@appraised/node-irr

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) => { days: number, rate: 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 as 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.

Helper Functions

convertRate

export enum RateInterval {
  Day = 'day',
  Week = 'week',
  Month = 'month',
  Year = 'year',
}
const convertRate: (rate: number, toInterval: RateInterval | number, fromInterval: RateInterval | number = RateInterval.Day) => number

const { convertRate } = require('node-irr')

const rate = 0.0004 // ~ 0.04% (day)
const annualRate = convertRate(rate, 'year') // ~15.7%
// or
const annualRate = convertRate(rate, 365) // ~15.7%