[R] Secant Method Convergence (Method to replicate Excel XIRR/IRR)

[Berend Hasselman]

I couldn't resist the temptation.

Here is the example using the R package nleqslv.

<script>
library(nleqslv)

npv <- function (irr, cashFlow, times) sum(cashFlow / (1 + irr)^times)

CF <- c(-1000,500,500,500,500,500)
dates <-
c("1/1/2001","2/1/2002","3/1/2003","4/1/2004","5/1/2005","6/1/2006")
cfDate <- as.Date(dates,format="%m/%d/%Y")
times <- as.numeric(difftime(cfDate, cfDate[1], units="days"))/365.24

irr.start <- 0.05
# default Broyden ==> secant like method
nleqslv(irr.start, npv, control=list(trace=1), cashFlow=CF, times=times)
</script>

/Berend
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