Hello.
A few weeks ago, I need to calculate the Internal Rate of Return for
irregular intervals.
There is the package 'financial', with the function 'cashflow',
calculating
irr for regular intervals.
So I developed xirr, managing irregular intervals, that's accepting a vector
of dates as xirr Excel function.
You can find the code at
http://albertosantini.blogspot.com/2008/01/xirr.html
#~ Title: XIRR Excel function simulation
#~
#~ Reference 1: How to manage irregular intervals -
http://www.geocities.com/accessreddy/excel/xirr.htm
#~ Reference 2: How to calculate IRR manually -
http://www.s-anand.net/Calculating_IRR_manually.html
#~
#~ Step 1: enter zeroes (0) against dates that do not have any cash outflow
or inflows.
#~ Step 1bis: calculate IRR for these cash flow values using normal IRR
function.
#~ Step 1tris: or using an iteractive approach as bisection method to find
the NPV zeroes.
#~ Step 2: multiply this value of IRR by 365 to get annual IRR (since, these
are daily cash flows).
#~ Step 3: refine using the formula =( 1+ R / 365) ^ 365 - 1), where R is
the the value obtained in Step2.
#~
Regards,
Alberto Santini
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