You could look at how the same problem is dealt with in package "financial".
Paul Bivand 2008/8/1 Moshe Olshansky <[EMAIL PROTECTED]> > > You can use uniroot (see ?uniroot). > > As an example, suppose you have a $100 bond which pays 3% every half year (6% > coupon) and lasts for 4 years. Suppose that it now sells for $95. In such a > case your time intervals are 0,0.5,1,...,4 and the payoffs are: > -95,3,3,...,3,103. > To find internal rate of return you can do the following: > > > tim <- (0:8)/2 > > tim > [1] 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 > > pay <- 3 + 0*tim > > pay[1] <- -95 > > pay[9] <- 103 > > pay > [1] -95 3 3 3 3 3 3 3 103 > > f <- function(r) sum(pay*exp(-r*tim)) > > z <- uniroot(f,c(0,1)) > > z > $root > [1] 0.07329926 > > $f.root > [1] 0.01035543 > > $iter > [1] 5 > > $estim.prec > [1] 6.103516e-05 > > > So the internal rate of return is 0.07329926 (z$root) = 7.33% (continuously > compound). > > > --- On Fri, 1/8/08, Thomas E <[EMAIL PROTECTED]> wrote: > > > From: Thomas E <[EMAIL PROTECTED]> > > Subject: [R] Code to calculate internal rate of return > > To: r-help@r-project.org > > Received: Friday, 1 August, 2008, 2:05 AM > > Hi all. > > > > I am an R newbie and trying to grasp how the simple > > optimization routines in > > R work. Specifically, I would like some guidance on how to > > set up a code to > > calculate the internal rate of return on an investment > > project > > (http://en.wikipedia.org/wiki/Internal_rate_of_return). > > > > My main problem (I think) is that I want a generic code > > where N (number of > > periods) can be easily changed and set within the code, > > > > Hope this makes sense - any help appreciated !!! > > > > Thomas > > -- > > View this message in context: > > http://www.nabble.com/Code-to-calculate-internal-rate-of-return-tp18757967p18757967.html > > Sent from the R help mailing list archive at Nabble.com. > > > > ______________________________________________ > > R-help@r-project.org mailing list > > https://stat.ethz.ch/mailman/listinfo/r-help > > PLEASE do read the posting guide > > http://www.R-project.org/posting-guide.html > > and provide commented, minimal, self-contained, > > reproducible code. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
