node-irr

A Node.js package that provides an easy and customizable way to calculate internal rate of return.

Installation

# using yarn
yarn add node-irr

# using npm
npm install node-irr --save

Usage

IRR

const irr: (values: number[], options?: RootFinderOptions) => number

const { irr } = require('node-irr')
const data = [-10, -10, 21]

console.log(irr(data))
// -> 0.03297097167558927
// -> ~3.29%

XIRR

const xirr: (inputs: XirrInput[], options?: RootFinderOptions) => number

const { xirr } = require('node-irr')
const data = [
  { amount: -10, date: '20180101' },
  { amount: 10, date: '20180201' },
  { amount: 0.05, date: '20180301' },
]

console.log(xirr(data))
// -> { days: 60, rate: 0.0001601831164046441 }
//                      ^^^^^^^^^^^^^^^^^^^^^ -> daily rate
// -> ~0.016% per day
// -> ~6.02% per year

Using Options

options.epsilon

type: number
default: 10^-8
description: Maximum acceptable absolute distance between exact root (x₀) and approximate root (λ), |x₀ - λ| < ε.

options.estimate

type: number | 'auto'
default: 'auto'
description: Used the initial value for the Newton Method (RootFinderMethod.Newton).

options.fallbackMethod

type: RootFinderMethod
default: RootFinderMethod.Newton ('newton')
description: Method to use to find the root.

options.maxIterations

type: number
default: 100
description: Number of iterations to go through before stopping if an acceptable approximated root is not found.

options.method

type: RootFinderMethod
default: RootFinderMethod.Bisection ('bisection')
description: Method to use to find the root if the primary one (options.method) fails.

Newton vs Bisection

The Newton Method (1) is considerably faster in number of iterations than the Bisection Method (2), but sometimes fails depending on the initial estimate, which is why (1) is used as the primary method, and (2) as a fallback.

MustangZhong/irr