Validate XIRR inputs and return correct error values
Fix: Return #NUM! if values and dates contain a different number of values Fix: Return #NUM! if there is not at least one positive cash flow and one negative cash flow Fix: Return #NUM! if any number in dates precedes the starting date Fix: Return #NUM! if a result that works cannot be found after max iteration tries Fix: Correct DocBlocks for XIRR & XNPV Add: Validate XIRR with unit tests Closes #1177
This commit is contained in:
Paul Blacknell
Adrien Crivelli
parent
3fc2fa47de
commit
788f79c1bb
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@ -26,6 +26,7 @@ and this project adheres to [Semantic Versioning](https://semver.org).
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- Fix branch pruning handling of non boolean conditions [#1167](https://github.com/PHPOffice/PhpSpreadsheet/pull/1167)
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- Fix ODS Reader when no DC namespace are defined [#1182](https://github.com/PHPOffice/PhpSpreadsheet/pull/1182)
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- Fixed Functions->ifCondition for allowing <> and empty condition [#1206](https://github.com/PHPOffice/PhpSpreadsheet/pull/1206)
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- Validate XIRR inputs and return correct error values [#1120](https://github.com/PHPOffice/PhpSpreadsheet/issues/1120)
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## [1.9.0] - 2019-08-17
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@ -2148,7 +2148,7 @@ class Financial
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* The maturity date is the date when the Treasury bill expires.
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* @param int $price The Treasury bill's price per $100 face value
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*
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* @return float
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* @return float|mixed|string
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*/
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public static function TBILLYIELD($settlement, $maturity, $price)
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{
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@ -2183,6 +2183,23 @@ class Financial
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return Functions::VALUE();
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}
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/**
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* XIRR.
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*
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* Returns the internal rate of return for a schedule of cash flows that is not necessarily periodic.
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*
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* Excel Function:
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* =XIRR(values,dates,guess)
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*
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* @param float[] $values A series of cash flow payments
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* The series of values must contain at least one positive value & one negative value
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* @param mixed[] $dates A series of payment dates
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* The first payment date indicates the beginning of the schedule of payments
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* All other dates must be later than this date, but they may occur in any order
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* @param float $guess An optional guess at the expected answer
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*
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* @return float|mixed|string
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*/
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public static function XIRR($values, $dates, $guess = 0.1)
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{
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if ((!is_array($values)) && (!is_array($dates))) {
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@ -2195,11 +2212,28 @@ class Financial
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return Functions::NAN();
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}
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$datesCount = count($dates);
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for ($i = 0; $i < $datesCount; ++$i) {
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$dates[$i] = DateTime::getDateValue($dates[$i]);
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if (!is_numeric($dates[$i])) {
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return Functions::VALUE();
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}
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}
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if (min($dates) != $dates[0]) {
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return Functions::NAN();
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}
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// create an initial range, with a root somewhere between 0 and guess
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$x1 = 0.0;
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$x2 = $guess;
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$f1 = self::XNPV($x1, $values, $dates);
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if (!is_numeric($f1)) {
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return $f1;
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}
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$f2 = self::XNPV($x2, $values, $dates);
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if (!is_numeric($f2)) {
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return $f2;
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}
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for ($i = 0; $i < self::FINANCIAL_MAX_ITERATIONS; ++$i) {
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if (($f1 * $f2) < 0.0) {
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break;
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@ -2210,7 +2244,7 @@ class Financial
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}
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}
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if (($f1 * $f2) > 0.0) {
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return Functions::VALUE();
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return Functions::NAN();
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}
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$f = self::XNPV($x1, $values, $dates);
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@ -2247,15 +2281,15 @@ class Financial
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* =XNPV(rate,values,dates)
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*
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* @param float $rate the discount rate to apply to the cash flows
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* @param array of float $values A series of cash flows that corresponds to a schedule of payments in dates.
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* @param float[] $values A series of cash flows that corresponds to a schedule of payments in dates.
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* The first payment is optional and corresponds to a cost or payment that occurs at the beginning of the investment.
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* If the first value is a cost or payment, it must be a negative value. All succeeding payments are discounted based on a 365-day year.
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* The series of values must contain at least one positive value and one negative value.
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* @param array of mixed $dates A schedule of payment dates that corresponds to the cash flow payments.
