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NMOF (version 1.2-2)

Numerical Methods and Optimization in Finance

Description

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.

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Version

Install

install.packages('NMOF')

Monthly Downloads

1,235

Version

1.2-2

License

GPL-3

Maintainer

Enrico Schumann

Last Published

October 20th, 2017

Functions in NMOF (1.2-2)

EuropeanCall

Computing Prices of European Calls with a Binomial Tree
GAopt

Optimisation with a Genetic Algorithm
MA

Simple Moving Average
NMOF-internal

Internal NMOF functions
LS.info

Local-Search Information
LSopt

Stochastic Local Search
NMOF-package

Numerical Methods and Optimization in Finance
NS

Zero Rates for Nelson--Siegel--Svensson Model
CPPI

Constant-Proportion Portfolio Insurance
DEopt

Optimisation with Differential Evolution
vanillaBond

Pricing Plain-Vanilla Bonds
NSf

Factor Loadings for Nelson--Siegel and Nelson--Siegel--Svensson
bundData

German Government Bond Data
bracketing

Zero-Bracketing
fundData

Mutual Fund Returns
gridSearch

Grid Search
PSopt

Particle Swarm Optimisation
callMerton

Price of a European Call under Merton's Jump--Diffusion Model
colSubset

Full-rank Column Subset
optionData

Option Data
vanillaOptionEuropean

Pricing Plain-Vanilla Options (European and American)
bundFuture

Theoretical Valuation of Euro Bund Future
divRatio

Diversification Ratio
drawdown

Drawdown
pm

Partial Moments
putCallParity

Put-Call Parity
SA.info

Simulated-Annealing Information
mc

Option Pricing via Monte-Carlo Simulation
TA.info

Threshold-Accepting Information
TAopt

Optimisation with Threshold Accepting
callCF

Price a Plain-Vanilla Call with the Characteristic Function
minvar

Minimum-Variance Portfolios
showExample

Display examples
testFunctions

Classical Test Functions for Unconstrained Optimisation
xtContractValue

Contract Value of Australian Government Bond Future
xwGauss

Integration of Gauss-type
SAopt

Optimisation with Simulated Annealing
callHestoncf

Price of a European Call under the Heston Model
qTable

Prepare LaTeX Table with Quartile Plots
repairMatrix

Repair an Indefinite Correlation Matrix
resampleC

Resample with Specified Rank Correlation
restartOpt

Restart an Optimisation Algorithm