Package: NMOF 2.10-1
NMOF: Numerical Methods and Optimization in Finance
Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Maringer and E. Schumann (2019, ISBN:978-0128150658). The package provides implementations of optimisation heuristics (Differential Evolution, Genetic Algorithms, Particle Swarm Optimisation, Simulated Annealing and Threshold Accepting), and other optimisation tools, such as grid search and greedy search. There are also functions for the valuation of financial instruments such as bonds and options, for portfolio selection and functions that help with stochastic simulations.
Authors:
NMOF_2.10-1.tar.gz
NMOF_2.10-1.zip(r-4.5)NMOF_2.10-1.zip(r-4.4)NMOF_2.10-1.zip(r-4.3)
NMOF_2.10-1.tgz(r-4.4-any)NMOF_2.10-1.tgz(r-4.3-any)
NMOF_2.10-1.tar.gz(r-4.5-noble)NMOF_2.10-1.tar.gz(r-4.4-noble)
NMOF_2.10-1.tgz(r-4.4-emscripten)NMOF_2.10-1.tgz(r-4.3-emscripten)
NMOF.pdf |NMOF.html✨
NMOF/json (API)
NEWS
| # Install 'NMOF' in R: |
| install.packages('NMOF', repos = c('https://enricoschumann.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/enricoschumann/nmof/issues
- bundData - German Government Bond Data
- fundData - Mutual Fund Returns
- optionData - Option Data
black-scholesdifferential-evolutiongenetic-algorithmgrid-searchheuristicsimplied-volatilitylocal-searchoptimizationparticle-swarm-optimizationsimulated-annealingthreshold-accepting
Last updated 18 days agofrom:310ac8b371. Checks:OK: 7. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 03 2024 |
| R-4.5-win | OK | Nov 03 2024 |
| R-4.5-linux | OK | Nov 03 2024 |
| R-4.4-win | OK | Nov 03 2024 |
| R-4.4-mac | OK | Nov 03 2024 |
| R-4.3-win | OK | Nov 03 2024 |
| R-4.3-mac | OK | Nov 03 2024 |
Exports:approxBondReturnbarrierOptionEuropeanbracketingbundFuturebundFutureImpliedRatecallCFcallHestoncfcallMertoncfBatescfBSMcfHestoncfMertoncfVGchangeIntervalcolSubsetconvexityCPPIDEoptdivRatiodrawdowndurationEuropeanCallEuropeanCallBEFrenchGAoptgbbgbmgreedySearchgridSearchLS.infoLSoptMAmaxSharpeminCVaRminMADminvarmvFrontiermvPortfolioNSNSfNSSNSSfpmPSoptputCallParityqTablerandomReturnsrepairMatrixresampleCrestartOptRitterSA.infoSAoptShillershowChapterNamesshowExampleTA.infoTAopttfAckleytfEggholdertfGriewanktfRastrigintfRosenbrocktfSchwefeltfTrefethentrackingPortfoliovanillaBondvanillaOptionAmericanvanillaOptionEuropeanvanillaOptionImpliedVolxtContractValuextTickValuexwGaussytm
Dependencies:
An Overview of the NMOF Package
Rendered fromAn_overview.Rnwusingutils::Sweaveon Nov 03 2024.Last update: 2023-10-20
Started: 2013-12-27
Asset selection with Local Search
Rendered fromLSselect.Rnwusingutils::Sweaveon Nov 03 2024.Last update: 2019-10-07
Started: 2013-09-04
Examples for the qTable function
Rendered fromqTableEx.Rnwusingutils::Sweaveon Nov 03 2024.Last update: 2021-10-20
Started: 2013-04-29
Fitting the Nelson--Siegel--Svensson model with Differential Evolution
Rendered fromDEnss.Rnwusingutils::Sweaveon Nov 03 2024.Last update: 2023-10-20
Started: 2013-09-04
Functions for portfolio selection
Rendered fromportfolio.Rnwusingutils::Sweaveon Nov 03 2024.Last update: 2023-03-01
Started: 2020-07-29
Portfolio Optimisation with Threshold Accepting
Rendered fromTAportfolio.Rnwusingutils::Sweaveon Nov 03 2024.Last update: 2017-10-24
Started: 2013-09-04
Repairing solutions
Rendered fromrepair.Rnwusingutils::Sweaveon Nov 03 2024.Last update: 2021-10-20
Started: 2013-09-04
Robust Regression with Particle Swarm Optimisation and Differential Evolution
Rendered fromPSlms.Rnwusingutils::Sweaveon Nov 03 2024.Last update: 2019-06-27
Started: 2013-09-04
Solving the N-Queens Problem with Local Search
Rendered fromLSqueens.Rnwusingutils::Sweaveon Nov 03 2024.Last update: 2023-11-01
Started: 2017-10-24
Vectorised objective functions
Rendered fromvectorise.Rnwusingutils::Sweaveon Nov 03 2024.Last update: 2017-10-24
Started: 2013-09-04
