内部收益率计算

记录工具代码内部收益率计算

public class IrrUtils {
    private static final double IRR_GUESS = 0.0001d;

    public static double irr(double[] values, double guess) {
        if (values == null || values.length <= 0) {
            return 0.0d / 0.0;
        }
        int maxlterationCount = 20;
        double absoluteAccuracy = 1.0E-007D;
        double x0 = guess;
        int i = 0;
        while (i < maxlterationCount) {
            double fValue = 0.0D;
            double fDerivative = 0.0D;
            for (int k = 0; k < values.length; k++) {
                fValue += values[k] / Math.pow(1.0D + x0, k);
                fDerivative += -k * values[k] / Math.pow(1.0D + x0, k + 1);
            }
            double x1 = x0 - fValue / fDerivative;
            if (Math.abs(x1 - x0) <= absoluteAccuracy) {
                return x1;
            }
            x0 = x1;
            i++;
        }

        return 0.0d / 0.0;
    }

    // IRR特殊情况下会出现无穷值，导致无法计算出正确的IRR，需先计算估算值 guess
    public static double calcGuess(double[] values,int deducTerm) {
        if (values == null || values.length <= 0) {
            return 0.0d / 0.0;
        }
        double guessValue = 0d;
        double pemSum = 0d;
        double svg = 0d;
        for(int i=0; i < deducTerm; i++){
            pemSum +=  values[i];
        }
        svg = Arrays.stream(values).max().getAsDouble();
        guessValue = pemSum == 0 ? IRR_GUESS : (svg / pemSum);
        return guessValue;
    }



    public static void main(String[] args) {
        double irr1 = irr(dataArr1(), IRR_GUESS);
        double irr2 = irr(dataArr2(), IRR_GUESS);
        double irr3 = irr(dataArr3(), IRR_GUESS);
        double irr4 = irr(dataArr4(), IRR_GUESS);
        System.out.println(irr1); // 01830707136274641
        System.out.println(irr2); // 0.029238953211348458
        System.out.println(irr3); // 0.04255038879830903
        System.out.println(irr4); // 0.016155046256780534
        DecimalFormat df = new DecimalFormat("0.00");
        String format = df.format(irr4); // 0.0426
        System.out.println(format); // 0.0426
    }

    // 測試數據1
    public static double[] dataArr1() {
        double[] arr = {-213260, -213260, -213260, -213260, -213260, -213260, -213260, -213260, -213260, -213260, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 2275697, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0};
        return arr;
    }

    // 測試數據2
    public static double[] dataArr2() {
        double[] arr = {-213260, -213260, -213260, -213260, -213260, -213260, -213260, -213260, -213260, -213260, 129000, 29000, 29000, 29000, 29000, 179000, 29000, 29000, 29000, 29000, 229000, 29000, 29000, 29000, 29000, 279000, 29000, 29000, 29000, 29000, 279000, 29000, 29000, 29000, 29000, 279000, 29000, 29000, 29000, 29000, 2641067, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0};
        return arr;
    }

    // 測試數據3
    public static double[] dataArr3() {
        double[] arr = {-213260, -213260, -213260, -213260, -213260, -213260, -213260, -213260, -213260, -213260, 170000, 70000, 70000, 70000, 70000, 220000, 70000, 70000, 70000, 70000, 270000, 70000, 70000, 70000, 70000, 320000, 70000, 70000, 70000, 70000, 320000, 70000, 70000, 70000, 70000, 320000, 70000, 70000, 70000, 70000, 2768437, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0
        };
        return arr;
    }

    // 測試數據4
    public static double[] dataArr4() {
        double[] arr = {-15000 ,-15000 ,-13500 ,-13500 ,-13500,1500,1500,1500,1500,1500,72375,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0
        };
        return arr;
    }
}