NMOF: Numerical Methods and Optimization in Finance

Functions, examples and data from the book "Numerical Methods and Optimization in Finance" by M. 'Gilli', D. 'Maringer' and E. Schumann (2011), ISBN 978-0123756626. The package provides implementations of several optimisation heuristics, such as Differential Evolution, Genetic Algorithms and Threshold Accepting. There are also functions for the valuation of financial instruments, such as bonds and options, and functions that help with stochastic simulations.

AuthorEnrico Schumann [aut, cre]
Date of publication2016-10-20 22:12:46
MaintainerEnrico Schumann <es@enricoschumann.net>
LicenseGPL-3
Version0.40-0
http://nmof.net
http://enricoschumann.net/NMOF.htm

View on CRAN

Man pages

bonds: Pricing Plain-Vanilla Bonds

bracketing: Zero-Bracketing

bundData: German Government Bond Data

callCF: Price a Plain-Vanilla Call with the Characteristic Function

callHestoncf: Price of a European Call under the Heston Model

callMerton: Price of a European Call under Merton's Jump-Diffusion Model

colSubset: Full-rank Column Subset

DEopt: Optimisation with Differential Evolution

drawdown: Drawdown

EuropeanCall: Computing Prices of European Calls with a Binomial Tree

fundData: Mutual Fund Returns

GAopt: Optimisation with a Genetic Algorithm

gridSearch: Grid Search

LS.info: Local-Search Information

LSopt: Stochastic Local Search

MA: Simple Moving Average

mc: Option Pricing via Monte-Carlo Simulation

NMOF-internal: Internal NMOF functions

NMOF-package: Numerical Methods and Optimization in Finance

NS: Zero Rates for Nelson-Siegel-Svensson Model

NSf: Factor Loadings for Nelson-Siegel and Nelson-Siegel-Svensson

optionData: Option Data

options: Pricing Plain-Vanilla Options (European and American)

