Integrated PR for all open issues

src/ExcelFinancialFunctions/bonds.fs

@@ -148,7 +148,7 @@ module internal Bonds =
         accrIntM issue settlement rate par basis
     let calcAccrInt issue firstInterest settlement rate par (frequency:Frequency) basis (calcMethod:AccrIntCalcMethod) =
         (settlement > issue)            |> elseThrow "settlement must be after issue"
-        (firstInterest > settlement)    |> elseThrow "firstInterest must be after settlement"
+        (firstInterest >= settlement)   |> elseThrow "firstInterest must be after settlement"
         (rate > 0.)                     |> elseThrow "rate must be more than 0"
         (par > 0.)                      |> elseThrow "par must be more than 0"
         accrInt issue firstInterest settlement rate par frequency basis calcMethod
@@ -158,6 +158,11 @@ module internal Bonds =
         (yld > 0.)                      |> elseThrow "yld must be more than 0"
         (redemption > 0.)               |> elseThrow "redemption must be more than 0"
         price settlement maturity rate yld redemption (float (int frequency)) basis
+    let calcPriceAllowNegativeYield settlement maturity rate yld redemption (frequency:Frequency) basis =
+        (maturity > settlement)         |> elseThrow "maturity must be after settlement"
+        (rate >= 0.)                    |> elseThrow "rate must not be negative"
+        (redemption > 0.)               |> elseThrow "redemption must be more than 0"
+        price settlement maturity rate yld redemption (float (int frequency)) basis
     let calcYield settlement maturity rate pr redemption (frequency:Frequency) basis =
         (maturity > settlement)         |> elseThrow "maturity must be after settlement"
         (rate >= 0.)                    |> elseThrow "rate must not be negative"

src/ExcelFinancialFunctions/common.fs

@@ -112,7 +112,7 @@ module internal Common =
     // If the result is sensible (it exist and has the same sign as guess), then return it, else try bisection.
     // I'm sure more complex way to pick algos exist (i.e. Brent's method). But I favor simplicity here ...         
     let findRoot f guess =
-        let precision = 0.0000001 // Excel precision on this, from docs
+        let precision = 0.000001 // Excel precision on this, from docs
         let newtValue = newton f guess 0 precision
         if newtValue.IsSome && sign guess = sign newtValue.Value
         then newtValue.Value

src/ExcelFinancialFunctions/tvm.fs

@@ -44,6 +44,13 @@ module internal Tvm =
             - (fv + pv) / pmt
         else
             nper r pmt pv fv pd
+    let calcRri nper pv fv =
+        ( nper > 0. )                  |> elseThrow "nper must be > 0"
+        if fv = pv then 0.
+        else
+            ( pv <> 0. )               |> elseThrow "pv must be non-zero unless fv is zero"
+            ( fv/pv >= 0. )            |> elseThrow "fv and pv must have same sign"
+            ( pow (fv/pv) (1.0/nper) ) - 1.
     let calcRate nper pmt pv fv pd guess =
         let haveRightSigns x y z =
             not( sign x = sign y && sign y = sign z) &&
@@ -63,4 +70,9 @@ module internal Tvm =
     let calcFvSchedule (pv:float) interests =
         let mutable result = pv
         for i in interests do result <- result * (1. + i)
-        result
+        result
+    let calcPduration rate pv fv =
+        ( rate > 0. )               |> elseThrow "rate must be positive"
+        ( pv > 0. )                 |> elseThrow "pv must be positive"
+        ( fv > 0. )                 |> elseThrow "fv must be positive"
+        ( (log fv) - (log pv) ) / log ( 1. + rate)

src/ExcelFinancialFunctions/wrapperdotnettype.fs

@@ -233,6 +233,12 @@ type Financial =
     static member Price (settlement, maturity, rate, yld, redemption, frequency, basis) =
         calcPrice settlement maturity rate yld redemption frequency basis
 
