## [cc7e24]: / financial / inst / mirr.m  Maximize  Restore  History

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48``` ```## Copyright (C) 2008 Bill Denney ## ## This program is free software; you can redistribute it and/or modify it under ## the terms of the GNU General Public License as published by the Free Software ## Foundation; either version 3 of the License, or (at your option) any later ## version. ## ## This program is distributed in the hope that it will be useful, but WITHOUT ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more ## details. ## ## You should have received a copy of the GNU General Public License along with ## this program; if not, see . ## -*- texinfo -*- ## @deftypefn {Function File} {@var{return} =} mirr (@var{cashflow}, @var{finrate}, @var{reinvestrate}) ## Compute the modified internal rate of return. ## Take periodic @var{cashflow}s as a vector and the finance rate, ## @var{finrate}, for negative cash flows and a reinvestment rate, ## @var{reinvestrate}, for positive cash flows. ## @seealso{irr, effrr, nomrr, pvvar, xirr} ## @end deftypefn ## Algorithm from ## http://en.wikipedia.org/wiki/Modified_Internal_Rate_of_Return function rate = mirr (flow, finrate, reinvestrate) if (nargin != 3) print_usage (); endif posflow = zeros (size (flow)); negflow = zeros (size (flow)); mask = flow >= 0; posflow(mask) = flow(mask); negflow(!mask) = flow(!mask); n = numel (flow); rate = (-npv (reinvestrate, posflow)*(1+reinvestrate)^n/ (npv (finrate, negflow)*(1+finrate)))^(1/(n-1))-1; endfunction ## Tests %!assert (mirr ([-100000 20000 -10000 30000 38000 50000], 0.09, 0.12), 0.0832, 0.00005) ```