Formula of Xirr

According to XIRR function openoffice documentation (formula is same as in excel) you need to solve for XIRR variable in the following f(xirr) equation:

You can calculate xirr value by:

 class xirr
{
public const double tol = 0.001;
public delegate double fx(double x);

public static fx composeFunctions(fx f1, fx f2) {
return (double x) => f1(x) + f2(x);
}

public static fx f_xirr(double p, double dt, double dt0) {
return (double x) => p*Math.Pow((1.0+x),((dt0-dt)/365.0));
}

public static fx df_xirr(double p, double dt, double dt0) {
return (double x) => (1.0/365.0)*(dt0-dt)*p*Math.Pow((x+1.0),(((dt0-dt)/365.0)-1.0));
}

public static fx total_f_xirr(double[] payments, double[] days) {
fx resf = (double x) => 0.0;

for (int i = 0; i < payments.Length; i++) {
resf = composeFunctions(resf,f_xirr(payments[i],days[i],days[0]));
}

return resf;
}

public static fx total_df_xirr(double[] payments, double[] days) {
fx resf = (double x) => 0.0;

for (int i = 0; i < payments.Length; i++) {
resf = composeFunctions(resf,df_xirr(payments[i],days[i],days[0]));
}

return resf;
}

public static double Newtons_method(double guess, fx f, fx df) {
double x0 = guess;
double x1 = 0.0;
double err = 1e+100;

while (err > tol) {
x1 = x0 - f(x0)/df(x0);
err = Math.Abs(x1-x0);
x0 = x1;
}

return x0;
}

public static void Main (string[] args)
{
double[] payments = {-6800,1000,2000,4000}; // payments
double[] days = {01,08,16,25}; // days of payment (as day of year)
double xirr = Newtons_method(0.1,
total_f_xirr(payments,days),
total_df_xirr(payments,days));

Console.WriteLine("XIRR value is {0}", xirr);
}
}

Reference : http://stackoverflow.com/questions/5179866/xirr-calculation