mirror of https://github.com/apache/poi.git
Bug 65988: Rate function giving incorrect results
git-svn-id: https://svn.apache.org/repos/asf/poi/trunk@1899668 13f79535-47bb-0310-9956-ffa450edef68
This commit is contained in:
Yegor Kozlov
parent
05e8a16543
commit
542900693e
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@ -73,42 +73,49 @@ public class Rate implements Function {
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return new NumberEval(rate);
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}
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private double calculateRate(double nper, double pmt, double pv, double fv, double type, double guess) {
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//FROM MS http://office.microsoft.com/en-us/excel-help/rate-HP005209232.aspx
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int FINANCIAL_MAX_ITERATIONS = 20;//Bet accuracy with 128
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double FINANCIAL_PRECISION = 0.0000001;//1.0e-8
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private static double _g_div_gp(double r, double n, double p, double x, double y, double w) {
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double t1 = Math.pow(r+1, n);
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double t2 = Math.pow(r+1, n-1);
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return (y + t1*x + p*(t1 - 1)*(r*w + 1)/r) /
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(n*t2*x - p*(t1 - 1)*(r*w + 1)/(Math.pow(r, 2) + n*p*t2*(r*w + 1)/r +
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p*(t1 - 1)*w/r));
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}
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/**
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* Compute the rate of interest per period.
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*
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* The implementation was ported from the NumPy library,
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* see https://github.com/numpy/numpy-financial/blob/d02edfb65dcdf23bd571c2cded7fcd4a0528c6af/numpy_financial/_financial.py#L602
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*
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*
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* @param nper Number of compounding periods
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* @param pmt Payment
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* @param pv Present Value
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* @param fv Future value
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* @param type When payments are due ('begin' (1) or 'end' (0))
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* @param guess Starting guess for solving the rate of interest
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* @return rate of interest per period or NaN if the solution didn't converge
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*/
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static double calculateRate(double nper, double pmt, double pv, double fv, double type, double guess){
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double tol = 1e-8;
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double maxiter = 100;
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double rn = guess;
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int iter = 0;
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boolean close = false;
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while (iter < maxiter && !close){
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double rnp1 = rn - _g_div_gp(rn, nper, pmt, pv, fv, type);
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double diff = Math.abs(rnp1 - rn);
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close = diff < tol;
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iter += 1;
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rn = rnp1;
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double y, y0, y1, x0, x1, f = 0, i;
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double rate = guess;
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if (Math.abs(rate) < FINANCIAL_PRECISION) {
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y = pv * (1 + nper * rate) + pmt * (1 + rate * type) * nper + fv;
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} else {
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f = Math.pow(1 + rate, nper);
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y = pv * f + pmt * (1 / rate + type) * (f - 1) + fv;
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}
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y0 = pv + pmt * nper + fv;
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y1 = pv * f + pmt * (1 / rate + type) * (f - 1) + fv;
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// find root by Newton secant method
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i = x0 = 0.0;
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x1 = rate;
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while ((Math.abs(y0 - y1) > FINANCIAL_PRECISION) && (i < FINANCIAL_MAX_ITERATIONS)) {
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rate = (y1 * x0 - y0 * x1) / (y1 - y0);
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x0 = x1;
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x1 = rate;
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if (Math.abs(rate) < FINANCIAL_PRECISION) {
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y = pv * (1 + nper * rate) + pmt * (1 + rate * type) * nper + fv;
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} else {
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f = Math.exp(nper * Math.log(1 + rate));
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y = pv * f + pmt * (1 / rate + type) * (f - 1) + fv;
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}
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y0 = y1;
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y1 = y;
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++i;
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if(!close)
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return Double.NaN;
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else {
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return rn;
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}
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return rate;
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}
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/**
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@ -24,11 +24,13 @@ import org.apache.poi.hssf.usermodel.HSSFFormulaEvaluator;
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import org.apache.poi.hssf.usermodel.HSSFRow;
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import org.apache.poi.hssf.usermodel.HSSFSheet;
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import org.apache.poi.hssf.usermodel.HSSFWorkbook;
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import org.apache.poi.ss.usermodel.FormulaError;
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import org.junit.jupiter.api.Disabled;
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import org.junit.jupiter.api.Test;
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import static org.apache.poi.ss.util.Utils.addRow;
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import static org.apache.poi.ss.util.Utils.assertDouble;
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import static org.apache.poi.ss.util.Utils.assertError;
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/**
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* Test cases for RATE()
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@ -51,7 +53,110 @@ final class TestRate {
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}
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}
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// https://wiki.documentfoundation.org/Documentation/Calc_Functions/RATE
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@Test
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void testLibreOfficeExample1() throws Exception {
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try (HSSFWorkbook wb = new HSSFWorkbook()) {
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HSSFSheet sheet = wb.createSheet();
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HSSFRow row = sheet.createRow(0);
