[R-SIG-Finance] IRR - Calculation in R

[Rory.WINSTON at rbs.com]

I think uniroot() is what you are looking for.

Incidentally, there have been a few posts regarding this on the main R help list.

Example:

> cf <- c(-10000, 1322, -1200, 12000)
> npv <- function(i, cf, t=seq(along=cf)) sum(cf/(1+i)^t)
> irr <- function(cf) { uniroot(npv, c(0,1), cf=cf)$root }
> irr(cf)
[1] 0.06937691

Rory

Rory Winston
RBS Global Banking & Markets
Office: +44 20 7085 4476

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Thomas Etheber
Sent: 27 November 2008 14:12
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] IRR - Calculation in R

Hi there,

can anyone recommend a comfortable package for the calculations of the internal rate of return (IRR)? I had a quick look at google and the history of this newsgroup, but couldnt find something usefull.

Is polyroot the right choice?
The polyroot function returns all values including the complex ones.

Is there a possibility to filter for real-numbers only?
Here is a piece of code:

> p <- c(-10000, 1322, -1200, 12000)
> p
[1] -10000   1322  -1200  12000
> 1/polyroot(p) - 1
[1]  0.06936167+0.000000i -1.46858084-0.950051i -1.46858084+0.950051i
> a <- 1/polyroot(p) - 1
> is.complex(a)
[1] TRUE
> is.complex(a[1])
[1] TRUE
> is.complex(a[2])
[1] TRUE
> is.complex(a[3])
[1] TRUE
> is.complex(a[4])
[1] TRUE

Why are all of those TRUE, I expected that  is.complex(a[1]) would bring a FALSE?

Thx in advance
Thomas






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