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.
| Version: | 1.2-2 |
| Depends: | R (≥ 2.14) |
| Imports: | grDevices, graphics, parallel, stats, utils |
| Suggests: | MASS, RUnit, quadprog |
| Published: | 2017-10-20 |
| Author: | Enrico Schumann [aut, cre] |
| Maintainer: | Enrico Schumann <es at enricoschumann.net> |
| License: | GPL-3 |
| URL: | http://nmof.net, http://enricoschumann.net/NMOF |
| 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 Local Search for Combinatorial Problems Examples for the qTable function Repairing solutions Vectorised objective functions |
| Package source: | NMOF_1.2-2.tar.gz |
| Windows binaries: | r-devel: NMOF_1.2-2.zip, r-release: NMOF_1.2-2.zip, r-oldrel: NMOF_1.2-2.zip |
| OS X El Capitan binaries: | r-release: NMOF_1.2-2.tgz |
| OS X Mavericks binaries: | r-oldrel: NMOF_1.2-2.tgz |
| Old sources: | NMOF archive |
| Reverse imports: | hybridEnsemble |
| Reverse suggests: | MSCMT |
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