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  "Title": "Numerical Methods and Optimization in Finance",
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  "Date": "2025-11-14",
  "Maintainer": "Enrico Schumann <es@enricoschumann.net>",
  "Authors@R": "person(\"Enrico\", \"Schumann\",\nrole  = c(\"aut\", \"cre\"),\nemail = \"es@enricoschumann.net\",\ncomment = c(ORCID = \"0000-0001-7601-6576\"))",
  "Description": "Functions, examples and data from the first and the second\nedition of \"Numerical Methods and Optimization in Finance\" by\nM. Gilli, D. Maringer and E. Schumann (2019,\nISBN:978-0128150658).  The package provides implementations of\noptimisation heuristics (Differential Evolution, Genetic\nAlgorithms, Particle Swarm Optimisation, Simulated Annealing\nand Threshold Accepting), and other optimisation tools, such as\ngrid search and greedy search.  There are also functions for\nthe valuation of financial instruments such as bonds and\noptions, for portfolio selection and functions that help with\nstochastic simulations.",
  "License": "GPL-3",
  "URL": "https://enricoschumann.net/NMOF.htm , https://gitlab.com/NMOF ,\nhttps://git.sr.ht/~enricoschumann/NMOF ,\nhttps://github.com/enricoschumann/NMOF",
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    "callMerton",
    "cfBates",
    "cfBSM",
    "cfHeston",
    "cfMerton",
    "cfVG",
    "changeInterval",
    "colSubset",
    "convexity",
    "CPPI",
    "DEopt",
    "divRatio",
    "drawdown",
    "duration",
    "EuropeanCall",
    "EuropeanCallBE",
    "French",
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    "gbb",
    "gbm",
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    "gridSearch",
    "LS.info",
    "LSopt",
    "MA",
    "maxSharpe",
    "minCVaR",
    "minMAD",
    "minvar",
    "mvFrontier",
    "mvPortfolio",
    "NS",
    "NSf",
    "NSS",
    "NSSf",
    "PBO",
    "pm",
    "PSopt",
    "putCallParity",
    "qTable",
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    "repairMatrix",
    "resampleC",
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    "Ritter",
    "SA.info",
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    "Shiller",
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    "showExample",
    "TA.info",
    "TAopt",
    "tfAckley",
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    "tfGriewank",
    "tfRastrigin",
    "tfRosenbrock",
    "tfSchwefel",
    "tfTrefethen",
    "trackingPortfolio",
    "vanillaBond",
    "vanillaOptionAmerican",
    "vanillaOptionEuropean",
    "vanillaOptionImpliedVol",
    "xtContractValue",
    "xtTickValue",
    "xwGauss",
    "ytm"
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  "_datasets": [
    {
      "name": "bundData",
      "title": "German Government Bond Data",
      "object": "bundData",
      "class": [
        "list"
      ],
      "fields": [],
      "table": true,
      "tojson": true
    },
    {
      "name": "fundData",
      "title": "Mutual Fund Returns",
      "object": "fundData",
      "class": [
        "matrix",
        "array"
      ],
      "fields": {},
      "rows": 500,
      "table": true,
      "tojson": true
    },
    {
      "name": "optionData",
      "title": "Option Data",
      "object": "optionData",
      "class": [
        "list"
      ],
      "fields": [],
      "table": false,
      "tojson": true
    }
  ],
  "_help": [
    {
      "page": "NMOF-package",
      "title": "Numerical Methods and Optimization in Finance",
      "topics": [
        "NMOF-package",
        "NMOF"
      ]
    },
    {
      "page": "approxBondReturn",
      "title": "Approximate Total Return of Bond",
      "topics": [
        "approxBondReturn"
      ]
    },
    {
      "page": "bracketing",
      "title": "Zero-Bracketing",
      "topics": [
        "bracketing"
      ]
    },
    {
      "page": "bundData",
      "title": "German Government Bond Data",
      "topics": [
        "bundData"
      ]
