Functions, examples and data from the book "Numerical Methods and Optimization in Finance" by M. 'Gilli', D. 'Maringer' and E. Schumann (2011), ISBN 978-0123756626. The package provides implementations of several optimisation heuristics, such as Differential Evolution, Genetic Algorithms and Threshold Accepting. There are also functions for the valuation of financial instruments, such as bonds and options, and functions that help with stochastic simulations.

Maintainer: Enrico Schumann <es at enricoschumann.net>

Author(s): Enrico Schumann*

Install package and any missing dependencies by running this line in your R console:

install.packages("NMOF")

Depends R (>= 2.14)
Imports grDevices, graphics, parallel, stats, utils
Suggests MASS, RUnit, quadprog
Enhances
Linking to
Reverse
depends
Reverse
imports
hybridEnsemble
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suggests
MSCMT
Reverse
enhances
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linking to

Package NMOF
Materials
URL http://nmof.net http://enricoschumann.net/NMOF.htm
Task Views Finance , Optimization , ReproducibleResearch
Version 0.40-0
Published 2016-10-20
License GPL-3
BugReports
SystemRequirements
NeedsCompilation no
Citation
CRAN checks NMOF check results
Package source NMOF_0.40-0.tar.gz