Module: Finfast

Defined in:
lib/finfast.rb,
lib/finfast/version.rb,
ext/finfast/finfast.c

Constant Summary collapse

DAYS_PER_YEAR = 
365.0
VERSION_MAJOR = 
0
VERSION_MINOR = 
0
VERSION_PATCH = 
4
VERSION = 
[VERSION_MAJOR, VERSION_MINOR, VERSION_PATCH].join('.')

Class Method Summary collapse

Instance Method Summary collapse

Class Method Details

.fv(i, n, amt) ⇒ Object

Future value of a lump amount.

Params:

i

The interest rate per period

n

The number of periods

amt

The amount in today’s terms (present value)



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# File 'lib/finfast.rb', line 42

def fv(i, n, amt)
  return  ((1 + i) ** n) * amt
end

.fvan(i, n, pmt) ⇒ Object

Future value of an annuity.

Params:

i

The interest rate per period

n

The number of periods

pmt

The payment made in each period



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# File 'lib/finfast.rb', line 31

def fvan(i, n, pmt)
  return pmt * (((1 + i) ** n) - 1) / i 
end

.ipmt(i, per, n, pv) ⇒ Object

The interest payment for a given period in an investment.

Params:

i

The interest rate per period

n

The number of periods

per

The period for which to calculate the interest payment

pv

The present value, or principal



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# File 'lib/finfast.rb', line 66

def ipmt(i, per, n, pv)
  pmt = pmt(i, n, pv)
  return ipmtp(i, per, pv, pmt)
end

.ipmtp(i, per, pv, pmt) ⇒ Object

The interest payment for a loan, given that you are making a fixed payment different from the one dictated by the terms of the loan.

Params:

i

The interest rate per period

per

The period for which to calculate the interest payment

pv

The present value, or principal

pmt

The amount of the fixed payment



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# File 'lib/finfast.rb', line 80

def ipmtp(i, per, pv, pmt)
  fv_orig = fv(i, per - 1, pv)       # FV at the beginning of the period
  fvan_pmts = fvan(i, per - 1, pmt)  # FV of what we've been paying
  balance_in_period = fv_orig - fvan_pmts # FV of what's left
  return balance_in_period * i
end

.ipmts(i, pers, n, pv) ⇒ Object 



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# File 'lib/finfast.rb', line 87

def ipmts(i, pers, n, pv)
  result = []
  pers.each do |p|
    result.push(ipmt(i, p, n, pv))
  end
  return result
end

.newton ⇒ Object

.pmt(i, n, pv) ⇒ Object

Calculates the payment for a loan based on constant payments and a constant interest rate.

Params:

i

The interest rate per period

n

The number of periods

pv

The present value, or principal



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# File 'lib/finfast.rb', line 54

def pmt(i, n, pv)
  return pv  /  ((1 - (1 / (1 + i) ** n )) / i)
end

.xirr(transactions, guess = 0.0, tolerance = 1e-6, iterations = 100) ⇒ Object

Calculates internal rate of return on a series of irregular cash flows, similar to the OpenOffice.org XIRR function described here: wiki.openoffice.org/wiki/Documentation/How_Tos/Calc%3a_XIRR_function

Params:

transactions

A hash of d, pmt: p

guess

An initial guess for the algorithm.



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# File 'lib/finfast.rb', line 16

def xirr(transactions, guess=0.0, tolerance=1e-6, iterations=100)
  date_array = transactions.keys
  pmt_array = transactions.values
  d_0 = date_array.min
  exp_array = date_array.map { |d| exp(d, d_0) }
  newton(pmt_array, exp_array, guess, tolerance, iterations)
end

Instance Method Details

#date_difference_months(d1, d2) ⇒ Object 



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# File 'lib/finfast.rb', line 111

def date_difference_months(d1, d2)
  return d1.year * 12 - d2.year * 12 + d1.month - d2.month
end

#ipmtsp(i, pers, pv, pmt) ⇒ Object 



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# File 'lib/finfast.rb', line 95

def ipmtsp(i, pers, pv, pmt)
  result = []
  pers.each do |p|
    result.push(ipmtp(i, p, pv, pmt))
  end
  return result
end

#newton ⇒ Object 



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# File 'ext/finfast/finfast.c', line 9

static VALUE method_newton(VALUE self, VALUE pmts, VALUE exps, 
VALUE guess, VALUE tolerance, VALUE max_iter);

#pv_stream(i, stream) ⇒ Object 



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# File 'lib/finfast.rb', line 103

def pv_stream(i, stream)
  result = 0
  stream.each_with_index do |x, p|
    result += x / (1 + i) ** (p + 1)
  end
  return result
end