Merge pull request #11 from tarioch/bugfix/flip_case

correct left border for brentq algorithm needs to be less than -1, fi…
tarioch · Jul 29, 2020 · 32f9ef6 · 32f9ef6
2 parents b3d9294 + 217ff4a
commit 32f9ef6
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diff --git a/src/xirr/math.py b/src/xirr/math.py
@@ -1,5 +1,6 @@
 import scipy.optimize
 
+
 DAYS_PER_YEAR = 365.0
 
 #
@@ -35,21 +36,21 @@ def xirr(valuesPerDate):
     >>> from datetime import date
     >>> valuesPerDate = {date(2019, 12, 31): -80005.8, date(2020, 3, 12): 65209.6}
     >>> xirr(valuesPerDate)
-    -0.6453638827247169
+    -0.645363882724717
     '''
     if not valuesPerDate or len(valuesPerDate) < 2:
         return None
 
-    if(all(v >= 0 for v in valuesPerDate.values())):
+    if all(v >= 0 for v in valuesPerDate.values()):
         return -float("inf")
-    if(all(v <= 0 for v in valuesPerDate.values())):
+    if all(v <= 0 for v in valuesPerDate.values()):
         return float("inf")
 
     result = None
     try:
         result = scipy.optimize.newton(lambda r: xnpv(valuesPerDate, r), 0)
     except (RuntimeError, OverflowError):    # Failed to converge?
-        result = scipy.optimize.brentq(lambda r: xnpv(valuesPerDate, r), -1.0, 1e20)
+        result = scipy.optimize.brentq(lambda r: xnpv(valuesPerDate, r), -0.999999999999999, 1e20)
 
     if not isinstance(result, complex):
         return result

diff --git a/tests/test_math.py b/tests/test_math.py
@@ -17,7 +17,9 @@
     ({'2017-12-16': -2236.3994659663, '2017-12-26': -47.3417585212, '2017-12-29': -46.52619316339632, '2017-12-31': 10424.74612565936, '2017-12-20': -13.077972551952}, 1.2238535289956518e+16),
     ({'2018-05-09': -200, '2018-06-09': 30, '2018-11-09': 50, '2018-12-09': 20}, -0.8037),
     ({'2011-01-01': -1, '2011-01-02': 0, '2012-01-01': -1}, float("inf")),
-    ({'2011-01-01': 1, '2011-01-02': 0, '2012-01-01': 1}, -float("inf"))
+    ({'2011-01-01': 1, '2011-01-02': 0, '2012-01-01': 1}, -float("inf")),
+    ({'2011-07-01': -10000, '2014-07-01': 1}, -0.9535),
+    ({'2011-07-01': 10000, '2014-07-01': -1}, -0.9535),
 ])
 def test_xirr(valuesPerDateString, expected):
     valuesPerDate = {datetime.fromisoformat(k).date(): v for k, v in valuesPerDateString.items()}
@@ -37,6 +39,7 @@ def test_xirr(valuesPerDateString, expected):
     ({'2019-12-31': -100, '2020-03-05': 100}, None),
     ({'2019-12-31': -100, '2020-03-05': 1000}, None),
     ({'2018-05-09': -200, '2018-06-09': 30, '2018-11-09': 50, '2018-12-09': 20}, -0.8037),
+    ({'2011-01-01': 1, '2011-01-02': 0, '2012-01-01': 1}, None),
 ])
 def test_cleanXirr(valuesPerDateString, expected):
     valuesPerDate = {datetime.fromisoformat(k).date(): v for k, v in valuesPerDateString.items()}