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我想找到内部收益率（IRR），基本上是使我的 NPV 函数变为零的“利率”，使用该optim函数。

我当前的 NPV 函数代码（有效）是：

npv <- function(rate, cf){
    r_v <- rep (rate,length (cf))
    t_v <- as.numeric (seq(1:length (cf)))
    pv <- cf * exp (-t_v*r_v)
    sum (pv)
}

我尝试使用以下optim功能：

InternalRateReturn <- optim(c(0,1), npv, cf = testcf2, gr = NULL, method = "L-BFGS-B", lower = -Inf, upper = Inf,control=list(), hessian = FALSE)

但它没有返回正确的答案，InternalRateReturn$par而不是使用uniroot下面的方法。

请问如何修改这段代码（重申一下，我只想优化函数中的速率，使npv函数npv等于零）？

使用的IRR函数uniroot如下：

irr1 <- function(cf) {
    uniroot(npv, c(0, 1), cf=cf)$root
}
4

2 回答 2

2

Matt Brigida有一个很酷的例子optim来计算 IRR

### IRR Function:  Takes a vector of payments and returns a list which includes the internal rate of return ($IRR) and possible word of warning ($beware) ----

irr <- function(x, period = 1, starting.value = .1){

### This should detect the number of sign changes.  Should correctly not warn if there are many negative cash flows (so long as there is only 1 change in sign).

    irr.func <- function(r){ ( sum(x / (1 + r)^{0:(length(x)-1)}) )^2 }
    result <- optim(par = starting.value, fn = irr.func, method = "Brent", lower = -1000000, upper = 1000000)

    ## detecting number of sign changes
    x.ge.0 <- 1 * (x >= 0)
    changes <- diff(x.ge.0)
    changes <- changes * changes
    num.changes <- sum(changes)

    if( num.changes > 1) {

        statement <- "Your cash flows change more than once -- so you may have multiple IRRs. This function will only return the first IRR it finds. To find the others, you can try different starting values.  However, note the IRR does not make sense if the signs change more than once (try Modified IRR or NPV)."
        value <- period * result$par
        return(list(beware = statement, IRR = value))

    } else {

        return(list(IRR = period * result$par))

    }
}

Matt 还有一个非常有用的函数，可以更现实地修改 IRR（不会对再投资率做出不合理的假设）

### Modified IRR (MIRR) Function:  Takes a vector of payments and returns the MIRR by ----

mirr <- function(x, period = 1, starting.value = .1, discount.rate = 0.1, investment.rate = 0.05){

    ## move cash flows
    ## negative
    cf.neg <- (x < 0) * x
    ## discounted
    pv.cf.neg <- cf.neg / (1 + discount.rate)^{0:(length(x)-1)}
    pv <- sum(pv.cf.neg)

    ## positive
    cf.pos <- (x > 0) * x
    fv.cf.pos <- cf.pos * (1 + investment.rate)^{0:(length(x)-1)}
    fv <- sum(fv.cf.pos)

    mirr.per.period <- ( fv / abs(pv) )^{1 / (length(x))} - 1

    return( period * mirr.per.period )
}
于 2017-12-22T01:34:45.823 回答
0

如果您只需要计算 IRR 或 NPV（或 MIRR），并且由于不清楚为什么您绝对需要使用optim，您可以简单地考虑包financial或FinCal而不是破解您自己的函数。像这样：

> require(financial)
> cf(c(-123400, 36200, 54800, 48100), i = 2.5)

Cash Flow Model

Flows:
      1       2       3       4 
-123400   36200   54800   48100 

 IRR%: 5.96 
 NPV Extremes at I%:  

   I%     NPV     NFV     NUS
1 2.5 8742.13 9414.32 3060.95

> require(FinCal)
> npv(c(-123400, 36200, 54800, 48100), r = 0.025)
[1] 8742.134
> irr(c(-123400, 36200, 54800, 48100))
[1] 0.05959787
于 2017-02-07T10:14:42.707 回答