    },
    {
      "page": "bundFuture",
      "title": "Theoretical Valuation of Euro Bund Future",
      "topics": [
        "bundFuture",
        "bundFutureImpliedRate"
      ]
    },
    {
      "page": "callCF",
      "title": "Price a Plain-Vanilla Call with the Characteristic Function",
      "topics": [
        "callCF",
        "cfBates",
        "cfBSM",
        "cfHeston",
        "cfMerton",
        "cfVG"
      ]
    },
    {
      "page": "callHestoncf",
      "title": "Price of a European Call under the Heston Model",
      "concept": [
        "Heston model"
      ],
      "topics": [
        "callHestoncf"
      ]
    },
    {
      "page": "callMerton",
      "title": "Price of a European Call under Merton's Jump-Diffusion Model",
      "topics": [
        "callMerton"
      ]
    },
    {
      "page": "colSubset",
      "title": "Full-rank Column Subset",
      "topics": [
        "colSubset"
      ]
    },
    {
      "page": "CPPI",
      "title": "Constant-Proportion Portfolio Insurance",
      "topics": [
        "CPPI"
      ]
    },
    {
      "page": "DEopt",
      "title": "Optimisation with Differential Evolution",
      "concept": [
        "Differential Evolution",
        "heuristics"
      ],
      "topics": [
        "DEopt"
      ]
    },
    {
      "page": "divRatio",
      "title": "Diversification Ratio",
      "topics": [
        "divRatio"
      ]
    },
    {
      "page": "drawdown",
      "title": "Drawdown",
      "topics": [
        "drawdown"
      ]
    },
    {
      "page": "EuropeanCall",
      "title": "Computing Prices of European Calls with a Binomial Tree",
      "topics": [
        "EuropeanCall",
        "EuropeanCallBE"
      ]
    },
    {
      "page": "French",
      "title": "Download Datasets from Kenneth French's Data Library",
      "topics": [
        "French"
      ]
    },
    {
      "page": "fundData",
      "title": "Mutual Fund Returns",
      "topics": [
        "fundData"
      ]
    },
    {
      "page": "GAopt",
      "title": "Optimisation with a Genetic Algorithm",
      "concept": [
        "Genetic Algorithm",
        "heuristics"
      ],
      "topics": [
        "GAopt"
      ]
    },
    {
      "page": "greedySearch",
      "title": "Greedy Search",
      "topics": [
        "greedySearch"
      ]
    },
    {
      "page": "gridSearch",
      "title": "Grid Search",
      "concept": [
        "grid search"
      ],
      "topics": [
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      ]
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    {
      "page": "LS.info",
      "title": "Local-Search Information",
      "topics": [
        "LS.info"
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    {
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      "title": "Stochastic Local Search",
      "concept": [
        "Local Search"
      ],
      "topics": [
        "LSopt"
      ]
    },
    {
      "page": "MA",
      "title": "Simple Moving Average",
      "topics": [
        "MA"
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    },
    {
      "page": "maxSharpe",
      "title": "Maximum-Sharpe-Ratio/Tangency Portfolio",
      "concept": [
        "portfolio selection"
      ],
      "topics": [
        "maxSharpe"
      ]
    },
    {
      "page": "mc",
      "title": "Option Pricing via Monte-Carlo Simulation",
      "topics": [
        "gbb",
        "gbm",
        "mc"
      ]
    },
    {
      "page": "minCVaR",
      "title": "Minimum Conditional-Value-at-Risk (CVaR) Portfolios",
      "concept": [
        "portfolio selection"
      ],
      "topics": [
        "minCVaR"
      ]
    },
    {
      "page": "minMAD",
      "title": "Compute Minimum Mean-Absolute-Deviation Portfolios",
      "topics": [
        "minMAD"
      ]
    },
    {
      "page": "minvar",
      "title": "Minimum-Variance Portfolios",
      "concept": [
        "portfolio selection"
      ],
      "topics": [
