Merge branch 'main' of github.com:Anexen/pyxirr into feature/ffi

.github/workflows/bench.yaml

@@ -11,34 +11,28 @@ on:
         required: true
         default: true
 
+permissions:
+  contents: write
+  deployments: write
+
 jobs:
   benchmark:
     name: Run Rust benchmark
     runs-on: ubuntu-latest
     if: ${{ startsWith(github.ref, 'refs/tags/') || github.event.inputs.build }}
     steps:
-      - uses: actions/checkout@v3
-      - uses: actions/setup-python@v4
+      - uses: actions/checkout@v4
+      - uses: actions/setup-python@v5
         with:
-          python-version: 3.9
-      - uses: actions-rs/toolchain@v1
+          python-version: 3.11
+      - uses: actions-rust-lang/setup-rust-toolchain@v1
         with:
           toolchain: nightly
-          profile: minimal
-          override: true
-      - uses: actions/cache@v3
-        with:
-          path: |
-            ~/.cargo/registry
-            ~/.cargo/git
-            ~/.cache/pip
-            target
-          key: ubuntu-latest-cargo-${{ hashFiles('**/Cargo.lock') }}
       - run: pip install -r bench-requirements.txt
       - name: Run benchmark
         run: cargo +nightly bench --bench comparison | tee output.txt
       - name: Store benchmark result
-        uses: rhysd/github-action-benchmark@v1
+        uses: benchmark-action/github-action-benchmark@v1
         with:
           name: Rust Benchmark
           tool: 'cargo'
@@ -47,4 +41,4 @@ jobs:
           benchmark-data-dir-path: docs/bench
           output-file-path: output.txt
           auto-push: true
-          github-token: ${{ secrets.PERSONAL_GITHUB_TOKEN }}
+          github-token: ${{ secrets.GITHUB_TOKEN }}

.github/workflows/ci.yaml

@@ -16,10 +16,10 @@ jobs:
   test:
     runs-on: "ubuntu-latest"
     steps:
-      - uses: actions/checkout@v3
+      - uses: actions/checkout@v4
       - name: Install dev-requirements
         run: pip install -r dev-requirements.txt
-      - uses: actions/cache@v3
+      - uses: actions/cache@v4
         with:
           path: |
             ~/.cargo/registry
@@ -54,12 +54,12 @@ jobs:
             arch: aarch64
           - platform: windows-latest
     steps:
-      - uses: actions/checkout@v3
-      - uses: actions/setup-python@v4
+      - uses: actions/checkout@v4
+      - uses: actions/setup-python@v5
         with:
           python-version: ${{ matrix.python.constraints || matrix.python.version }}
           # allow-prereleases: ${{ matrix.python.version == "3.12" }}
-      - uses: actions/cache@v3
+      - uses: actions/cache@v4
         with:
           path: |
             ~/.cargo/registry
@@ -71,29 +71,29 @@ jobs:
 
       - name: Build Wheels - Linux
         if: matrix.os.platform == 'ubuntu-latest'
-        uses: messense/maturin-action@v1
+        uses: PyO3/maturin-action@v1
         with:
           maturin-version: v1.3.0
           manylinux: auto
           args: -i python${{ matrix.python.version }} --release --strip --sdist
 
       - name: Build Wheels - MacOS [aarch64]
         if: ${{ matrix.os.platform == 'macos-latest' && matrix.os.arch == 'aarch64' }}
-        uses: messense/maturin-action@v1
+        uses: PyO3/maturin-action@v1
         with:
           maturin-version: v1.3.0
           args: -i python --release --target aarch64-apple-darwin --strip
 
       - name: Build Wheels - MacOS [x86_64]
         if: ${{ matrix.os.platform == 'macos-latest' && matrix.os.arch != 'aarch64' }}
-        uses: messense/maturin-action@v1
+        uses: PyO3/maturin-action@v1
         with:
           maturin-version: v1.3.0
           args: -i python --release --target universal2-apple-darwin --strip
 
