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. The package contains, in particular, implementations of several optimisation heuristics (such as Differential Evolution, Genetic Algorithms and Threshold Accepting).

Author
Enrico Schumann
Date of publication
2013-09-04 12:49:09
Maintainer
Enrico Schumann <es@enricoschumann.net>
License
GPL-3
Version
0.28-2
URLs

View on R-Forge

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
DEopt
Optimisation with Differential Evolution
EuropeanCall
Computing Prices of European Calls with a Binomial Tree
fundData
Mutual Fund Returns
GAopt
Optimisation with a Genetic Algorithm
gridSearch
Grid Search
LSopt
Stochastic Local Search
MA
Simple Moving Average
mc
Pricing Options via 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)
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
TAopt
Optimisation with Threshold Accepting
testFunctions
Classical Test Functions for Unconstrained Optimisation
xwGauss
Integration of Gauss-type

Files in this package

NMOF/DESCRIPTION
NMOF/NAMESPACE
NMOF/NEWS
NMOF/R
NMOF/R/DEopt.R
NMOF/R/EuropeanCall.R
NMOF/R/EuropeanCallBE.R
NMOF/R/GAopt.R
NMOF/R/LSopt.R
NMOF/R/MA.R
NMOF/R/NS.R
NMOF/R/NSf.R
NMOF/R/PSopt.R
NMOF/R/TAopt.R
NMOF/R/bonds.R
NMOF/R/bracket.R
NMOF/R/callCF.R
NMOF/R/callHestoncf.R
NMOF/R/gridSearch.R
NMOF/R/integrate.R
NMOF/R/internals.R
NMOF/R/mc.R
NMOF/R/options.R
NMOF/R/qTable.R
NMOF/R/repairMatrix.R
NMOF/R/resampleC.R
NMOF/R/restartOpt.R
NMOF/R/showExample.R
NMOF/R/testFun.R
NMOF/build
NMOF/build/vignette.rds
NMOF/data
NMOF/data/bundData.RData
NMOF/data/fundData.RData
NMOF/data/optionData.RData
NMOF/inst
NMOF/inst/CITATION
NMOF/inst/NMOFex
NMOF/inst/NMOFex/NMOFdist.R
NMOF/inst/NMOFex/NMOFex.R
NMOF/inst/NMOFex/NMOFman.R
NMOF/inst/NMOFex/README
NMOF/inst/book
NMOF/inst/book/C-BinomialTrees
NMOF/inst/book/C-BinomialTrees/R
NMOF/inst/book/C-BinomialTrees/R/EuropeanCall.R
NMOF/inst/book/C-BinomialTrees/R/EuropeanCallBE.R
NMOF/inst/book/C-EconometricModels
NMOF/inst/book/C-EconometricModels/R
NMOF/inst/book/C-EconometricModels/R/DEabbr.R
NMOF/inst/book/C-EconometricModels/R/NSf.R
NMOF/inst/book/C-EconometricModels/R/PSabbr.R
NMOF/inst/book/C-EconometricModels/R/comparisonLMS.R
NMOF/inst/book/C-EconometricModels/R/example1.R
NMOF/inst/book/C-EconometricModels/R/example1b.R
NMOF/inst/book/C-EconometricModels/R/example2.R
NMOF/inst/book/C-EconometricModels/R/example3data.R
NMOF/inst/book/C-EconometricModels/R/example4data.R
NMOF/inst/book/C-EconometricModels/R/exampleLS.R
NMOF/inst/book/C-EconometricModels/R/exampleLS2.R
NMOF/inst/book/C-EconometricModels/R/exampleLoop.R
NMOF/inst/book/C-EconometricModels/R/exampleRobust.R
NMOF/inst/book/C-EconometricModels/R/genData.R
NMOF/inst/book/C-EconometricModels/R/newton.R
NMOF/inst/book/C-EconometricModels/R/portReg.R
NMOF/inst/book/C-EconometricModels/R/portRegMV.R
NMOF/inst/book/C-HeuristicsNutshell
NMOF/inst/book/C-HeuristicsNutshell/R
NMOF/inst/book/C-HeuristicsNutshell/R/fastMA.R
NMOF/inst/book/C-Introduction
NMOF/inst/book/C-Introduction/R
NMOF/inst/book/C-Introduction/R/equations.R
NMOF/inst/book/C-ModelingDependencies
NMOF/inst/book/C-ModelingDependencies/R
