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

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

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

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