pm: Partial Moments

PSopt: Particle Swarm Optimisation

putCallParity: Put-Call Parity

qTable: Prepare LaTeX Table with Quartile Plots

repairMatrix: Repair an Indefinite Correlation Matrix

resampleC: Resample with Specified Rank Correlation

restartOpt: Restart an Optimisation Algorithm

showExample: Display examples

TA.info: Threshold-Accepting Information

TAopt: Optimisation with Threshold Accepting

testFunctions: Classical Test Functions for Unconstrained Optimisation

xtContractValue: Contract Value of Australian Government Bond Future

xwGauss: Integration of Gauss-type

Files in this package

NMOF
NMOF/inst
NMOF/inst/CITATION
NMOF/inst/book
NMOF/inst/book/C-OptionCalibration
NMOF/inst/book/C-OptionCalibration/R
NMOF/inst/book/C-OptionCalibration/R/callHestoncf.R
NMOF/inst/book/C-PortfolioOptimization
NMOF/inst/book/C-PortfolioOptimization/R
NMOF/inst/book/C-PortfolioOptimization/R/portOpt1.R
NMOF/inst/book/C-PortfolioOptimization/R/sumSquares.R
NMOF/inst/book/C-PortfolioOptimization/R/frontier.R
NMOF/inst/book/C-PortfolioOptimization/R/returns.R
NMOF/inst/book/C-PortfolioOptimization/R/exampleOF.R
NMOF/inst/book/C-PortfolioOptimization/R/LSabbr.R
NMOF/inst/book/C-PortfolioOptimization/R/exampleLS.R
NMOF/inst/book/C-PortfolioOptimization/R/exampleSquaredRets2.R
NMOF/inst/book/C-PortfolioOptimization/R/exampleRatio.R
NMOF/inst/book/C-PortfolioOptimization/R/diagonalmult.R
NMOF/inst/book/C-PortfolioOptimization/R/exampleSquaredRets.R
NMOF/inst/book/C-PortfolioOptimization/R/portOpt3.R
NMOF/inst/book/C-PortfolioOptimization/R/pmcm.R
NMOF/inst/book/C-PortfolioOptimization/R/exampleApply.R
NMOF/inst/book/C-PortfolioOptimization/R/portOpt2.R
NMOF/inst/book/C-PortfolioOptimization/R/repairMatrix.R
NMOF/inst/book/C-PortfolioOptimization/R/inR.R
NMOF/inst/book/C-Introduction
NMOF/inst/book/C-Introduction/R
NMOF/inst/book/C-Introduction/R/equations.R
NMOF/inst/book/C-EconometricModels
NMOF/inst/book/C-EconometricModels/R
NMOF/inst/book/C-EconometricModels/R/PSabbr.R
NMOF/inst/book/C-EconometricModels/R/exampleRobust.R
NMOF/inst/book/C-EconometricModels/R/portReg.R
NMOF/inst/book/C-EconometricModels/R/example3data.R
NMOF/inst/book/C-EconometricModels/R/comparisonLMS.R
NMOF/inst/book/C-EconometricModels/R/DEabbr.R
NMOF/inst/book/C-EconometricModels/R/example1.R
NMOF/inst/book/C-EconometricModels/R/exampleLS.R
NMOF/inst/book/C-EconometricModels/R/exampleLoop.R
NMOF/inst/book/C-EconometricModels/R/genData.R
NMOF/inst/book/C-EconometricModels/R/example4data.R
NMOF/inst/book/C-EconometricModels/R/example1b.R
NMOF/inst/book/C-EconometricModels/R/newton.R
NMOF/inst/book/C-EconometricModels/R/portRegMV.R
NMOF/inst/book/C-EconometricModels/R/NSf.R
NMOF/inst/book/C-EconometricModels/R/exampleLS2.R
NMOF/inst/book/C-EconometricModels/R/example2.R
NMOF/inst/book/C-HeuristicsNutshell
NMOF/inst/book/C-HeuristicsNutshell/R
NMOF/inst/book/C-HeuristicsNutshell/R/fastMA.R
NMOF/inst/book/C-BinomialTrees
NMOF/inst/book/C-BinomialTrees/R
NMOF/inst/book/C-BinomialTrees/R/EuropeanCallBE.R
NMOF/inst/book/C-BinomialTrees/R/EuropeanCall.R
NMOF/inst/book/C-ModelingDependencies
NMOF/inst/book/C-ModelingDependencies/R
NMOF/inst/book/C-ModelingDependencies/R/Spearman.R
NMOF/inst/book/C-ModelingDependencies/R/Gaussian2.R
NMOF/inst/book/C-ModelingDependencies/R/randn.R
