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.

Version:	2.7-0
Depends:	R (≥ 2.14)
Imports:	grDevices, graphics, parallel, stats, utils
Suggests:	MASS, PMwR, RUnit, Rglpk, datetimeutils, openxlsx, quadprog, readxl, tinytest
Published:	2022-08-19
Author:	Enrico Schumann [aut, cre]
Maintainer:	Enrico Schumann <es at enricoschumann.net>
License:	GPL-3
URL:	https://gitlab.com/NMOF, https://github.com/enricoschumann/NMOF, http://enricoschumann.net/NMOF.htm
NeedsCompilation:	no
Classification/JEL:	C61, C63
Citation:	NMOF citation info
Materials:	NEWS
In views:	Finance, Optimization, ReproducibleResearch
CRAN checks:	NMOF results

Documentation:

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 Functions for portfolio selection Examples for the qTable function Repairing solutions Vectorised objective functions

Downloads:

Package source:	NMOF_2.7-0.tar.gz
Windows binaries:	r-devel: NMOF_2.7-0.zip, r-release: NMOF_2.7-0.zip, r-oldrel: NMOF_2.7-0.zip
macOS binaries:	r-release (arm64): NMOF_2.7-0.tgz, r-oldrel (arm64): NMOF_2.7-0.tgz, r-release (x86_64): NMOF_2.7-0.tgz, r-oldrel (x86_64): NMOF_2.7-0.tgz
Old sources:	NMOF archive

Reverse dependencies:

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

Linking:

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