+    /// The price per $100 face value of a security that pays periodic interest
+    /// This is the same calculation as "Price", but allows a negative yield. Excel does not allow negative yield, so this is an addition to the Excel-
+    /// compatible UI
+    static member PriceAllowNegativeYield (settlement, maturity, rate, yld, redemption, frequency, basis) =
+        calcPriceAllowNegativeYield settlement maturity rate yld redemption frequency basis
+
     /// <a target="_blank" href="https://support.microsoft.com/en-us/office/pricedisc-function-d06ad7c1-380e-4be7-9fd9-75e3079acfd3">PRICEDISC function</a>
     /// The price per $100 face value of a discounted security 
     static member PriceDisc (settlement, maturity, discount, redemption, basis) =
@@ -343,4 +349,13 @@ type Financial =
     /// Calculates the fraction of the year represented by the number of whole days between two dates - not a financial function
     static member YearFrac (startDate, endDate, basis) =
         calcYearFrac startDate endDate basis    
-
+
+    /// <a target="_blank" href="https://support.microsoft.com/en-us/office/rri-function-6f5822d8-7ef1-4233-944c-79e8172930f4">RRI function</a>
+    /// Returns an equivalent interest rate for the growth of an investment
+    static member Rri (nper, pv, fv) =
+        calcRri nper pv fv
+
+    /// <a target="_blank" href="https://support.microsoft.com/en-us/office/pduration-function-44f33460-5be5-4c90-b857-22308892adaf">PDURATION function</a>
+    /// Returns the number of periods required by an investment to reach a specified value.
+    static member Pduration (rate, pv, fv) =
+        calcPduration rate pv fv

tests/ExcelFinancialFunctions.Tests/crosstests.fs

@@ -3,11 +3,85 @@
 namespace Excel.FinancialFunctions.Tests
 
 open NUnit.Framework
+open System.IO
+open System
 
 [<SetCulture("en-US")>]
 module CrossTests = 
     open Excel.FinancialFunctions
 
+    // I am prototyping a new way of doing cross tests. The idea is to let the NUnit framework
+    // do more of the work. So we read in the test data into a TestCaseData object, and then 
+    // let NUnit work with that as normal.
+    //
+    // Also these files will be slightly different. They'll have a header, because I exported
+    // them from Excel, and they'll have .csv file extension.
+
+    let readTestCaseData fname goodcases =
+        Path.Combine(__SOURCE_DIRECTORY__, "testdata", fname + ".csv")
+        |> File.ReadLines
+        |> Seq.tail // Skip header
+        |> Seq.filter (fun line -> not (String.IsNullOrEmpty line))
+        |> Seq.filter (fun line -> line.Contains("#NUM!") <> goodcases )
+        |> Seq.map (fun line -> line.Split [| ',' |] )
+        |> Seq.map TestCaseData
+
+    let inline shouldEqual exp act =
+        Assert.AreEqual(exp, float act, PRECISION)
+
+    let inline elseThrow s c = if not(c) then failwith s
+
+    let pduration_testdata_fromfile =
+        readTestCaseData "pduration" true
+
+    [<TestCaseSource( nameof pduration_testdata_fromfile)>]
+    let pduration inputs =
+        let (param,expected) = parse4 inputs
+        Financial.Pduration param
+        |> shouldEqual expected
+
+    let pduration_failures_fromfile =
+        readTestCaseData "pduration" false
+
+    [<TestCaseSource( nameof pduration_failures_fromfile)>]
+    let pduration_fail inputs =
+        let (param,expected) = parse4 inputs
+        ( expected = 0.0 ) |> elseThrow "Failure test must not have an expected value"
+        Assert.Throws(fun () -> Financial.Pduration param |> ignore) |> ignore
+
+    let rri_testdata_fromfile =
+        readTestCaseData "rri" true
+
+    [<TestCaseSource( nameof rri_testdata_fromfile)>]
+    let rri inputs =
+        let (param,expected) = parse4 inputs
+        Financial.Rri param
+        |> shouldEqual expected
+
+    let rri_failures_fromfile =
+        readTestCaseData "rri" false
+
+    [<TestCaseSource( nameof rri_failures_fromfile)>]
+    let rri_fail inputs =
+        let (param,expected) = parse4 inputs
+        ( expected = 0.0 ) |> elseThrow "Failure test must not have an expected value"
+        Assert.Throws(fun () -> Financial.Rri param |> ignore) |> ignore
+
+    // Prices for negative yielding bonds match reverse-figured Excel results to 1e-6 until yields get lower than -0.05%
+    // Down to -1.0%, the difference is usually pennies. Once the yield reaches -10%, the difference can be up to $150, but let's hope
+    // we never get there!
+    //
+    // See the file yieldnegativefails.csv for the cases which fail
+
+    let yieldnegative_testdata_fromfile =
+        readTestCaseData "yieldnegative" true
+
+    [<TestCaseSource( nameof yieldnegative_testdata_fromfile)>]
+    let yieldnegative inputs =
+        let (param,expected) = parse8 inputs
+        Financial.PriceAllowNegativeYield param
+        |> shouldEqual expected
+
     [<Test>]
     let accrint() = runTests "accrint" parse8 Financial.AccrInt
 

tests/ExcelFinancialFunctions.Tests/spottests.fs

@@ -15,6 +15,13 @@ module SpotTests =
         Financial.Yield param
         |> shouldEqual (sprintf "YieldIssue8(%A)" param) -0.67428578540657702
 