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HSSFFormulaEvaluator fe = new HSSFFormulaEvaluator(wb);
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HSSFCell cell = row.createCell(0);
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assertDouble(fe, cell, "RATE(3,-10,900,1,0,0.5)", -0.7634, 0.0001);
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}
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}
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// https://wiki.documentfoundation.org/Documentation/Calc_Functions/RATE
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@Test
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void testLibreOfficeExample2() throws Exception {
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try (HSSFWorkbook wb = new HSSFWorkbook()) {
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HSSFSheet sheet = wb.createSheet();
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HSSFRow row = sheet.createRow(0);
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HSSFFormulaEvaluator fe = new HSSFFormulaEvaluator(wb);
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HSSFCell cell = row.createCell(0);
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assertDouble(fe, cell, "RATE(3,-10,900)", -0.7563, 0.0001);
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}
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}
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/**
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* LibreOffice and Excel return #!NUM, but POI and NumPy return a result
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*/
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// https://wiki.documentfoundation.org/Documentation/Calc_Functions/RATE
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@Disabled("test fails - see related issue")
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@Test
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void testLibreOfficeInfeasibleSolution() throws Exception {
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try (HSSFWorkbook wb = new HSSFWorkbook()) {
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HSSFSheet sheet = wb.createSheet();
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HSSFRow row = sheet.createRow(0);
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HSSFFormulaEvaluator fe = new HSSFFormulaEvaluator(wb);
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HSSFCell cell = row.createCell(0);
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assertDouble(fe, cell, "RATE(3,10,900,1,0,0.5)", -0.7634, 0.0001);
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}
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}
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/**
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* See https://github.com/numpy/numpy-financial/blob/d02edfb65dcdf23bd571c2cded7fcd4a0528c6af/numpy_financial/tests/test_financial.py#L126
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*/
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@Test
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void testNumPyExample1() throws Exception {
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double[] expected = {-0.39920185, -0.02305873, -0.41818459, 0.26513414};
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double nper = 2;
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double pmt = 0;
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double[] pv = {-593.06, -4725.38, -662.05, -428.78};
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double[] fv = {214.07, 4509.97, 224.11, 686.29};
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try (HSSFWorkbook wb = new HSSFWorkbook()) {
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HSSFSheet sheet = wb.createSheet();
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HSSFRow row = sheet.createRow(0);
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HSSFFormulaEvaluator fe = new HSSFFormulaEvaluator(wb);
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for(int i = 0; i < pv.length; i++){
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String fmla = String.format("RATE(%2f, %2f, %2f, %2f, 0, 0.1)", nper, pmt, pv[i], fv[i]);
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HSSFCell cell = row.createCell(i);
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assertDouble(fe, cell, fmla, expected[i], 1e-8);
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}
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}
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}
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@Test
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void testNumPyExample2() throws Exception {
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try (HSSFWorkbook wb = new HSSFWorkbook()) {
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HSSFSheet sheet = wb.createSheet();
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HSSFRow row = sheet.createRow(0);
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HSSFFormulaEvaluator fe = new HSSFFormulaEvaluator(wb);
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HSSFCell cell = row.createCell(0);
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assertDouble(fe, cell, "RATE(10, 0, -3500, 10000.0, 0, 0.1)", 0.1106908537142689284704528100, 1E-6);
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}
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}
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/**
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* RATE will return NaN, if the Newton Raphson method cannot find a
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* feasible rate within the required tolerance or number of iterations.
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* This can occur if both `pmt` and `pv` have the same sign, as it is
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* impossible to repay a loan by making further withdrawls.
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*
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* See https://github.com/numpy/numpy-financial/blob/d02edfb65dcdf23bd571c2cded7fcd4a0528c6af/numpy_financial/tests/test_financial.py#L113
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*/
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@Test
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void testNumPyInfeasibleSolution1() throws Exception {
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try (HSSFWorkbook wb = new HSSFWorkbook()) {
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HSSFSheet sheet = wb.createSheet();
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HSSFRow row = sheet.createRow(0);
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HSSFFormulaEvaluator fe = new HSSFFormulaEvaluator(wb);
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HSSFCell cell = row.createCell(0);
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assertError(fe, cell, "RATE(12, 400, 10000, 5000.0, 0, 0.1)", FormulaError.NUM);
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}
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}
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// https://github.com/numpy/numpy-financial/blob/d02edfb65dcdf23bd571c2cded7fcd4a0528c6af/numpy_financial/tests/test_financial.py#L126
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@Test
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void testNumPyInfeasibleSolution2() throws Exception {
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try (HSSFWorkbook wb = new HSSFWorkbook()) {
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HSSFSheet sheet = wb.createSheet();
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HSSFRow row = sheet.createRow(0);
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HSSFFormulaEvaluator fe = new HSSFFormulaEvaluator(wb);
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HSSFCell cell = row.createCell(0);
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assertError(fe, cell, "RATE(2, 0, -13.65, -329.67, 0, 0.1)", FormulaError.NUM);
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}
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}
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@Test
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void testBug65988() throws Exception {
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try (HSSFWorkbook wb = new HSSFWorkbook()) {
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