NMOF: Numerical Methods and Optimization in Finance
Version 0.40-0

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
URL http://nmof.net http://enricoschumann.net/NMOF.htm
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("NMOF")

Getting started

Package overview

Popular man pages

bonds: Pricing Plain-Vanilla Bonds
callMerton: Price of a European Call under Merton's Jump-Diffusion Model
drawdown: Drawdown
mc: Option Pricing via Monte-Carlo Simulation
options: Pricing Plain-Vanilla Options (European and American)
pm: Partial Moments
TAopt: Optimisation with Threshold Accepting
See all...

All man pages Function index File listing

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

Functions

Chapters Man page
DEopt Man page Source code
EuropeanCall Man page Source code
EuropeanCallBE Man page Source code
GAopt Man page Source code
LS.info Man page Source code
LSopt Man page Source code
MA Man page Source code
NMOF Man page
NMOF-internal Man page
NMOF-package Man page
NS Man page Source code
NSS Man page Source code
NSSf Man page Source code
NSf Man page Source code
PSopt Man page Source code
TA.info Man page Source code
TAopt Man page Source code
anyNA Man page Source code
bracketing Man page Source code
bundData Man page
callCF Man page Source code
callHestoncf Man page Source code
callMerton Man page Source code
cfBSM Man page Source code
cfBates Man page Source code
cfHeston Man page Source code
cfMerton Man page Source code
cfVG Man page Source code
changeInterval Man page Source code
checkList Man page Source code
cm Source code
colSubset Man page Source code
convexity Source code
drawdown Man page Source code
due Man page Source code
duration Man page Source code
erc Source code
fundData Man page
gbb Man page Source code
gbm Man page Source code
gridSearch Man page Source code
mRN Source code
mRU Source code
makeInteger Man page Source code
mc Man page Source code
mcList Source code
minvar Source code
mv_frontier Source code
optionData Man page
plot.TAopt Source code
pm Man page Source code
print.TAopt Source code
putCallParity Man page Source code
qTable Man page Source code
repair1c Source code
repairMatrix Man page Source code
resampleC Man page Source code
restartOpt Man page Source code
showChapterNames Man page Source code
showExample Man page Source code
testFunctions Man page
tfAckley Man page Source code
tfEggholder Man page Source code
tfGriewank Man page Source code
tfRastrigin Man page Source code
tfRosenbrock Man page Source code
tfSchwefel Man page Source code
tfTrefethen Man page Man page Source code
vanillaBond Man page Source code
vanillaOptionAmerican Man page Source code
vanillaOptionEuropean Man page Source code
vanillaOptionImpliedVol Man page Source code
xtContractValue Man page Source code
xtTickValue Man page Source code
xwGauss Man page Source code
ytm Man page Source code

