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NMOF (version 0.22-0)

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

0.22-0

License

GPL-3

Maintainer

Enrico Schumann

Last Published

December 10th, 2011

Functions in NMOF (0.22-0)

NMOF-internal

Internal NMOF functions
GAopt

Optimisation with a Genetic Algorithm
xwGauss

Integration of Gauss-type
qTable

Prepare LaTeX Table with Quartile Plots
NS

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

Simple Moving Average
PSopt

Particle Swarm Optimisation
callCF

Price a Plain-Vanilla Call with the Characteristic Function
bundData

German Government Bond Data
DEopt

Optimisation with Differential Evolution
NSf

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

Zero-Bracketing
LSopt

Stochastic Local Search
callHestoncf

Price of a European Call under the Heston Model
testFunctions

Classical Test Functions for Unconstrained Optimisation
fundData

Mutual Fund Returns
TAopt

Optimisation with Threshold Accepting
gridSearch

Grid Search
restartOpt

Restart an Optimisation Algorithm
repairMatrix

Repair an Indefinite Correlation Matrix
NMOF-package

Numerical Methods and Optimization in Finance
EuropeanCall

Computing Prices of European Calls with a Binomial Tree