@prestamype/financial-functions/src/_lib/tir.js

Implementación de funciones financieras

export function bisection(flow) {
	const MAX_ITERATIONS = 100
	const PRECISION = 1E-9

	let min = 0.0
	let max = 1.0

	let i = 0
	let x, npv, factor

	while (i < MAX_ITERATIONS) {
		x = (min + max) / 2
		factor = x + 1.0

		npv = flow.slice().reverse().reduce( (c,a) => c/factor + a, 0)

		if (npv > 0) {
			min = x
		} else {
			max = x
		}

		if (Math.abs(max - min) <= 2*PRECISION) {
			// console.log(`converged after ${i} iterations`)
			return x
		}

		i++
	}

	return null
}

export function newton(flow, guess) {
	const MAX_ITERATIONS = 100
	const PRECISION = 1E-9

	let x0 = guess,
		i = 0
	let x1, factor, npv, npv_dot

	while (i < MAX_ITERATIONS) {
		factor = x0 + 1.0

		npv = flow.slice().reverse().reduce( (c,a) => c/factor + a, 0)
		npv_dot = flow.slice(1).reverse().reduce( (c,a,i) => c/factor - (i+1) * a, 0)

		x1 = x0 - npv/npv_dot

		if (Math.abs(x1 - x0) <= PRECISION) {
			// console.log(`converged after ${i} iterations`)
			return x1
		}

		x0 = x1
		i++
	}

	return null
}