7915,11 +7910,6 @@ parameters:
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count: 1
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path: tests/PhpSpreadsheetTests/Calculation/Functions/Financial/XNpvTest.php
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-
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message: "#^Parameter \\#3 \\$message of static method PHPUnit\\\\Framework\\\\Assert\\:\\:assertEquals\\(\\) expects string, mixed given\\.$#"
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count: 1
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path: tests/PhpSpreadsheetTests/Calculation/Functions/Financial/XirrTest.php
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-
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message: "#^Part \\$number \\(mixed\\) of encapsed string cannot be cast to string\\.$#"
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count: 1
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@ -12,6 +12,8 @@ class NonPeriodic
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const FINANCIAL_PRECISION = 1.0e-08;
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const DEFAULT_GUESS = 0.1;
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/**
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* XIRR.
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*
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@ -25,11 +27,11 @@ class NonPeriodic
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* @param mixed[] $dates A series of payment dates
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* The first payment date indicates the beginning of the schedule of payments
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* All other dates must be later than this date, but they may occur in any order
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* @param float $guess An optional guess at the expected answer
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* @param mixed $guess An optional guess at the expected answer
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*
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* @return float|string
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*/
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public static function rate($values, $dates, $guess = 0.1)
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public static function rate($values, $dates, $guess = self::DEFAULT_GUESS)
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{
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$rslt = self::xirrPart1($values, $dates);
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if ($rslt !== '') {
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@ -37,9 +39,13 @@ class NonPeriodic
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}
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// create an initial range, with a root somewhere between 0 and guess
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$guess = Functions::flattenSingleValue($guess);
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$guess = Functions::flattenSingleValue($guess) ?? self::DEFAULT_GUESS;
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if (!is_numeric($guess)) {
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return Functions::VALUE();
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}
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$guess = ($guess + 0.0) ?: self::DEFAULT_GUESS;
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$x1 = 0.0;
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$x2 = $guess ?: 0.1;
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$x2 = $guess + 0.0;
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$f1 = self::xnpvOrdered($x1, $values, $dates, false);
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$f2 = self::xnpvOrdered($x2, $values, $dates, false);
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$found = false;
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@ -54,9 +60,11 @@ class NonPeriodic
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break;
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} elseif (abs($f1) < abs($f2)) {
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$f1 = self::xnpvOrdered($x1 += 1.6 * ($x1 - $x2), $values, $dates, false);
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$x1 += 1.6 * ($x1 - $x2);
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$f1 = self::xnpvOrdered($x1, $values, $dates, false);
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} else {
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$f2 = self::xnpvOrdered($x2 += 1.6 * ($x2 - $x1), $values, $dates, false);
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$x2 += 1.6 * ($x2 - $x1);
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$f2 = self::xnpvOrdered($x2, $values, $dates, false);
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}
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}
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if (!$found) {
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@ -104,11 +112,13 @@ class NonPeriodic
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*/
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private static function xirrPart1(&$values, &$dates): string
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{
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if (!is_array($values) && !is_array($dates)) {
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return Functions::NA();
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}
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$values = Functions::flattenArray($values);
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$dates = Functions::flattenArray($dates);
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$valuesIsArray = count($values) > 1;
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$datesIsArray = count($dates) > 1;
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if (!$valuesIsArray && !$datesIsArray) {
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return Functions::NA();
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}
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if (count($values) != count($dates)) {
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return Functions::NAN();
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}
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@ -219,7 +229,11 @@ class NonPeriodic
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if (!is_numeric($dif)) {
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return $dif;
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}
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$xnpv += $values[$i] / (1 + $rate) ** ($dif / 365);
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if ($rate <= -1.0) {
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$xnpv += -abs($values[$i]) / (-1 - $rate) ** ($dif / 365);
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} else {
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$xnpv += $values[$i] / (1 + $rate) ** ($dif / 365);
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}
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}
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return is_finite($xnpv) ? $xnpv : Functions::VALUE();
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@ -0,0 +1,116 @@
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<?php
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namespace PhpOffice\PhpSpreadsheetTests\Calculation\Functions\Financial;
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use PhpOffice\PhpSpreadsheet\Calculation\Exception as CalcException;
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use PhpOffice\PhpSpreadsheet\Calculation\Functions;
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use PhpOffice\PhpSpreadsheet\Cell\DataType;
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use PhpOffice\PhpSpreadsheet\Spreadsheet;
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use PhpOffice\PhpSpreadsheet\Worksheet\Worksheet;
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use PHPUnit\Framework\TestCase;
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class AllSetupTeardown extends TestCase
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{
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/**
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* @var string
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*/
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private $compatibilityMode;
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/**
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* @var ?Spreadsheet
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*/
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private $spreadsheet;
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/**
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* @var ?Worksheet
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*/
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private $sheet;
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protected function setUp(): void
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{
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$this->compatibilityMode = Functions::getCompatibilityMode();
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}
