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Code cleanup for functions to lib_financial
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Declare all functions in lib_financial.h

Clean up comments and update URLs to code references
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@cpaulgilman
cpaulgilman committed Oct 18, 2024
1 parent 932010a commit 89d473b
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Showing 2 changed files with 34 additions and 52 deletions.
75 changes: 24 additions & 51 deletions shared/lib_financial.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -51,7 +51,17 @@ double libfin::max(double a, double b)
return (a > b) ? a : b;
}

/* ported from http://code.google.com/p/irr-newtonraphson-calculator/ */

// irs rounding rules https://www.irs.gov/pub/irs-pdf/n1036.pdf
// original code from http://www.codeproject.com/Articles/58289/C-Round-Function.aspx
long libfin::round_irs(double number)
{
return (number >= 0) ? (long)(number + 0.5) : (long)(number - 0.5);
}

// irr functions
// orignally ported from http://code.google.com/p/irr-newtonraphson-calculator/

bool is_valid_iter_bound(double estimated_return_rate)
{
return estimated_return_rate != -1 && (estimated_return_rate < std::numeric_limits<int>::max()) && (estimated_return_rate > std::numeric_limits<int>::min());
Expand Down Expand Up @@ -136,7 +146,6 @@ double irr_calc(const std::vector<double>& cf_vector, int count, double initial_
return calculated_irr;
}


double libfin::irr(const std::vector<double>& cf_vector, int count, double initial_guess, double tolerance, int max_iterations)
{
int number_of_iterations = 0;
Expand Down Expand Up @@ -202,36 +211,6 @@ double libfin::irr(const std::vector<double>& cf_vector, int count, double initi
return calculated_irr;
}




/*ported directly from Delphi simple geometric sum*/
//double libfin::npv(double Rate, const std::vector<double> &CashFlows, int Count) //, PaymentTime: TPaymentTime)
//{
// /*
//{ Caution: The sign of NPV is reversed from what would be expected for standard
// cash flows!}
//*/
// if (Rate <= -1.0)
// {
// // TODO - throw exception?
// return -999;
// }
//
// if (Count > (int)CashFlows.size())
// Count = (int)CashFlows.size();
//
// double rr = 1/(1+Rate);
// double result = 0;
// for (int i=Count-1;i>0;i--)
// {
// result = rr * result + CashFlows[i];
// }
//// if PaymentTime = ptEndOfPeriod then result := rr * result;
// return result*rr; // assumes end of period payments!!
//}

//double libfin::npv(int cf_line, int nyears, double rate)
double libfin::npv(const std::vector<double>& cf_vector, int nyears, double rate)
{
//if (rate == -1.0) throw general_error("cannot calculate NPV with discount rate equal to -1.0");
Expand All @@ -244,13 +223,12 @@ double libfin::npv(const std::vector<double>& cf_vector, int nyears, double rate
return result * rr;
}

// Return payback in years of inputs streams
// Payback occures when cumulative stream is > 0
// Find exact payback by subtracting cumulative / payback
double libfin::payback(const std::vector<double> &cumulative_payback, const std::vector<double> &payback, int nyears)
{
/*
Return payback in years of inputs streams
Payback occures when cumulative stream is > 0
Find exact payback by subtracting cumulative / payback
*/

double dpb = std::numeric_limits<double>::quiet_NaN();
bool bpb = false;
int ipb = 0;
Expand Down Expand Up @@ -280,8 +258,10 @@ Find exact payback by subtracting cumulative / payback
return dpb;
}

