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.

Author
Enrico Schumann [aut, cre]
Date of publication
2016-10-20 22:12:46
Maintainer
Enrico Schumann <es@enricoschumann.net>
License
GPL-3
Version
0.40-0
URLs

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