NMOF/inst/book/C-ModelingDependencies/R/tria.R
NMOF/inst/NMOFex
NMOF/inst/NMOFex/NMOFman.R
NMOF/inst/NMOFex/README
NMOF/inst/NMOFex/NMOFex.R
NMOF/inst/NMOFex/NMOFdist.R
NMOF/inst/doc
NMOF/inst/doc/PSlms.pdf
NMOF/inst/doc/DEnss.R
NMOF/inst/doc/DEnss.pdf
NMOF/inst/doc/qTableEx.pdf
NMOF/inst/doc/TAportfolio.Rnw
NMOF/inst/doc/LSselect.pdf
NMOF/inst/doc/PSlms.R
NMOF/inst/doc/LSselect.R
NMOF/inst/doc/vectorise.Rnw
NMOF/inst/doc/TAportfolio.pdf
NMOF/inst/doc/An_overview.R
NMOF/inst/doc/qTableEx.R
NMOF/inst/doc/PSlms.Rnw
NMOF/inst/doc/LSselect.Rnw
NMOF/inst/doc/TAportfolio.R
NMOF/inst/doc/An_overview.Rnw
NMOF/inst/doc/NMOF.bib
NMOF/inst/doc/vectorise.R
NMOF/inst/doc/qTableEx.Rnw
NMOF/inst/doc/DEnss.Rnw
NMOF/inst/doc/repair.Rnw
NMOF/inst/doc/An_overview.pdf
NMOF/inst/doc/repair.R
NMOF/inst/doc/vectorise.pdf
NMOF/inst/doc/repair.pdf
NMOF/inst/unitTests
NMOF/inst/unitTests/unitTestsDEopt.R
NMOF/inst/unitTests/unitTestscallCF.R
NMOF/inst/unitTests/unitTests2.R
NMOF/inst/unitTests/unitTestsRestartOpt.R
NMOF/inst/unitTests/unitTests_mc.R
NMOF/inst/unitTests/unitTestsBonds.R
NMOF/inst/unitTests/unitTestsGAopt.R
NMOF/inst/unitTests/unitTestsTAopt.R
NMOF/inst/unitTests/unitTestsInternals.R
NMOF/inst/unitTests/unitTestsLSopt.R
NMOF/inst/unitTests/test_results.txt
NMOF/inst/unitTests/unitTestsPCparity.R
NMOF/inst/unitTests/unitTestsOptions.R
NMOF/inst/unitTests/runTests.R
NMOF/inst/unitTests/unitTestsPSopt.R
NMOF/inst/unitTests/unitTestsMA.R
NMOF/tests
NMOF/tests/README
NMOF/NAMESPACE
NMOF/NEWS
NMOF/data
NMOF/data/optionData.RData
NMOF/data/fundData.RData
NMOF/data/bundData.RData
NMOF/R
NMOF/R/DEopt.R NMOF/R/testFun.R NMOF/R/bracket.R NMOF/R/NS.R NMOF/R/PSopt.R NMOF/R/TAopt.R NMOF/R/internals.R NMOF/R/xtContractValue.R NMOF/R/integrate.R NMOF/R/LSopt.R NMOF/R/portfolio.R NMOF/R/MA.R NMOF/R/gridSearch.R NMOF/R/EuropeanCallBE.R NMOF/R/callHestoncf.R NMOF/R/options.R NMOF/R/resampleC.R NMOF/R/EuropeanCall.R NMOF/R/bonds.R NMOF/R/callCF.R NMOF/R/restartOpt.R NMOF/R/pm.R NMOF/R/drawdown.R NMOF/R/mc.R NMOF/R/colSubset.R NMOF/R/GAopt.R NMOF/R/callMerton.R NMOF/R/NSf.R NMOF/R/repairMatrix.R NMOF/R/showExample.R NMOF/R/qTable.R
NMOF/vignettes
NMOF/vignettes/TAportfolio.Rnw
NMOF/vignettes/vectorise.Rnw
NMOF/vignettes/PSlms.Rnw
NMOF/vignettes/.install_extras
NMOF/vignettes/LSselect.Rnw
NMOF/vignettes/An_overview.Rnw
NMOF/vignettes/NMOF.bib
NMOF/vignettes/qTableEx.Rnw
NMOF/vignettes/DEnss.Rnw
NMOF/vignettes/repair.Rnw
NMOF/MD5
NMOF/build
NMOF/build/vignette.rds
NMOF/DESCRIPTION
NMOF/man
NMOF/man/pm.Rd NMOF/man/callCF.Rd NMOF/man/TAopt.Rd NMOF/man/NSf.Rd NMOF/man/LS.info.Rd NMOF/man/fundData.Rd NMOF/man/mc.Rd NMOF/man/putCallParity.Rd NMOF/man/bundData.Rd NMOF/man/bonds.Rd NMOF/man/xwGauss.Rd NMOF/man/NMOF-internal.Rd NMOF/man/NS.Rd NMOF/man/colSubset.Rd NMOF/man/callMerton.Rd NMOF/man/options.Rd NMOF/man/drawdown.Rd NMOF/man/LSopt.Rd NMOF/man/restartOpt.Rd NMOF/man/repairMatrix.Rd NMOF/man/qTable.Rd NMOF/man/TA.info.Rd NMOF/man/callHestoncf.Rd NMOF/man/gridSearch.Rd NMOF/man/bracketing.Rd NMOF/man/DEopt.Rd NMOF/man/EuropeanCall.Rd NMOF/man/MA.Rd NMOF/man/testFunctions.Rd NMOF/man/PSopt.Rd NMOF/man/optionData.Rd NMOF/man/xtContractValue.Rd NMOF/man/showExample.Rd NMOF/man/resampleC.Rd NMOF/man/GAopt.Rd NMOF/man/NMOF-package.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.