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

Functions

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

Files

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.

Please suggest features or report bugs with the GitHub issue tracker.

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