       - name: Build Wheels - Windows
         if: matrix.os.platform == 'windows-latest'
-        uses: messense/maturin-action@v1
+        uses: PyO3/maturin-action@v1
         with:
           maturin-version: v1.3.0
           args: -i python --release --strip
@@ -125,9 +125,9 @@ jobs:
             abi: 'cp312-cp312'
         target: [aarch64, armv7, s390x, ppc64le, ppc64]
     steps:
-      - uses: actions/checkout@v3
+      - uses: actions/checkout@v4
       - name: Build Wheels
-        uses: messense/maturin-action@v1
+        uses: PyO3/maturin-action@v1
         env:
           PYO3_CROSS_LIB_DIR: /opt/python/${{ matrix.python.abi }}/lib
         with:
@@ -136,7 +136,7 @@ jobs:
           manylinux: auto
           args: -i python3.9 --release --strip
       - name: Upload wheels
-        uses: actions/upload-artifact@v3
+        uses: actions/upload-artifact@v4
         with:
           name: wheels
           path: target/wheels
@@ -153,16 +153,16 @@ jobs:
           - aarch64-unknown-linux-musl
           - armv7-unknown-linux-musleabihf
     steps:
-      - uses: actions/checkout@v3
+      - uses: actions/checkout@v4
       - name: Build Wheels - musl
-        uses: messense/maturin-action@v1
+        uses: PyO3/maturin-action@v1
         with:
           maturin-version: v1.3.0
           target: ${{ matrix.target }}
           manylinux: musllinux_1_2
           args: --release --strip -i 3.7 3.8 3.9 3.10 3.11 3.12
       - name: Upload wheels
-        uses: actions/upload-artifact@v3
+        uses: actions/upload-artifact@v4
         with:
           name: wheels
           path: target/wheels
@@ -172,7 +172,7 @@ jobs:
     runs-on: ubuntu-latest
     if: startsWith(github.ref, 'refs/tags/')
     steps:
-      - uses: actions/download-artifact@v3
+      - uses: actions/download-artifact@v4
         with:
           name: wheels
 

CHANGELOG.md

@@ -1,5 +1,9 @@
 # Changelog
 
+## [0.10.2] - 2024-01-27
+
+- (X)IRR Performance improvements
+
 ## [0.10.1] - 2023-12-08
 
 - XIRR improvements ([#49](https://github.com/Anexen/pyxirr/pull/49))

Cargo.toml

@@ -1,6 +1,6 @@
 [package]
 name = "pyxirr"
-version = "0.10.1"
+version = "0.10.2"
 authors = ["Anexen"]
 edition = "2021"
 description = "Rust-powered collection of financial functions for Python."

core/src/scheduled/xirr.rs

@@ -2,6 +2,7 @@ use super::{year_fraction, DayCount};
 use crate::{
     models::{validate, DateLike, InvalidPaymentsError},
     optimize::{brentq, newton_raphson},
+    utils::{self, fast_pow},
 };
 
 pub fn xirr(
@@ -22,25 +23,24 @@ pub fn xirr(
         xnpv_result(amounts, deltas, rate)
     };
     let df = |rate| xnpv_result_deriv(amounts, deltas, rate);
-    let is_good_rate = |rate: f64| rate.is_finite() && f(rate).abs() < 1e-3;
 
     let rate = newton_raphson(guess.unwrap_or(0.1), &f, &df);
 
-    if is_good_rate(rate) {
+    if utils::is_a_good_rate(rate, f) {
         return Ok(rate);
     }
 
     let rate = brentq(&f, -0.999999999999999, 100., 100);
 
-    if is_good_rate(rate) {
+    if utils::is_a_good_rate(rate, f) {
         return Ok(rate);
     }
 
     let mut step = 0.01;
     let mut guess = -0.99999999999999;
     while guess < 1.0 {
         let rate = newton_raphson(guess, &f, &df);
-        if is_good_rate(rate) {
+        if utils::is_a_good_rate(rate, f) {
             return Ok(rate);
         }
         guess += step;
@@ -86,15 +86,15 @@ fn day_count_factor(dates: &[DateLike], day_count: Option<DayCount>) -> Vec<f64>
 
 // \sum_{i=1}^n \frac{P_i}{(1 + rate)^{(d_i - d_0)/365}}
 fn xnpv_result(payments: &[f64], deltas: &[f64], rate: f64) -> f64 {
-    payments.iter().zip(deltas).map(|(p, &e)| p * (1.0 + rate).powf(-e)).sum()
+    payments.iter().zip(deltas).map(|(p, &e)| p * fast_pow(1.0 + rate, -e)).sum()
 }
 
 // XNPV first derivative
 // \sum_{i=1}^n P_i * (d_0 - d_i) / 365 * (1 + rate)^{((d_0 - d_i)/365 - 1)}}
 // simplify in order to reuse cached deltas (d_i - d_0)/365
 // \sum_{i=1}^n \frac{P_i * -(d_i - d_0) / 365}{(1 + rate)^{((d_i - d_0)/365 + 1)}}
 fn xnpv_result_deriv(payments: &[f64], deltas: &[f64], rate: f64) -> f64 {
-    payments.iter().zip(deltas).map(|(p, e)| p * -e * (1.0 + rate).powf(-e - 1.0)).sum()
+    payments.iter().zip(deltas).map(|(p, e)| p * -e * fast_pow(1.0 + rate, -e - 1.0)).sum()
 }
 
