approxBondReturn | Approximate Total Return of Bond |
bonds | Pricing Plain-Vanilla Bonds |
bracketing | Zero-Bracketing |
bundData | German Government Bond Data |
bundFuture | Theoretical Valuation of Euro Bund Future |
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 |
CPPI | Constant-Proportion Portfolio Insurance |
DEopt | Optimisation with Differential Evolution |
divRatio | Diversification Ratio |
drawdown | Drawdown |
EuropeanCall | Computing Prices of European Calls with a Binomial Tree |
French | Download Datasets from Kenneth French's Data Library |
fundData | Mutual Fund Returns |
GAopt | Optimisation with a Genetic Algorithm |
greedySearch | Greedy Search |
gridSearch | Grid Search |
LS.info | Local-Search Information |
LSopt | Stochastic Local Search |
MA | Simple Moving Average |
maxSharpe | Maximum-Sharpe-Ratio/Tangency Portfolio |
mc | Option Pricing via Monte-Carlo Simulation |
minCVaR | Minimum Conditional-Value-at-Risk (CVaR) Portfolios |
minMAD | Compute Minimum Mean-Absolute-Deviation Portfolios |
minvar | Minimum-Variance Portfolios |
mvFrontier | Computing Mean-Variance Efficient Portfolios |
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 (European and American) and Barrier... |
pm | Partial Moments |
PSopt | Particle Swarm Optimisation |
putCallParity | Put-Call Parity |
qTable | Prepare LaTeX Table with Quartile Plots |
randomReturns | Create a Random Returns |
repairMatrix | Repair an Indefinite Correlation Matrix |
resampleC | Resample with Specified Rank Correlation |
restartOpt | Restart an Optimisation Algorithm |
Ritter | Download Jay Ritter's IPO Data |
SA.info | Simulated-Annealing Information |
SAopt | Optimisation with Simulated Annealing |
Shiller | Download Robert Shiller's Data |
showExample | Display Code Examples |
TA.info | Threshold-Accepting Information |
TAopt | Optimisation with Threshold Accepting |
testFunctions | Classical Test Functions for Unconstrained Optimisation |
trackingPortfolio | Compute a Tracking Portfolio |
xtContractValue | Contract Value of Australian Government Bond Future |
xwGauss | Integration of Gauss-type |
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