应用Sturm定理计算内部收益率的Fortran程序

A Fortran Program for Applying Sturm's Theorem in Counting Internal Rates of Return

Journal of Financial and Quantitative Analysis · 1981
被引 9
人大 AFT50ABS 4

中文导读

介绍一个Fortran程序,利用Sturm-Kaplan方法计算内部收益率,能统计指定区间内所有实数根,但生成Sturm函数需多项式除法,现金流增多时计算量增大。

Abstract

The algorithm leading to a solution of the above question has been known at least since Kaplan's 1965 tutorial [5] on Sturm's theorem. The Sturm-Kaplan method has the power to count all zeros on the real axis between any two specified limits. A significant problem may arise, however, when one tries to generate the Sturmian functions which play a central part in the Sturm-Kaplan method. The rather arduous nature of the task derives from the necessity to perform several polynomial (synthetic) divisions. As the number of cash flows involved in the analysis increases, the time and effort required to determine the Sturmian functions increase as well.

Sturm定理内部收益率Fortran程序Sturmian函数