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protected function tearDown(): void
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{
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Functions::setCompatibilityMode($this->compatibilityMode);
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$this->sheet = null;
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if ($this->spreadsheet !== null) {
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$this->spreadsheet->disconnectWorksheets();
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$this->spreadsheet = null;
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}
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}
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protected static function setOpenOffice(): void
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{
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Functions::setCompatibilityMode(Functions::COMPATIBILITY_OPENOFFICE);
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}
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protected static function setGnumeric(): void
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{
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Functions::setCompatibilityMode(Functions::COMPATIBILITY_GNUMERIC);
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}
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/**
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* @param mixed $expectedResult
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*/
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protected function mightHaveException($expectedResult): void
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{
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if ($expectedResult === 'exception') {
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$this->expectException(CalcException::class);
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}
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}
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/**
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* @param mixed $value
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*/
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protected function setCell(string $cell, $value): void
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{
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if ($value !== null) {
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if (is_string($value) && is_numeric($value)) {
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$this->getSheet()->getCell($cell)->setValueExplicit($value, DataType::TYPE_STRING);
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} else {
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$this->getSheet()->getCell($cell)->setValue($value);
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}
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}
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}
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protected function getSpreadsheet(): Spreadsheet
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{
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if ($this->spreadsheet !== null) {
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return $this->spreadsheet;
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}
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$this->spreadsheet = new Spreadsheet();
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return $this->spreadsheet;
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}
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protected function getSheet(): Worksheet
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{
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if ($this->sheet !== null) {
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return $this->sheet;
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}
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$this->sheet = $this->getSpreadsheet()->getActiveSheet();
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return $this->sheet;
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}
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/**
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* Adjust result if it is close enough to expected by ratio
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* rather than offset.
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*
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* @param mixed $result
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* @param mixed $expectedResult
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*/
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protected function adjustResult(&$result, $expectedResult): void
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{
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if (is_numeric($result) && is_numeric($expectedResult)) {
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if ($expectedResult != 0) {
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$frac = $result / $expectedResult;
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if ($frac > 0.999999 && $frac < 1.000001) {
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$result = $expectedResult;
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}
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}
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}
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}
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}
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@ -2,35 +2,60 @@
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namespace PhpOffice\PhpSpreadsheetTests\Calculation\Functions\Financial;
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use PhpOffice\PhpSpreadsheet\Calculation\Financial;
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use PhpOffice\PhpSpreadsheet\Calculation\Functions;
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use PHPUnit\Framework\TestCase;
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class XirrTest extends TestCase
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class XirrTest extends AllSetupTeardown
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{
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protected function setUp(): void
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{
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Functions::setCompatibilityMode(Functions::COMPATIBILITY_EXCEL);
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}
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/**
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* @dataProvider providerXIRR
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*
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* @param mixed $expectedResult
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* @param mixed $message
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* @param string $message
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* @param mixed $values
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* @param mixed $dates
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* @param mixed $guess
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*/
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public function testXIRR($expectedResult, $message, ...$args): void
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public function testXIRR($expectedResult, $message, $values = null, $dates = null, $guess = null): void
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{
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$result = Financial::XIRR(...$args);
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if (is_numeric($result) && is_numeric($expectedResult)) {
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if ($expectedResult != 0) {
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$frac = $result / $expectedResult;
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if ($frac > 0.999999 && $frac < 1.000001) {
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$result = $expectedResult;
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$this->mightHaveException($expectedResult);
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$sheet = $this->getSheet();
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$formula = '=XIRR(';
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if ($values !== null) {
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if (is_array($values)) {
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$row = 0;
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foreach ($values as $value) {
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++$row;
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$sheet->getCell("A$row")->setValue($value);
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}
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$formula .= "A1:A$row";
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} else {
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$sheet->getCell('A1')->setValue($values);
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$formula .= 'A1';
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}
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if ($dates !== null) {
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if (is_array($dates)) {
