Internal rate of return of a profit signature — IRR_profit • mqriskR

Computes the internal rate of return (IRR), defined as the rate \(r\) for which the net present value is zero.

Usage

IRR_profit(Pi, interval = c(0, 1), tol = .Machine$double.eps^0.5)

Arguments

Pi: Profit signature vector.
interval: Numeric vector of length 2 giving the search interval for uniroot().
tol: Tolerance passed to uniroot().

Value

Numeric scalar.

Examples

Pi <- c(-15.00, 8.42, 8.39, 8.58)
IRR_profit(Pi)
#> [1] 0.3163508