pyxirr 0.2.1

Rust-powered collection of financial functions.

PyXIRR

Rust-powered collection of financial functions.

Features:

• correct
• blazingly fast
• works with iterators
• no external dependencies

Installation

pip install pyxirr

Benchmarks

Rust implementation has been tested against existing xirr package (uses scipy.optimize under the hood) and the implementation from the Stack Overflow (pure python).

Implementation	Sample size	Execution time
pyxirr (Rust)	100	45.89 us
xirr (scipy)	100	790.76 us
pure Python	100	14.37 ms
pyxirr (Rust)	1000	404.03 us
xirr (scipy)	1000	3.47 ms
pure Python	1000	35.97 ms
pyxirr (Rust)	10000	3.58 ms
xirr (scipy)	10000	28.04 ms
pure Python	10000	24.23 s

PyXIRR is ~10-20x faster than other solutions!

Usage

xirr

Function signature:

# You have two options:
# 1. Two iterables for dates and amounts
# 2. Single iterable of tuples (date, amount)

DateLike = Union[datetime.date, datetime.datetime]
Amount = Union[int, float, Decimal]

def xirr(
    dates: Union[Iterable[DateLike], Iterable[Tuple[DateLike, Amount]]]
    amounts Optional[Iterable[Amount]] = None
    guess: Optional[float] = None
)

Example:

from datetime import date
from pyxirr import xirr

dates = [date(2020, 1, 1), date(2020, 2, 1)]
amounts = [-100, 125]

xirr(dates, amounts)

# list of tuples is also possible:
xirr(zip(dates, amounts))

xnpv

Function signature:

# similar to xirr: iterable of tuples or two iterables

def xnpv(
    rate: float,
    dates: Union[Iterable[DateLike], Iterable[Tuple[DateLike, Amount]]]
    amounts Optional[Iterable[Amount]] = None
)

Example:

from pyxirr import xnpv

xnpv(0.1, dates, amounts)
xnpv(0.1, zip(dates, amounts))

Development

Running tests with pyo3 is a bit tricky. In short, you need to compile your tests without extension-module feature to avoid linking errors. See the following issues for the details: #341, #771.

If you are using pyenv, make sure you have the shared library installed (check for ${PYENV_ROOT}/versions/<version>/lib/libpython3.so file).

$ export PYO3_PYTHON_VERSION=3.8.6
$ PYTHON_CONFIGURE_OPTS="--enable-shared" pyenv install ${PYO3_PYTHON_VERSION}

# running tests
$ LD_LIBRARY_PATH=${PYENV_ROOT}/versions/${PYO3_PYTHON_VERSION}/lib cargo tests --no-default-features --features tests
# running benches
$ LD_LIBRARY_PATH=${PYENV_ROOT}/versions/${PYO3_PYTHON_VERSION}/lib cargo bench --no-default-features --features tests