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$row = 0;
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foreach ($dates as $date) {
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++$row;
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$sheet->getCell("B$row")->setValue($date);
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}
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$formula .= ",B1:B$row";
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} else {
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$sheet->getCell('B1')->setValue($dates);
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$formula .= ',B1';
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}
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if ($guess !== null) {
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if ($guess !== 'C1') {
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$sheet->getCell('C1')->setValue($guess);
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}
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$formula .= ', C1';
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}
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}
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}
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self::assertEquals($expectedResult, $result, $message);
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$formula .= ')';
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$sheet->getCell('D1')->setValue($formula);
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$result = $sheet->getCell('D1')->getCalculatedValue();
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$this->adjustResult($result, $expectedResult);
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self::assertEqualsWithDelta($expectedResult, $result, 0.1E-7, $message);
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}
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public function providerXIRR(): array
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@ -59,6 +59,13 @@ return [
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'2015-01-04',
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0.1,
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],
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[
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'#VALUE!',
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'Return VALUE error if guess is non-numeric',
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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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[
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0.137963527441025,
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'Dates can be in any order after all',
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@ -118,10 +125,129 @@ return [
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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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[
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0.13796353,
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'Substitute when guess is empty cell',
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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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[
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'#NUM!',
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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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[-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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[
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-0.642307613,
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'See issue #2469 - non-convergence with initial guess',
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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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[
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-0.642307613,
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'See issue #2469 - non-convergence with initial guess equal to correct answer',
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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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[
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'exception',
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'Only one argument should cause exception',
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['2021-11-24', '2021-12-24'],
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],
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[
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'exception',
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'No argument should cause exception',
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],
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[
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0,
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'DeCampo One year no growth',
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[-1000, 1000],
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['2010-01-01', '2011-01-01'],
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],
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[
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0.1,
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'DeCampo One year growth',
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[-1000, 1100],
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['2010-01-01', '2011-01-01'],
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],
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[
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-0.1,
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'DeCampo One year decline',
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[-1000, 900],
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['2010-01-01', '2011-01-01'],
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],
|
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[
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0.1212676,
|
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'DeCampo vs spreadsheet',
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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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[
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0.1212676,
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'DeCampo vs spreadsheet reordered',
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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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2.0,
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'DeCampo Over 100% growth',
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[-1000, 3000],
|
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['2010-01-01', '2011-01-01'],
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],
|
||||
[
|
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'#NUM!', // -1.0, DeCampo accounts for this case, Excel doesn't
|
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'DeCampo Total loss one year, agree with Excel not DeCampo',
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[-1000, 0],
|
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['2010-01-01', '2011-01-01'],
|
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],
|
||||
[
|
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'#NUM!', // -1.0, DeCampo accounts for this case, Excel doesn't
|
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'DeCampo Total loss two years, agree with Excel not DeCampo',
|
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[-1000, 0],
|
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['2010-01-01', '2012-01-01'],
|
||||
],
|
||||
[
|
||||
0.2504234710540838,
|
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'DeCampo Readme example',
|
||||
[-1000, -2500, -1000, 5050],
|
||||
['2016-01-15', '2016-02-08', '2016-04-17', '2016-08-24'],
|
||||
],
|
||||
[
|
||||
0.2126861,
|
||||
'DeCampo from nodejs',
|
||||
[-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'],
|
||||
],
|
||||
[
|
||||
'#NUM!', //-0.7640294,
|
||||
'DeCampo issue5a, agree with Excel not DeCampo',
|
||||
[-2610, -2589, -5110, -2550, -5086, -2561, -5040, -2552, -2530, 29520],
|
||||
['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'],
|
||||
],
|
||||
[
|
||||
'#NUM!', //-0.8353404,
|
||||
'DeCampo issue5b, agree with Excel not DeCampo',
|
||||
[-2610, -2589, -5110, -2550, -5086, -2561, -5040, -2552, -2530, -9840, 38900],
|
||||
['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'],
|
||||
],
|
||||
[
|
||||
412461.6383,
|
||||
'Python XIRR test line 20',
|
||||
[-100, 1000],
|
||||
['2019-12-31', '2020-03-05'],
|
||||
],
|
||||
[
|
||||
1.223853529e16,
|
||||
'Python XIRR test line 21',
|
||||
[-2236.3994659663, -47.3417585212, -46.52619316339632, 10424.74612565936, -13.077972551952],
|
||||
['2017-12-16', '2017-12-26', '2017-12-29', '2017-12-31', '2017-12-20'],
|
||||
],
|
||||
[
|
||||
'#NUM!', //-1,
|
||||
'Python XIRR test line 39, agree with Excel not Python',
|
||||
[18902, 83600, -5780, -4080, -56780, -2210, -2380, 33975, 23067.98, -1619.57],
|
||||
['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'],
|
||||
],
|
||||
];
|
||||
|
|
|
|||
Loading…
Reference in New Issue