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xirr/xnpv take a :basis option selecting how the year fraction between two dates is measured. Five conventions ship built in: actual_365 (the default), actual_360, actual_actual (ISDA), thirty_360 (US/NASD), and thirty_e_360 (Eurobond). :basis also accepts any module implementing the new Finance.DayCount behaviour, so a calendar-based convention this dependency-free library can't carry — Brazilian Business/252, say — can live in the caller's app instead. The default actual_365 reproduces the previous Date.diff/365, so existing results are unchanged. Reference year fractions are cross-checked against Excel YEARFRAC. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01AVibXT2w1dEdVtMHqffFKn
xnfv/2,3 (+ xnfv!) is the net future value of dated cash flows — the mirror of xnpv, valuing them at the latest date rather than the earliest. conventional?/1 reports whether a series changes sign exactly once, so it has a single unambiguous IRR; a false flags that it may admit several valid rates before the caller solves for one. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01AVibXT2w1dEdVtMHqffFKn
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coverage: 100.0%. remained the same — 1.7.0 into main |
- year_fraction is now /3 (from, to, opts): conventions that need context — Actual/Actual ICMA's coupon boundaries, 30E/360 ISDA's maturity carve-out — fit later without a breaking change. The built-in conventions ignore opts. - Name the conventions precisely: actual_actual is Actual/Actual (ISDA), not Excel's basis-1 average-year method; thirty_360 is basic US/NASD with no end-of-February rule; thirty_e_360's Feb 28 -> Mar 1 counts 3 days (doctest'd). - Pin the ACT/ACT per-year sum with a multi-year leap-straddling test. - The business/252 recipe references ex_tempo (not the unrelated `tempo` package) and materializes a static ANBIMA business-day set. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01AVibXT2w1dEdVtMHqffFKn
- The CashFlow moduledoc and xnpv docs described Actual/365 as fixed; it is the default, selectable via :basis. xnpv/3's doc and the :basis schema doc now name :basis and xnfv. - Under a 30/360 basis two distinct dates can share a period and merge; the normalize comment and a DayCount note now say so. - Document xnfv's forward-compounding overflow, split the DayCount type into builtin | module, and pin conventional?([]) / [0, 0]. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01AVibXT2w1dEdVtMHqffFKn
Options:
- Four compiled schemas (dated rate, rate, dated value, value): each function
validates only the options it uses, so an inapplicable option — :basis on
periodic irr, :guess on xnpv or a Bonds metric — raises instead of being
silently ignored. npv validates options before rejecting empty data.
- :precision is 0..15 in the Returns and amortization schemas too, and
Finance.option includes {:basis, _}.
Behavior:
- xnfv returns {:error, :undefined} when forward compounding overflows.
- The Returns cash-flow metrics coerce amounts via Shared.to_amount, so
Decimal and Money inputs work there like they do in CashFlow.
Tests: Decimal/Money value-transparency property; cross-basis contracts
(irr == xirr, xnfv/xnpv ratio, batch with basis + Brent together); a 30/360
Feb-29 no-EOM pin; fractional bond years.
Docs: restore the 1.6.1 CHANGELOG heading; README pins ~> 1.7 and gains
DayCount, xnfv/conventional?, and :undefined in the error table; ExDoc gets
source_ref and module groups; the first xirr doctest shows a simple 20% rate.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01AVibXT2w1dEdVtMHqffFKn
Cases drawn from other XIRR/financial libraries' issue trackers, pinned so a solver or day-count change can't silently regress them: - XIRR: java-xirr #5b (a yield below -83%) and #20 (a series with no real IRR, which returns a clean :did_not_converge where java-xirr spun to its cap). - DayCount: the Actual/Actual (ISDA) 2006 gold values, and a 30/360 case pinning that we follow Excel DAYS360 rather than the NASD end-of-February rule. - Bonds: a discounted zero-coupon yield that QuantLib #256 underestimated. - TVM.rate: the 30-year low-rate loan from POI bug 65988, Microsoft's 48-month example, and a deep-negative guess-selected root. - IRR: the 46-flow near-zero-rate series POI bug 64137 could not converge. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01AVibXT2w1dEdVtMHqffFKn
tubedude
marked this pull request as draft
July 7, 2026 13:48
tubedude
marked this pull request as ready for review
July 7, 2026 13:48
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xirr/xnpv take a :basis option selecting how the year fraction between two dates
is measured. Five conventions ship built in: actual_365 (the default), actual_360,
actual_actual (ISDA), thirty_360 (US/NASD), and thirty_e_360 (Eurobond).
:basis also accepts any module implementing the new Finance.DayCount behaviour, so
a calendar-based convention this dependency-free library can't carry — Brazilian
Business/252, say — can live in the caller's app instead.
The default actual_365 reproduces the previous Date.diff/365, so existing results
are unchanged. Reference year fractions are cross-checked against Excel YEARFRAC.
Co-Authored-By: Claude Opus 4.8 (1M context) noreply@anthropic.com
Claude-Session: https://claude.ai/code/session_01AVibXT2w1dEdVtMHqffFKn