// ppmpt and supporting functions
/* original code source http://www.linkedin.com/answers/technology/software-development/TCH_SFT/445353-4527099?browseCategory=TCH_SFT
updated link as of October 2024: https://corporatefinanceinstitute.com/resources/excel/ppmt-function/
/* code source http://www.linkedin.com/answers/technology/software-development/TCH_SFT/445353-4527099?browseCategory=TCH_SFT
Returns the payment on the principal for a given period for an investment based on periodic, constant payments and a constant interest rate.
Syntax
Expand All @@ -308,33 +288,31 @@ Set type equal to If payments are due
Remark
Make sure that you are consistent about the units you use for specifying rate and nper. If you make monthly payments on a four-year loan at 12 percent annual interest, use 12%/12 for rate and 4*12 for nper. If you make annual payments on the same loan, use 12% for rate and 4 for nper.
*/
double pow1pm1 (double x, double y)
double pow1pm1(double x, double y)
{
return (x <= -1) ? pow (1 + x, y) - 1 : exp(y * log(1.0 + x)) - 1;
}
double pow1p (double x, double y)
double pow1p(double x, double y)
{
return (std::abs(x) > 0.5) ? pow (1 + x, y) : exp (y * log(1.0 + x));
}
double fvifa (double rate, double nper)
double fvifa(double rate, double nper)
{
return (rate == 0) ? nper : pow1pm1 (rate, nper) / rate;
}

double pvif (double rate, double nper)
double pvif(double rate, double nper)
{
return pow1p (rate, nper);
}

double pmt (double rate, double nper, double pv, double fv, int type)
double pmt(double rate, double nper, double pv, double fv, int type)
{
return ((-pv * pvif (rate, nper) - fv ) / ((1.0 + rate * type) * fvifa (rate, nper)));
}

double ipmt (double rate, double per, double nper, double pv, double fv, int type)
double ipmt(double rate, double per, double nper, double pv, double fv, int type)
{
double p = pmt (rate, nper, pv, fv, 0);
double ip = -(pv * pow1p (rate, per - 1) * rate + p * pow1pm1 (rate, per - 1));
Expand All @@ -350,8 +328,3 @@ double libfin::ppmt (double rate, double per, double nper, double pv, double fv,
return p - ip;
}

// from http://www.codeproject.com/Articles/58289/C-Round-Function.aspx
long libfin::round_irs(double number)
{
return (number >= 0) ? (long)(number + 0.5) : (long)(number - 0.5);
}
11 changes: 10 additions & 1 deletion shared/lib_financial.h
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Original file line number Diff line number Diff line change
Expand Up @@ -38,19 +38,28 @@ OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
namespace libfin {
double min(double a, double b);
double max(double a, double b);
long round_irs(double number);
double irr(const std::vector<double>& cf, int count, double initial_guess = -2, double tolerance = 1e-6, int max_iterations = 100);
double npv(const std::vector<double>& cf, int nyears, double rate);
double payback(const std::vector<double> &CumulativePayback, const std::vector<double> &Payback, int Count);
long round_irs(double number);
double ppmt(double rate, double per, double nper, double pv, double fv, int type);
double payback(const std::vector<double>& CumulativePayback, const std::vector<double>& Payback, int Count);
}

// functions used by libfin::ppmpt()
double pow1pm1(double x, double y);
double pow1p(double x, double y);
double fvifa(double rate, double nper);
double pvif(double rate, double nper);
double pmt(double rate, double nper, double pv, double fv, int type);
double ipmt(double rate, double per, double nper, double pv, double fv, int type);
double irr_calc(const std::vector<double>& cf_vector, int count, double initial_guess, double tolerance, int max_iterations, double scale_factor, int& number_of_iterations, double& residual);

// functions used by libfin::irr()
bool is_valid_iter_bound(double estimated_return_rate);
double irr_poly_sum(double estimated_return_rate, const std::vector<double>& cf_vector, int count);
double irr_derivative_sum(double estimated_return_rate, const std::vector<double>& cf_vector, int count);
double irr_scale_factor(const std::vector<double>& cf_vector_unscaled, int count);
bool is_valid_irr(const std::vector<double>& cf_vector, int count, double residual, double tolerance, int number_of_iterations, int max_iterations, double calculated_irr, double scale_factor);

#endif

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