A collection of financial functions that I wrote while adding support for them to ClickHouse (PR #81599).
Header only library is provided in include/finfuns (finfuns::finfuns in CMakeLists)
Examples are provided in examples.
- Use
finfuns::finfunsCMake target in your project... - or directly include the headers from
include/finfuns
Example usage:
#include <finfuns/xirr.hpp>
using namespace finfuns;
//<
87BC
/span>...
std::vector<double> cashflows = {-10000, 2750, 4250, 3250, 2750};
std::vector<std::chrono::sys_days> dates = {2008y / 1 / 1, 2008y / 3 / 1, 2008y / 10 / 30, 2009y / 2 / 15, 2009y / 4 / 1};
auto guess = std::nullopt;
auto result = xirr<DayCountConvention::ACT_365F>(cashflows, dates, guess);
if (result.has_value()) [[likely]]
// use result.value()
else
// use result.error(), e.g. error_to_sv(result.error())cmake -B build -Dfinfuns_DEVELOPER_MODE=TRUE -Dfinfuns_BUILD_EXAMPLES=TRUE
cmake --build buildtemplate <IndexMode index_mode>
std::expected<double, NPVError> npv(double rate, std::span<const double> cashflows)Calculates the Net Present Value (NPV) of a series of cash flows assuming equal time intervals between each cash flow.
IndexMode::ZeroBasedvariant:
- Excel-compatible variant
IndexMode::OneBased:
std::expected<double, IRRError> irr(std::span<const double> cashflows, std::optional<double> guess)Calculates the Internal Rate of Return (IRR) for a series of cash flows occurring at regular intervals. IRR is the discount rate at which the Net Present Value (NPV) equals zero.
IRR attempts to solve the following equation:
template <DayCountConvention day_count, typename DateContainer>
std::expected<double, XNPVError> xnpv(double rate, std::span<const double> cashflows, DateContainer && dates)
// dates can be std::chrono::sys_days or int (e.g. days since epoch)Calculates the Extended Net Present Value (XNPV) for a series of cash flows occurring at irregular intervals. XNPV considers the specific timing of each cash flow when calculating present value.
XNPV equation for ACT_365F:
template <DayCountConvention day_count, typename DateContainer>
std::expected<double, XIRRError> xirr(std::span<const double> cashflows, DateContainer && dates, std::optional<double> guess)
// dates can be std::chrono::sys_days or int (e.g. days since epoch)Calculates the Extended Internal Rate of Return (XIRR) for a series of cash flows occurring at irregular intervals. XIRR is the discount rate at which the net present value (NPV) of all cash flows equals zero.
XIRR attempts to solve the following equation (example for ACT_365F):
enum class DayCountConvention : int32_t
{
ACT_365F,
ACT_365_25,
};