NMOF/inst/book/C-ModelingDependencies/R/Gaussian2.R
NMOF/inst/book/C-ModelingDependencies/R/Spearman.R
NMOF/inst/book/C-ModelingDependencies/R/randn.R
NMOF/inst/book/C-ModelingDependencies/R/tria.R
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/LSabbr.R
NMOF/inst/book/C-PortfolioOptimization/R/diagonalmult.R
NMOF/inst/book/C-PortfolioOptimization/R/exampleApply.R
NMOF/inst/book/C-PortfolioOptimization/R/exampleLS.R
NMOF/inst/book/C-PortfolioOptimization/R/exampleOF.R
NMOF/inst/book/C-PortfolioOptimization/R/exampleRatio.R
NMOF/inst/book/C-PortfolioOptimization/R/exampleSquaredRets.R
NMOF/inst/book/C-PortfolioOptimization/R/exampleSquaredRets2.R
NMOF/inst/book/C-PortfolioOptimization/R/frontier.R
NMOF/inst/book/C-PortfolioOptimization/R/inR.R
NMOF/inst/book/C-PortfolioOptimization/R/pmcm.R
NMOF/inst/book/C-PortfolioOptimization/R/portOpt1.R
NMOF/inst/book/C-PortfolioOptimization/R/portOpt2.R
NMOF/inst/book/C-PortfolioOptimization/R/portOpt3.R
NMOF/inst/book/C-PortfolioOptimization/R/repairMatrix.R
NMOF/inst/book/C-PortfolioOptimization/R/returns.R
NMOF/inst/book/C-PortfolioOptimization/R/sumSquares.R
NMOF/inst/doc
NMOF/inst/doc/DEnss.R
NMOF/inst/doc/DEnss.Rnw
NMOF/inst/doc/DEnss.pdf
NMOF/inst/doc/LSselect.R
NMOF/inst/doc/LSselect.Rnw
NMOF/inst/doc/LSselect.pdf
NMOF/inst/doc/PSlms.R
NMOF/inst/doc/PSlms.Rnw
NMOF/inst/doc/PSlms.pdf
NMOF/inst/doc/TAportfolio.R
NMOF/inst/doc/TAportfolio.Rnw
NMOF/inst/doc/TAportfolio.pdf
NMOF/inst/doc/qTableEx.R
NMOF/inst/doc/qTableEx.Rnw
NMOF/inst/doc/qTableEx.pdf
NMOF/inst/doc/repair.R
NMOF/inst/doc/repair.Rnw
NMOF/inst/doc/repair.pdf
NMOF/inst/doc/vectorise.R
NMOF/inst/doc/vectorise.Rnw
NMOF/inst/doc/vectorise.pdf
NMOF/inst/unitTests
NMOF/inst/unitTests/report.txt
NMOF/inst/unitTests/runTests.R
NMOF/inst/unitTests/unitTests1.R
NMOF/inst/unitTests/unitTests2.R
NMOF/inst/unitTests/unitTestsDEopt.R
NMOF/inst/unitTests/unitTestsGAopt.R
NMOF/inst/unitTests/unitTestsInternals.R
NMOF/inst/unitTests/unitTestsLSopt.R
NMOF/inst/unitTests/unitTestsMA.R
NMOF/inst/unitTests/unitTestsOptions.R
NMOF/inst/unitTests/unitTestsPCparity.R
NMOF/inst/unitTests/unitTestsPSopt.R
NMOF/inst/unitTests/unitTestsRestartOpt.R
NMOF/inst/unitTests/unitTestsTAopt.R
NMOF/inst/unitTests/unitTestscallCF.R
NMOF/man
NMOF/man/DEopt.Rd
NMOF/man/EuropeanCall.Rd
NMOF/man/GAopt.Rd
NMOF/man/LSopt.Rd
NMOF/man/MA.Rd
NMOF/man/NMOF-internal.Rd
NMOF/man/NMOF-package.Rd
NMOF/man/NS.Rd
NMOF/man/NSf.Rd
NMOF/man/PSopt.Rd
NMOF/man/TAopt.Rd
NMOF/man/bonds.Rd
NMOF/man/bracketing.Rd
NMOF/man/bundData.Rd
NMOF/man/callCF.Rd
NMOF/man/callHestoncf.Rd
NMOF/man/fundData.Rd
NMOF/man/gridSearch.Rd
NMOF/man/mc.Rd
NMOF/man/optionData.Rd
NMOF/man/options.Rd
NMOF/man/putCallParity.Rd
NMOF/man/qTable.Rd
NMOF/man/repairMatrix.Rd
NMOF/man/resampleC.Rd
NMOF/man/restartOpt.Rd
NMOF/man/showExample.Rd
NMOF/man/testFunctions.Rd
NMOF/man/xwGauss.Rd
NMOF/tests
NMOF/tests/README
NMOF/vignettes
NMOF/vignettes/DEnss.Rnw
NMOF/vignettes/LSselect.Rnw
NMOF/vignettes/NMOF.bib
NMOF/vignettes/PSlms.Rnw
NMOF/vignettes/TAportfolio.Rnw
NMOF/vignettes/qTableEx.Rnw
NMOF/vignettes/repair.Rnw
NMOF/vignettes/vectorise.Rnw