+    [<Test>]
+    let XirrIssue27() =
+        let values = [ -177900000.; 8799805.85 ] 
+        let dates = [ DateTime(2020,7,3); DateTime(2021,2,25) ]
+        Financial.XIrr (values, dates)
+        |> shouldEqual (sprintf "XirrIssue27(%A,%A)" values dates) -0.990247691899517
+
     [<Test>]
     let spotYield() =
         let param = 
@@ -30,7 +37,7 @@ module SpotTests =
         |> shouldEqual (sprintf "xnpv(%A)" param) 1.375214
 
     [<Test>]
-    [<Ignore("This test fails intermittently")>]
+    [<Explicit("This test fails intermittently")>]
     let ``duration shouldn't be greater than maturity``() =
         fsCheck (fun (sd: DateTime) yrs cpn' yld' freq basis ->
             let md, cpn, yld = sd.AddYears yrs, toFloat cpn', toFloat yld'
@@ -41,7 +48,7 @@ module SpotTests =
                   duration - float yrs < PRECISION))
 
     [<Test>]
-    [<Ignore("This test fails intermittently")>]
+    [<Explicit("This test fails intermittently")>]
     let ``mduration shouldn't be greater than maturity``() =
         fsCheck (fun (sd: DateTime) yrs cpn' yld' freq basis ->
             let md, cpn, yld = sd.AddYears yrs, toFloat cpn', toFloat yld'

tests/ExcelFinancialFunctions.Tests/testdata/accrint.test

@@ -1920,3 +1920,4 @@
 4/2/1999 12:00:00 AM,1/2/2002 12:00:00 AM,7/2/2000 12:00:00 AM,0.1,12030.34,Quarterly,UsPsa30_360,1503.7925
 3/4/1984 12:00:00 AM,3/4/1994 12:00:00 AM,4/5/1991 12:00:00 AM,0.07,120,Quarterly,UsPsa30_360,59.52333333333
 3/4/1984 12:00:00 AM,3/4/1994 12:00:00 AM,4/5/1991 12:00:00 AM,0.07,120,Quarterly,UsPsa30_360,59.52333333333
+8/15/2018 12:00:00 AM,2/15/2019 12:00:00 AM,2/15/2019 12:00:00 AM,0.02125,100,SemiAnnual,ActualActual,1.0625

tests/ExcelFinancialFunctions.Tests/testdata/pduration.csv

@@ -0,0 +1,24 @@
+rate,pv,fv,pduration
+0.01530947049973120,-5,-6,#NUM!
+-1.00000000000000000,-5,0,#NUM!
+0.00000000000000000,-1,-1,#NUM!
+0.00000000000000000,300,300,#NUM!
+0.10000000000000000,0,100,#NUM!
+0.10000000000000000,100,0,#NUM!
+0.02426318074098920,300,400,12
+0.24092317318260100,300,4000,12
+0.50341274654387500,300,40000,12
+0.01205888205231860,300,400,24
+0.11396731243901500,300,4000,24
+0.22613732776711200,300,40000,24
+0.00759931015463056,300,400,38
+0.07054185347032280,300,4000,38
+0.13741628093790000,300,40000,38
+0.98822504304098700,10000,2441880,8
+0.04663513939210560,5000,6000,4
+0.18920711500272100,5000,10000,4
+0.10000000000000000,250,275,1
+0.41421356237309500,250,500,2
+0.52118098430455700,250,880,3
+0.02500000000000000,2000,2200,3.85986616262266
+0.00208333333333333,1000,1200,87.60547641937140

tests/ExcelFinancialFunctions.Tests/testdata/rri.csv

@@ -0,0 +1,32 @@
+nper,pv,fv,rri
+0,300,400,#NUM!
+0,-1,-3,#NUM!
+1,-1,-3,2
+12,100,10,-0.174595815
+12,100,-90,#NUM!
+5,0,0,0
+5,-1,5,#NUM!
+5,10,10,0
+2,2,8,1
+2,8,2,-0.5
+2,8,0,-1
+2,0,10,#NUM!
+12,-5,-6,0.01530947
+1,-5,0,-1
+12,-1,-1,0
+12,300,300,0
+12,300,400,0.024263181
+12,300,4000,0.240923173
+12,300,40000,0.503412747
+24,300,400,0.012058882
+24,300,4000,0.113967312
+24,300,40000,0.226137328
+38,300,400,0.00759931
+38,300,4000,0.070541853
+38,300,40000,0.137416281
+8,10000,2441880,0.988225043
+4,5000,6000,0.046635139
+4,5000,10000,0.189207115
+1,250,275,0.1
+2,250,500,0.414213562
+3,250,880,0.521180984