 #[cfg(test)]

core/src/utils.rs

@@ -1,3 +1,8 @@
+pub(crate) fn fast_pow(a: f64, b: f64) -> f64 {
+    // works only if a is positive
+    (a.log2() * b).exp2()
+}
+
 pub(crate) fn scale(values: &[f64], factor: f64) -> Vec<f64> {
     values.iter().map(|v| v * factor).collect()
 }
@@ -12,7 +17,11 @@ pub(crate) fn pairwise_mul(a: &[f64], b: &[f64]) -> Vec<f64> {
 
 pub(crate) fn series_signum(a: &[f64]) -> f64 {
     // returns -1. if any item is negative, otherwise +1.
-    if a.iter().any(|x| x.is_sign_negative()) { -1. } else { 1. }
+    if a.iter().any(|x| x.is_sign_negative()) {
+        -1.
+    } else {
+        1.
+    }
 }
 
 pub(crate) fn sum_negatives_positives(values: &[f64]) -> (f64, f64) {
@@ -24,3 +33,10 @@ pub(crate) fn sum_negatives_positives(values: &[f64]) -> (f64, f64) {
         }
     })
 }
+
+pub(crate) fn is_a_good_rate<F>(rate: f64, f: F) -> bool
+where
+    F: Fn(f64) -> f64,
+{
+    rate.is_finite() && f(rate).abs() < 1e-3
+}

docs/bench/data.js

@@ -1,5 +1,5 @@
 window.BENCHMARK_DATA = {
-  "lastUpdate": 1701990793475,
+  "lastUpdate": 1706390745809,
   "repoUrl": "https://github.com/Anexen/pyxirr",
   "entries": {
     "Rust Benchmark": [
@@ -3420,6 +3420,82 @@ window.BENCHMARK_DATA = {
             "unit": "ns/iter"
           }
         ]
+      },
+      {
+        "commit": {
+          "author": {
+            "name": "Anexen",
+            "username": "Anexen",
+            "email": "avolk93@gmail.com"
+          },
+          "committer": {
+            "name": "Anexen",
+            "username": "Anexen",
+            "email": "avolk93@gmail.com"
+          },
+          "id": "ccb6234f73fcb93c417ff8a862d2fdbf50257d9b",
+          "message": "fix unused import",
+          "timestamp": "2024-01-27T21:23:48Z",
+          "url": "https://github.com/Anexen/pyxirr/commit/ccb6234f73fcb93c417ff8a862d2fdbf50257d9b"
+        },
+        "date": 1706390745412,
+        "tool": "cargo",
+        "benches": [
+          {
+            "name": "bench_python_100",
+            "value": 8149216,
+            "range": "± 55209",
+            "unit": "ns/iter"
+          },
+          {
+            "name": "bench_python_1000",
+            "value": 20161064,
+            "range": "± 218730",
+            "unit": "ns/iter"
+          },
+          {
+            "name": "bench_python_500",
+            "value": 26305873,
+            "range": "± 584738",
+            "unit": "ns/iter"
+          },
+          {
+            "name": "bench_rust_100",
+            "value": 11250,
+            "range": "± 101",
+            "unit": "ns/iter"
+          },
+          {
+            "name": "bench_rust_1000",
+            "value": 96669,
+            "range": "± 1193",
+            "unit": "ns/iter"
+          },
+          {
+            "name": "bench_rust_500",
+            "value": 56507,
+            "range": "± 403",
+            "unit": "ns/iter"
+          },
+          {
+            "name": "bench_scipy_100",
+            "value": 701667,
+            "range": "± 13445",
+            "unit": "ns/iter"
+          },
+          {
+            "name": "bench_scipy_1000",
+            "value": 4190035,
+            "range": "± 112721",
+            "unit": "ns/iter"
+          },
+          {
+            "name": "bench_scipy_500",
+            "value": 2855297,
+            "range": "± 81117",
+            "unit": "ns/iter"
+          }
+        ]
       }
     ]
   }

tests/common/mod.rs

@@ -1,5 +1,6 @@
 mod cases;
 mod helpers;
 
+#[allow(unused_imports)]
 pub use cases::*;
 pub use helpers::*;