NMOF: Numerical Methods and Optimization in Finance

Functions, examples and data from the book 'Numerical Methods and Optimization in Finance' by M. Gilli, D. Maringer and E. Schumann. 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.

Version: 0.36-2
Depends: R (≥ 2.14)
Imports: grDevices, graphics, parallel, stats, utils
Suggests: MASS, RUnit, quadprog
Published: 2015-10-20
Author: Enrico Schumann [aut, cre]
Maintainer: Enrico Schumann <es at enricoschumann.net>
BugReports: NA
License: GPL-3
URL: http://nmof.net, 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


Reference manual: NMOF.pdf
Vignettes: An Overview of the NMOF Package
Fitting the Nelson–Siegel–Svensson model with Differential Evolution
Asset selection with Local Search
Robust Regression with Particle Swarm Optimisation and Differential Evolution
Portfolio Optimisation with Threshold Accepting
Examples for the qTable function
Repairing solutions
Vectorised objective functions
Package source: NMOF_0.36-2.tar.gz
Windows binaries: r-devel: NMOF_0.36-2.zip, r-release: NMOF_0.36-2.zip, r-oldrel: NMOF_0.36-2.zip
OS X Mavericks binaries: r-release: NMOF_0.36-2.tgz, r-oldrel: NMOF_0.36-2.tgz
Old sources: NMOF archive

Reverse dependencies:

Reverse imports: hybridEnsemble