        "minvar"
      ]
    },
    {
      "page": "mvFrontier",
      "title": "Computing Mean-Variance Efficient Portfolios",
      "concept": [
        "portfolio selection"
      ],
      "topics": [
        "mvFrontier",
        "mvPortfolio"
      ]
    },
    {
      "page": "NS",
      "title": "Zero Rates for Nelson-Siegel-Svensson Model",
      "topics": [
        "NS",
        "NSS"
      ]
    },
    {
      "page": "NSf",
      "title": "Factor Loadings for Nelson-Siegel and Nelson-Siegel-Svensson",
      "topics": [
        "NSf",
        "NSSf"
      ]
    },
    {
      "page": "optionData",
      "title": "Option Data",
      "topics": [
        "optionData"
      ]
    },
    {
      "page": "PBO",
      "title": "Probability of Backtest Overfitting",
      "topics": [
        "PBO"
      ]
    },
    {
      "page": "pm",
      "title": "Partial Moments",
      "topics": [
        "pm"
      ]
    },
    {
      "page": "PSopt",
      "title": "Particle Swarm Optimisation",
      "concept": [
        "Particle Swarm Optimisation",
        "heuristics"
      ],
      "topics": [
        "PSopt"
      ]
    },
    {
      "page": "putCallParity",
      "title": "Put-Call Parity",
      "topics": [
        "putCallParity"
      ]
    },
    {
      "page": "qTable",
      "title": "Prepare LaTeX Table with Quartile Plots",
      "topics": [
        "qTable"
      ]
    },
    {
      "page": "randomReturns",
      "title": "Create a Random Returns",
      "topics": [
        "randomReturns"
      ]
    },
    {
      "page": "repairMatrix",
      "title": "Repair an Indefinite Correlation Matrix",
      "topics": [
        "repairMatrix"
      ]
    },
    {
      "page": "resampleC",
      "title": "Resample with Specified Rank Correlation",
      "topics": [
        "resampleC"
      ]
    },
    {
      "page": "restartOpt",
      "title": "Restart an Optimisation Algorithm",
      "topics": [
        "restartOpt"
      ]
    },
    {
      "page": "Ritter",
      "title": "Download Jay Ritter's IPO Data",
      "topics": [
        "Ritter"
      ]
    },
    {
      "page": "SA.info",
      "title": "Simulated-Annealing Information",
      "topics": [
        "SA.info"
      ]
    },
    {
      "page": "SAopt",
      "title": "Optimisation with Simulated Annealing",
      "concept": [
        "heuristics",
        "Simluated Annealing"
      ],
      "topics": [
        "SAopt"
      ]
    },
    {
      "page": "Shiller",
      "title": "Download Robert Shiller's Data",
      "topics": [
        "Shiller"
      ]
    },
    {
      "page": "showExample",
      "title": "Display Code Examples",
      "topics": [
        "showChapterNames",
        "showExample"
      ]
    },
    {
      "page": "TA.info",
      "title": "Threshold-Accepting Information",
      "topics": [
        "TA.info"
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    },
    {
      "page": "TAopt",
      "title": "Optimisation with Threshold Accepting",
      "concept": [
        "heuristics",
        "Threshold Accepting"
      ],
      "topics": [
        "TAopt"
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    },
    {
      "page": "testFunctions",
      "title": "Classical Test Functions for Unconstrained Optimisation",
      "concept": [
        "Test functions for global optimisation"
      ],
      "topics": [
        "testFunctions",
        "tfAckley",
        "tfEggholder",
        "tfGriewank",
        "tfRastrigin",
        "tfRosenbrock",
        "tfSchwefel",
        "tfTrefethen"
      ]
    },
    {
      "page": "trackingPortfolio",
      "title": "Compute a Tracking Portfolio",
      "concept": [
        "index tracking",
        "style analysis",
        "portfolio selection"
      ],
      "topics": [
        "trackingPortfolio"
      ]
    },
    {
      "page": "bonds",
      "title": "Pricing Plain-Vanilla Bonds",
      "topics": [
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