NMOF (version 0.22-0)

NMOF-package: Numerical Methods and Optimization in Finance

Description

Functions, data and other Rcode from the book Numerical Methods and Optimization in Finance. Many functions are still experimental; interfaces may change in the future; there is little error handling. Comments/corrections/remarks/suggestions are very welcome (please contact the maintainer directly).

Details

The package contains implementations of several optimisation heuristics: Differential Evolution (DEopt), Genetic Algorithms (GAopt), (Stochastic) Local Search (LSopt), Particle Swarm (PSopt) and Threshold Accepting (TAopt). The term heuristic is understood here as a general purpose optimisation method. Dependencies: The package is completely written in R. A number of packages are suggested (they are not necessary to use the NMOF package). Package MASS is required to run the complete example for PSopt, and also in one of the vignettes (PSlms); multicore and snow are optional for functions bracketing, GAopt, gridSearch and restartOpt, and they may become an option for other functions; quadprog is needed for a vignette (TAportfolio) and some tests; RUnit is needed to run the tests in subdirectory unitTests. Version numbering: minor version numbers (like in x.1-x) are incremented when a feature is added or an existing feature is substantially revised. The patch level (x.x-1) is incremented with any published change.

References

Gilli, M., Maringer, D. and Schumann, E. (2011) Numerical Methods and Optimization in Finance. Elsevier. http://www.elsevierdirect.com/product.jsp?isbn=9780123756626

Examples

require("NMOF")

## overview
packageDescription("NMOF")
help(package = "NMOF")

## show NEWS file
news(Version >= "0.21-0", package = "NMOF")

## vignettes
vignette(package = "NMOF")
nss <- vignette("DEnss", package = "NMOF")
print(nss)
edit(nss)

## book website
browseURL("http://nmof.net")

## more examples
file.show(system.file("NMOFex/README",   package = "NMOF"))
file.show(system.file("NMOFex/NMOFex.R", package = "NMOF"))