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).

AuthorEnrico Schumann
Date of publication2013-09-04 12:49:09
MaintainerEnrico Schumann <es@enricoschumann.net>
LicenseGPL-3
Version0.28-2
http://nmof.net
http://enricoschumann.net/NMOF.htm

View on R-Forge

Functions

anyNA Man page
bracketing Man page
bundData Man page
callCF Man page
callHestoncf 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
DEopt Man page
due Man page
EuropeanCall Man page
EuropeanCallBE Man page
fundData Man page
GAopt Man page
gbb Man page
gbm Man page
gridSearch Man page
LSopt Man page
MA Man page
makeInteger 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
PSopt Man page
putCallParity Man page
qTable Man page
repairMatrix Man page
resampleC Man page
restartOpt Man page
showChapterNames Man page
showExample Man page
TAopt Man page
testFunctions Man page
tfAckley Man page
tfGriewank Man page
tfRastrigin Man page
tfRosenbrock Man page
tfSchwefel Man page
tfTrefethen Man page
vanillaBond Man page
vanillaOptionAmerican Man page
vanillaOptionEuropean Man page
vanillaOptionImpliedVol Man page
xwGauss Man page
ytm Man page

Files

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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