[aut, cre]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, and functions that help with stochastic simulations.
| Version: | 2.1-0 |
| Depends: | R (≥ 2.14) |
| Imports: | grDevices, graphics, parallel, stats, utils |
| Suggests: | MASS, PMwR, RUnit, datetimeutils, quadprog, readxl |
| Published: | 2020-04-06 |
| Author: | Enrico Schumann
[aut, cre] |
| Maintainer: | Enrico Schumann <es at enricoschumann.net> |
| License: | GPL-3 |
| URL: | http://enricoschumann.net/NMOF, https://github.com/enricoschumann/NMOF, https://gitlab.com/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 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 Examples for the qTable function Repairing solutions Vectorised objective functions |
| Package source: | NMOF_2.1-0.tar.gz |
| Windows binaries: | r-devel: NMOF_2.1-0.zip, r-release: NMOF_2.1-0.zip, r-oldrel: NMOF_2.1-0.zip |
| macOS binaries: | r-release: NMOF_2.1-0.tgz, r-oldrel: NMOF_2.1-0.tgz |
| Old sources: | NMOF archive |
| Reverse imports: | hybridEnsemble, MaxMC, PMwR |
| Reverse suggests: | MSCMT |
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