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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.

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black-scholesdifferential-evolutiongenetic-algorithmgrid-searchheuristicsimplied-volatilitylocal-searchoptimizationparticle-swarm-optimizationsimulated-annealingthreshold-accepting

9.23 score 38 stars 4 dependents 123 scripts 702 downloads

textutils - Utilities for Handling Strings and Text

Utilities for handling character vectors that store human-readable text (either plain or with markup, such as HTML or LaTeX). The package provides, in particular, functions that help with the preparation of plain-text reports, e.g. for expanding and aligning strings that form the lines of such reports. The package also provides generic functions for transforming R objects to HTML and to plain text.

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html5string-manipulation

6.42 score 11 stars 9 dependents 59 scripts 1.5k downloads

PMwR - Portfolio Management with R

Tools for the practical management of financial portfolios: backtesting investment and trading strategies, computing profit/loss and returns, analysing trades, handling lists of transactions, reporting, and more. The package provides a small set of reliable, efficient and convenient tools for processing and analysing trade/portfolio data. The manual provides all the details; it is available from <https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html>. Examples and descriptions of new features are provided at <https://enricoschumann.net/notes/PMwR/>.

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6.16 score 32 scripts 334 downloads

datetimeutils - Utilities for Dates and Times

Utilities for handling dates and times, such as selecting particular days of the week or month, formatting timestamps as required by RSS feeds, or converting timestamp representations of other software (such as 'MATLAB' and 'Excel') to R. The package is lightweight (no dependencies, pure R implementations) and relies only on R's standard classes to represent dates and times ('Date' and 'POSIXt'); it aims to provide efficient implementations, through vectorisation and the use of R's native numeric representations of timestamps where possible.

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calendardatedatetimedatetimeutilstimezone

5.88 score 6 stars 2 dependents 21 scripts 676 downloads

orgutils - Helper Functions for Org Files

Helper functions for Org files (<https://orgmode.org/>): a generic function 'toOrg' for transforming R objects into Org markup (most useful for data frames; there are also methods for Dates/POSIXt) and a function to read Org tables into data frames.

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emacsorg-mode

5.15 score 9 stars 1 dependents 13 scripts 599 downloads

neighbours - Neighbourhood Functions for Local-Search Algorithms

Neighbourhood functions are key components of local-search algorithms such as Simulated Annealing or Threshold Accepting. These functions take a solution and return a slightly-modified copy of it, i.e. a neighbour. The package provides a function neighbourfun() that constructs such neighbourhood functions, based on parameters such as admissible ranges for elements in a solution. Supported are numeric and logical solutions. The algorithms were originally created for portfolio-optimisation applications, but can be used for other models as well. Several recipes for neighbour computations are taken from "Numerical Methods and Optimization in Finance" by M. Gilli, D. Maringer and E. Schumann (2019, ISBN:978-0128150658).

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algorithmslocal-searchmachine-learningneighbourhood-functionsneighbourssimulated-annealingsubset-selectionthreshold-accepting

4.00 score 1 stars 234 downloads

tsdb - Terribly-Simple Data Base for Time Series

A terribly-simple data base for numeric time series, written purely in R, so no external database-software is needed. Series are stored in plain-text files (the most-portable and enduring file type) in CSV format. Timestamps are encoded using R's native numeric representation for 'Date'/'POSIXct', which makes them fast to parse, but keeps them accessible with other software. The package provides tools for saving and updating series in this standardised format, for retrieving and joining data, for summarising files and directories, and for coercing series from and to other data types (such as 'zoo' series).

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csvtime-seriestsdb

3.45 score 14 stars 312 downloads

bundesbank - Download Data from Bundesbank

Download data from the time-series databases of the Bundesbank, the German central bank. See the overview at the Bundesbank website (<https://www.bundesbank.de/en/statistics/time-series-databases>) for available series. The package provides only a single function, getSeries(), which supports both traditional and real-time datasets; it will also download meta data if available. Downloaded data can automatically be arranged in various formats, such as data frames or 'zoo' series. The data may optionally be cached, so as to avoid repeated downloads of the same series.

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3.08 score 2 stars 60 scripts 846 downloads

BISdata - Download Data from the Bank for International Settlements (BIS)

Functions for downloading data from the Bank for International Settlements (BIS; <https://www.bis.org/>) in Basel. Supported are only full datasets in (typically) CSV format. The package is lightweight and without dependencies; suggested packages are used only if data is to be transformed into particular data structures, for instance into 'zoo' objects. Downloaded data can optionally be cached, to avoid repeated downloads of the same files.

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2.70 score 1 stars 2 scripts 305 downloads

SNSFdatasets - Download Datasets from the Swiss National Science Foundation (SNF, FNS, SNSF)

Download and read datasets from the Swiss National Science Foundation (SNF, FNS, SNSF; <https://www.snf.ch>). The package is lightweight and without dependencies. Downloaded data can optionally be cached, to avoid repeated downloads of the same files. There are also utilities for comparing different versions of datasets, i.e. to report added, removed and changed entries.

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2.70 score 205 downloads

SNBdata - Download Data from the Swiss National Bank (SNB)

Download data (tables and datasets) from the Swiss National Bank (SNB; <https://www.snb.ch/en>), the Swiss central bank. The package is lightweight and comes with few dependencies; suggested packages are used only if data is to be transformed into particular data structures, for instance into 'zoo' objects. Downloaded data can optionally be cached, to avoid repeated downloads of the same files.

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central-bank

2.70 score 136 downloads

password - Create Random Passwords

Create random passwords of letters, numbers and punctuation.

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2.15 score 14 scripts 265 downloads