financial python library that has xirr and xnpv function?

Question

numpy has irr and npv function, but I need xirr and xnpv function.

this link points out that xirr and xnpv will be coming soon. http://www.projectdirigible.com/documentation/spreadsheet-functions.html#coming-soon

Is there any python library that has those two functions? tks.

Answer 1

Here is one way to implement the two functions.

import scipy.optimize

def xnpv(rate, values, dates):
    '''Equivalent of Excel's XNPV function.

    >>> from datetime import date
    >>> dates = [date(2010, 12, 29), date(2012, 1, 25), date(2012, 3, 8)]
    >>> values = [-10000, 20, 10100]
    >>> xnpv(0.1, values, dates)
    -966.4345...
    '''
    if rate <= -1.0:
        return float('inf')
    d0 = dates[0]    # or min(dates)
    return sum([ vi / (1.0 + rate)**((di - d0).days / 365.0) for vi, di in zip(values, dates)])

def xirr(values, dates):
    '''Equivalent of Excel's XIRR function.

    >>> from datetime import date
    >>> dates = [date(2010, 12, 29), date(2012, 1, 25), date(2012, 3, 8)]
    >>> values = [-10000, 20, 10100]
    >>> xirr(values, dates)
    0.0100612...
    '''
    try:
        return scipy.optimize.newton(lambda r: xnpv(r, values, dates), 0.0)
    except RuntimeError:    # Failed to converge?
        return scipy.optimize.brentq(lambda r: xnpv(r, values, dates), -1.0, 1e10)