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* @param mixed[] $dates A schedule of payment dates that corresponds to the cash flow payments.
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* The first payment date indicates the beginning of the schedule of payments.
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* All other dates must be later than this date, but they may occur in any order.
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*
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* @return float
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* @return float|mixed|string
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*/
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public static function XNPV($rate, $values, $dates)
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{
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@ -2273,7 +2307,7 @@ class Financial
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return Functions::NAN();
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}
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if ((min($values) > 0) || (max($values) < 0)) {
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return Functions::VALUE();
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return Functions::NAN();
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}
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$xnpv = 0.0;
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@ -501,13 +501,12 @@ class FinancialTest extends TestCase
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* @dataProvider providerXIRR
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*
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* @param mixed $expectedResult
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* @param mixed $message
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*/
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public function testXIRR($expectedResult, ...$args)
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public function testXIRR($expectedResult, $message, ...$args)
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{
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$this->markTestIncomplete('TODO: This test should be fixed');
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$result = Financial::XIRR(...$args);
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self::assertEquals($expectedResult, $result, '', 1E-8);
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self::assertEquals($expectedResult, $result, $message, Financial::FINANCIAL_PRECISION);
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}
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public function providerXIRR()
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@ -1,71 +1,62 @@
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<?php
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// values, dates, guess, Result
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// result, message, values, dates, guess
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return [
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[
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[
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-10000,
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[
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2750,
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4250,
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3250,
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2750,
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46000,
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],
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],
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[
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'2008-01-01',
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[
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'2008-03-01',
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'2008-10-30',
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'2009-02-15',
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'2009-04-01',
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],
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],
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0.10000000000000001,
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0.373362535,
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'#NUM!',
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'If values and dates contain a different number of values, returns the #NUM! error value',
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[4000, -46000],
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['01/04/2015'],
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0.1
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],
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[
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[
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-100,
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[
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20,
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40,
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25,
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],
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],
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[
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'2010-01-01',
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[
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'2010-04-01',
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'2010-10-01',
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'2011-02-01',
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],
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],
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-0.3024,
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'#NUM!',
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'Expects at least one positive cash flow and one negative cash flow; otherwise returns the #NUM! error value',
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[-4000, -46000],
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['01/04/2015', '2019-06-27'],
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0.1
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],
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[
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[
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-100,
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[
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20,
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40,
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25,
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8,
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15,
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],
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],
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[
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'2010-01-01',
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[
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'2010-04-01',
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'2010-10-01',
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'2011-02-01',
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'2011-03-01',
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'2011-06-01',
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],
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],
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0.20949999999999999,
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'#NUM!',
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'Expects at least one positive cash flow and one negative cash flow; otherwise returns the #NUM! error value',
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[4000, 46000],
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['01/04/2015', '2019-06-27'],
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0.1
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],
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[
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'#VALUE!',
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'If any number in dates is not a valid date, returns the #VALUE! error value',
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[4000, -46000],
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['01/04/2015', '2019X06-27'],
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0.1
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],
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[
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'#NUM!',
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'If any number in dates precedes the starting date, XIRR returns the #NUM! error value',
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[1893.67, 139947.43, 52573.25, 48849.74, 26369.16, -273029.18],
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['2019-06-27', '2019-06-20', '2019-06-21', '2019-06-24', '2019-06-27', '2019-07-27'],
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0.1
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],
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[
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0.137963527441025,
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'XIRR calculation #1 is incorrect',
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[139947.43, 1893.67, 52573.25, 48849.74, 26369.16, -273029.18],
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['2019-06-20', '2019-06-27', '2019-06-21', '2019-06-24', '2019-06-27', '2019-07-27'],
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0.1
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],
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[
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0.09999999,
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'XIRR calculation #2 is incorrect',
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[100.0, -110.0],
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['2019-06-12', '2020-06-11'],
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0.1
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],
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[
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'#NUM!',
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'Can\'t find a result that works after FINANCIAL_MAX_ITERATIONS tries, the #NUM! error value is returned',
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[139947.43, 1893.67, 52573.25, 48849.74, 26369.16, -273029.18],
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['2019-06-20', '2019-06-27', '2019-06-21', '2019-06-24', '2019-06-27', '2019-07-27'],
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0.00000
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],
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];
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