Files

inst
inst/CITATION
inst/book
inst/book/C-OptionCalibration
inst/book/C-OptionCalibration/R
inst/book/C-OptionCalibration/R/callHestoncf.R
inst/book/C-PortfolioOptimization
inst/book/C-PortfolioOptimization/R
inst/book/C-PortfolioOptimization/R/portOpt1.R
inst/book/C-PortfolioOptimization/R/sumSquares.R
inst/book/C-PortfolioOptimization/R/frontier.R
inst/book/C-PortfolioOptimization/R/returns.R
inst/book/C-PortfolioOptimization/R/exampleOF.R
inst/book/C-PortfolioOptimization/R/LSabbr.R
inst/book/C-PortfolioOptimization/R/exampleLS.R
inst/book/C-PortfolioOptimization/R/exampleSquaredRets2.R
inst/book/C-PortfolioOptimization/R/exampleRatio.R
inst/book/C-PortfolioOptimization/R/diagonalmult.R
inst/book/C-PortfolioOptimization/R/exampleSquaredRets.R
inst/book/C-PortfolioOptimization/R/portOpt3.R
inst/book/C-PortfolioOptimization/R/pmcm.R
inst/book/C-PortfolioOptimization/R/exampleApply.R
inst/book/C-PortfolioOptimization/R/portOpt2.R
inst/book/C-PortfolioOptimization/R/repairMatrix.R
inst/book/C-PortfolioOptimization/R/inR.R
inst/book/C-Introduction
inst/book/C-Introduction/R
inst/book/C-Introduction/R/equations.R
inst/book/C-EconometricModels
inst/book/C-EconometricModels/R
inst/book/C-EconometricModels/R/PSabbr.R
inst/book/C-EconometricModels/R/exampleRobust.R
inst/book/C-EconometricModels/R/portReg.R
inst/book/C-EconometricModels/R/example3data.R
inst/book/C-EconometricModels/R/comparisonLMS.R
inst/book/C-EconometricModels/R/DEabbr.R
inst/book/C-EconometricModels/R/example1.R
inst/book/C-EconometricModels/R/exampleLS.R
inst/book/C-EconometricModels/R/exampleLoop.R
inst/book/C-EconometricModels/R/genData.R
inst/book/C-EconometricModels/R/example4data.R
inst/book/C-EconometricModels/R/example1b.R
inst/book/C-EconometricModels/R/newton.R
inst/book/C-EconometricModels/R/portRegMV.R
inst/book/C-EconometricModels/R/NSf.R
inst/book/C-EconometricModels/R/exampleLS2.R
inst/book/C-EconometricModels/R/example2.R
inst/book/C-HeuristicsNutshell
inst/book/C-HeuristicsNutshell/R
inst/book/C-HeuristicsNutshell/R/fastMA.R
inst/book/C-BinomialTrees
inst/book/C-BinomialTrees/R
inst/book/C-BinomialTrees/R/EuropeanCallBE.R
inst/book/C-BinomialTrees/R/EuropeanCall.R
inst/book/C-ModelingDependencies
inst/book/C-ModelingDependencies/R
inst/book/C-ModelingDependencies/R/Spearman.R
inst/book/C-ModelingDependencies/R/Gaussian2.R
inst/book/C-ModelingDependencies/R/randn.R
inst/book/C-ModelingDependencies/R/tria.R
inst/NMOFex
inst/NMOFex/NMOFman.R
inst/NMOFex/README
inst/NMOFex/NMOFex.R
inst/NMOFex/NMOFdist.R
inst/doc
inst/doc/PSlms.pdf
inst/doc/DEnss.R
inst/doc/DEnss.pdf
inst/doc/qTableEx.pdf
inst/doc/TAportfolio.Rnw
inst/doc/LSselect.pdf
inst/doc/PSlms.R
inst/doc/LSselect.R
inst/doc/vectorise.Rnw
inst/doc/TAportfolio.pdf
inst/doc/An_overview.R
inst/doc/qTableEx.R
inst/doc/PSlms.Rnw
inst/doc/LSselect.Rnw
inst/doc/TAportfolio.R
inst/doc/An_overview.Rnw
inst/doc/NMOF.bib
inst/doc/vectorise.R
inst/doc/qTableEx.Rnw
inst/doc/DEnss.Rnw
inst/doc/repair.Rnw
inst/doc/An_overview.pdf
inst/doc/repair.R
inst/doc/vectorise.pdf
inst/doc/repair.pdf
inst/unitTests
inst/unitTests/unitTestsDEopt.R
inst/unitTests/unitTestscallCF.R
inst/unitTests/unitTests2.R
inst/unitTests/unitTestsRestartOpt.R
inst/unitTests/unitTests_mc.R
inst/unitTests/unitTestsBonds.R
inst/unitTests/unitTestsGAopt.R
inst/unitTests/unitTestsTAopt.R
inst/unitTests/unitTestsInternals.R
inst/unitTests/unitTestsLSopt.R
inst/unitTests/test_results.txt
inst/unitTests/unitTestsPCparity.R
inst/unitTests/unitTestsOptions.R
inst/unitTests/runTests.R
inst/unitTests/unitTestsPSopt.R
inst/unitTests/unitTestsMA.R
tests
tests/README
NAMESPACE
NEWS
data
data/optionData.RData
data/fundData.RData
data/bundData.RData
R
R/DEopt.R
R/testFun.R
R/bracket.R
R/NS.R
R/PSopt.R
R/TAopt.R
R/internals.R
R/xtContractValue.R
R/integrate.R
R/LSopt.R
R/portfolio.R
R/MA.R
R/gridSearch.R
R/EuropeanCallBE.R
R/callHestoncf.R
R/options.R
R/resampleC.R
R/EuropeanCall.R
R/bonds.R
R/callCF.R
R/restartOpt.R
R/pm.R
R/drawdown.R
R/mc.R
R/colSubset.R
R/GAopt.R
R/callMerton.R
R/NSf.R
R/repairMatrix.R
R/showExample.R
R/qTable.R
vignettes
vignettes/TAportfolio.Rnw
vignettes/vectorise.Rnw
vignettes/PSlms.Rnw
vignettes/.install_extras
vignettes/LSselect.Rnw
vignettes/An_overview.Rnw
vignettes/NMOF.bib
vignettes/qTableEx.Rnw
vignettes/DEnss.Rnw
vignettes/repair.Rnw
MD5
build
build/vignette.rds
DESCRIPTION
man
man/pm.Rd
man/callCF.Rd
man/TAopt.Rd
man/NSf.Rd
man/LS.info.Rd
man/fundData.Rd
man/mc.Rd
man/putCallParity.Rd
man/bundData.Rd
man/bonds.Rd
man/xwGauss.Rd
man/NMOF-internal.Rd
man/NS.Rd
man/colSubset.Rd
man/callMerton.Rd
man/options.Rd
man/drawdown.Rd
man/LSopt.Rd
man/restartOpt.Rd
man/repairMatrix.Rd
man/qTable.Rd
man/TA.info.Rd
man/callHestoncf.Rd
man/gridSearch.Rd
man/bracketing.Rd
man/DEopt.Rd
man/EuropeanCall.Rd
man/MA.Rd
man/testFunctions.Rd
man/PSopt.Rd
man/optionData.Rd
man/xtContractValue.Rd
man/showExample.Rd
man/resampleC.Rd
man/GAopt.Rd
man/NMOF-package.Rd
NMOF documentation built on May 19, 2017, 1:21 p.m.