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NMOF (version 0.20-0)

Numerical Methods and Optimization in Finance

Description

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, several implementations of optimisation heuristics (for instance, Differential Evolution, Genetic Algorithms and Threshold Accepting).

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Version

Install

install.packages('NMOF')

Monthly Downloads

1,105

Version

0.20-0

License

GPL-3

Maintainer

Enrico Schumann

Last Published

October 20th, 2011

Functions in NMOF (0.20-0)

LSopt

Stochastic Local Search
bracketing

Zero-Bracketing
DEopt

Optimisation with Differential Evolution
repairMatrix

Repair an Indefinite Correlation Matrix
GAopt

Optimisation with a Genetic Algorithm
NSf

Factor Loadings for Nelson--Siegel and Nelson--Siegel--Svensson
NS

Zero Rates for Nelson--Siegel--Svensson Model
restartOpt

Restart an Optimisation Algorithm
fundData

Mutual Fund Returns
NMOF-internal

Internal NMOF functions
TAopt

Optimisation with Threshold Accepting
qTable

Prepare LaTeX Table with Quartile Plots
bundData

German Government Bond Data
callHestoncf

Price of a European Call under the Heston Model
EuropeanCall

Computing Prices of European Calls with a Binomial Tree
PSopt

Particle Swarm Optimisation
xwGauss

Integration of Gauss-type
gridSearch

Grid Search
NMOF-package

Numerical Methods and Optimization in Finance
MA

Simple Moving Average
testFunctions

Classical Test Functions for Unconstrained Optimisation