NMOF: Numerical Methods and Optimization in Finance

Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Maringer and E. Schumann (2019, ISBN:978-0128150658). The package provides implementations of optimisation heuristics (Differential Evolution, Genetic Algorithms, Particle Swarm Optimisation, Simulated Annealing and Threshold Accepting), and other optimisation tools, such as grid search and greedy search. There are also functions for the valuation of financial instruments such as bonds and options, for portfolio selection and functions that help with stochastic simulations.

Package overview README.md An Overview of the NMOF Package Asset selection with Local Search Examples for the qTable function Fitting the Nelson--Siegel--Svensson model with Differential Evolution Functions for portfolio selection Portfolio Optimisation with Threshold Accepting Repairing solutions Robust Regression with Particle Swarm Optimisation and Differential Evolution Solving the N-Queens Problem with Local Search Vectorised objective functions

Vignettes Man pages API and functions Files

Package details
Author	Enrico Schumann [aut, cre] (<https://orcid.org/0000-0001-7601-6576>)
Maintainer	Enrico Schumann <es@enricoschumann.net>
License	GPL-3
Version	2.10-0
URL	https://enricoschumann.net/NMOF.htm https://gitlab.com/NMOF https://git.sr.ht/~enricoschumann/NMOF https://github.com/enricoschumann/NMOF
Package repository	View on CRAN
Installation	Install the latest version of this package by entering the following in R: `install.packages("NMOF")`