benchmark on data more similar to real ones

Anexen · Jan 28, 2024 · 6cb556d · 6cb556d
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diff --git a/README.md b/README.md
@@ -32,9 +32,9 @@ and the [implementation from the Stack Overflow](https://stackoverflow.com/a/115
 
 ![bench](https://raw.githubusercontent.com/Anexen/pyxirr/main/docs/static/bench.png)
 
-PyXIRR is ~10-20x faster in XIRR calculation than the other implementations.
+PyXIRR is much faster in XIRR calculation than the other implementations.
 
-Powered by [github-action-benchmark](https://github.com/rhysd/github-action-benchmark) and [plotly.js](https://github.com/plotly/plotly.js).
+Powered by [github-action-benchmark](https://github.com/benchmark-action/github-action-benchmark) and [plotly.js](https://github.com/plotly/plotly.js).
 
 Live benchmarks are hosted on [Github Pages](https://anexen.github.io/pyxirr/bench).
 

diff --git a/bench-requirements.txt b/bench-requirements.txt
@@ -1,3 +1,2 @@
 scipy==1.*
 numpy-financial==1.*
-xirr==0.1.6
diff --git a/benches/comparison.rs b/benches/comparison.rs
@@ -10,7 +10,7 @@ mod common;
 use common::PaymentsLoader;
 
 // https://stackoverflow.com/questions/8919718/financial-python-library-that-has-xirr-and-xnpv-function
-const TOP_STACK_OVERFLOW_ANSWER: &str = r#"
+const PURE_PYTHON_IMPL: &str = r#"
 def xirr(transactions):
     years = [(ta[0] - transactions[0][0]).days / 365.0 for ta in transactions]
     residual = 1
@@ -32,13 +32,29 @@ def xirr(transactions):
     return guess
 "#;
 
+const SCIPY_IMPL: &str = r#"
+import scipy.optimize
+
+def xnpv(rate, values, dates):
+    if rate <= -1.0:
+        return float('inf')
+    d0 = dates[0]    # or min(dates)
+    return sum([ vi / (1.0 + rate)**((di - d0).days / 365.0) for vi, di in zip(values, dates)])
+
+def xirr(values, dates):
+    try:
+        return scipy.optimize.newton(lambda r: xnpv(r, values, dates), 0.0)
+    except RuntimeError:    # Failed to converge?
+        return scipy.optimize.brentq(lambda r: xnpv(r, values, dates), -1.0, 1e10)
+"#;
+
 macro_rules! bench_rust {
     ($name:ident, $file:expr) => {
         #[bench]
         fn $name(b: &mut Bencher) {
             Python::with_gil(|py| {
                 let data = PaymentsLoader::from_csv(py, $file).to_records();
-                b.iter(|| pyxirr_call_impl!(py, "xirr", (data,)).unwrap());
+                b.iter(|| pyxirr_call_impl!(py, "xirr", black_box((data,))).unwrap());
             });
         }
     };
@@ -49,10 +65,12 @@ macro_rules! bench_scipy {
         #[bench]
         fn $name(b: &mut Bencher) {
             Python::with_gil(|py| {
-                let xirr =
-                    py.import("xirr").expect("xirr is not installed").getattr("xirr").unwrap();
-                let data = PaymentsLoader::from_csv(py, $file).to_dict();
-                b.iter(|| xirr.call1(black_box((data,))).unwrap())
+                let xirr = PyModule::from_code(py, SCIPY_IMPL, "xirr.py", "scipy_py_xirr")
+                    .unwrap()
+                    .getattr("xirr")
+                    .unwrap();
+                let data = PaymentsLoader::from_csv(py, $file).to_columns();
+                b.iter(|| xirr.call1(black_box((data.1, data.0))).unwrap())
             });
         }
     };
@@ -63,26 +81,28 @@ macro_rules! bench_python {
         #[bench]
         fn $name(b: &mut Bencher) {
             Python::with_gil(|py| {
-                let xirr =
-                    PyModule::from_code(py, TOP_STACK_OVERFLOW_ANSWER, "xirr.py", "pure_py_xirr")
-                        .unwrap()
-                        .getattr("xirr")
-                        .unwrap();
+                let xirr = PyModule::from_code(py, PURE_PYTHON_IMPL, "xirr.py", "pure_py_xirr")
+                    .unwrap()
+                    .getattr("xirr")
+                    .unwrap();
                 let data = PaymentsLoader::from_csv(py, $file).to_records();
                 b.iter(|| xirr.call1(black_box((data,))).unwrap())
             });
         }
     };
 }
 
-bench_rust!(bench_rust_100, "tests/samples/random_100.csv");
-bench_rust!(bench_rust_500, "tests/samples/random_500.csv");
-bench_rust!(bench_rust_1000, "tests/samples/random_1000.csv");
+bench_rust!(bench_rust_50, "tests/samples/rw-50.csv");
+bench_rust!(bench_rust_100, "tests/samples/rw-100.csv");
+bench_rust!(bench_rust_500, "tests/samples/rw-500.csv");
+bench_rust!(bench_rust_1000, "tests/samples/rw-1000.csv");
 
-bench_scipy!(bench_scipy_100, "tests/samples/random_100.csv");
-bench_scipy!(bench_scipy_500, "tests/samples/random_500.csv");
-bench_scipy!(bench_scipy_1000, "tests/samples/random_1000.csv");
+bench_scipy!(bench_scipy_50, "tests/samples/rw-50.csv");
+bench_scipy!(bench_scipy_100, "tests/samples/rw-100.csv");
+bench_scipy!(bench_scipy_500, "tests/samples/rw-500.csv");
+bench_scipy!(bench_scipy_1000, "tests/samples/rw-1000.csv");
 
-bench_python!(bench_python_100, "tests/samples/random_100.csv");
-bench_python!(bench_python_500, "tests/samples/random_500.csv");
-bench_python!(bench_python_1000, "tests/samples/random_1000.csv");
+bench_python!(bench_python_50, "tests/samples/rw-50.csv");
+bench_python!(bench_python_100, "tests/samples/rw-100.csv");
+bench_python!(bench_python_500, "tests/samples/rw-500.csv");
+bench_python!(bench_python_1000, "tests/samples/rw-1000.csv");
diff --git a/tests/samples/rw-100.csv b/tests/samples/rw-100.csv
@@ -0,0 +1,101 @@
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