Modern Finance MoneyWeightedReturn

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MoneyWeightedReturn

Returns the dated internal rate of return of contributions and the closing value.

Syntax

MoneyWeightedReturn( flows( ), terminalValue, terminalDate, basis )

Examples

#import "std/chrono"
#import "std/money"
using money, chrono

'' The dated internal rate of return of the contributions, with the
'' closing value appended.  It measures the INVESTOR -- unlike a
'' time-weighted return, it DOES reflect when money went in.
dim as CashFlow f( 0 to 1 )
f( 0 ) = CashFlowMake( DecimalParse( "-10000" ).Value( ), LocalDate( 2026, 1, 1 ) )
f( 1 ) = CashFlowMake( DecimalParse( "-5000" ).Value( ),  LocalDate( 2026, 7, 1 ) )

var m = MoneyWeightedReturn( f( ), DecimalParse( "16500" ).Value( ), _
                             LocalDate( 2027, 1, 1 ), DAYCOUNT_ACTUAL_365_FIXED )
print m.IsOk( )                          '' true
print ( m.Value( ) > 0.0 )               '' -1 (an integer comparison)

'' An invalid terminal date is refused rather than guessed at.
print MoneyWeightedReturn( f( ), DecimalParse( "16500" ).Value( ), _
                           LocalDate.Invalid( ), _
                           DAYCOUNT_ACTUAL_365_FIXED ).Failure( ).Message( )

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Library: Finance
Category: Finance
Documented under: Nothing Becomes A Keyword
Source: pkg/std/money/finport.tiko in the tiko repository.