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, and functions that help with stochastic simulations.

Version: 2.0-1
Depends: R (≥ 2.14)
Imports: grDevices, graphics, parallel, stats, utils
Suggests: MASS, PMwR, RUnit, datetimeutils, quadprog, readxl
Published: 2019-10-20
Author: Enrico Schumann ORCID iD [aut, cre]
Maintainer: Enrico Schumann <es at enricoschumann.net>
License: GPL-3
URL: http://enricoschumann.net/NMOF, https://github.com/enricoschumann/NMOF, https://gitlab.com/NMOF
NeedsCompilation: no
Classification/JEL: C61, C63
Citation: NMOF citation info
Materials: NEWS
In views: Finance, Optimization, ReproducibleResearch
CRAN checks: NMOF results

Downloads:

Reference manual: NMOF.pdf
Vignettes: An Overview of the NMOF Package
Fitting the Nelson–Siegel–Svensson model with Differential Evolution
Solving the N-Queens Problem with Local Search
Asset selection with Local Search
Robust Regression with Particle Swarm Optimisation and Differential Evolution
Portfolio Optimisation with Threshold Accepting
Examples for the qTable function
Repairing solutions
Vectorised objective functions
Package source: NMOF_2.0-1.tar.gz
Windows binaries: r-devel: NMOF_2.0-1.zip, r-release: NMOF_2.0-1.zip, r-oldrel: NMOF_2.0-1.zip
OS X binaries: r-release: NMOF_2.0-1.tgz, r-oldrel: NMOF_2.0-1.tgz
Old sources: NMOF archive

Reverse dependencies:

Reverse imports: hybridEnsemble, MaxMC, PMwR
Reverse suggests: MSCMT

Linking:

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