Some times IRR can not find the right value.

Bug #1210010 reported by Teddyzhu
6
This bug affects 1 person
Affects Status Importance Assigned to Milestone
JQuantLib
New
High
Unassigned

Bug Description

Brent(AbstractSolver1D) solver will cross the -1 and then will cause IRR no meaning.

==================
Steps to Reproduce
==================
Sorry, I will forget the test data. We use this function to simulate the goal-seek feature of ms excel for IRR. And then find this issue.

======================
Additional Information
======================
Fix
File: CashFlows.java line 350:

         final Brent solver = new Brent();

+ if(Compounding.Compounded.equals(compounding)){
+ solver.setLowerBound( tolerance - 1 );
+ }

         solver.setMaxEvaluations(maxIterations);

Tags: general
Revision history for this message
Teddyzhu (teddyzhu) wrote :

This issue also exists in C++ version of QuantLib.

To post a comment you must log in.
This report contains Public information  
Everyone can see this information.

Other bug subscribers

Remote bug watches

Bug watches keep track of this bug in other bug trackers.