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Improve current IRR implementation #1

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malexejev opened this issue May 14, 2018 · 0 comments

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malexejev commented May 14, 2018 •

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Especially consider cases of multiple roots.
As stated in http://www.utstat.utoronto.ca/~alexander/irr-soln.pdf, it may be a good idea to

modify equation into "canonical" form
- there is more that 1 form to experiment with, for example depending on the base date
- may also affect solver performance
add ndpv(x) > 0 condition on valid root, or "ascending curve" criterion
descend from the right side to find the largest valid root
first group and sum transactions by date to improve performance

But, before doing any work on this topic, I need to see how my bond pricing curves look like. Maybe its not yet an issue in my situation.

malexejev added the enhancement label

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