2024-03-21 Enrico Schumann * R/market_data.R: use zoo::zoo to fix namespace * inst/tinytest/test_bracketing.R: add testfile * R/market_data.R (Shiller): implement new URL of file; if argument "url" is not explicitly defined, the function uses the new URL 2024-03-20 Enrico Schumann * R/bracket.R (bracketing): fix bug introduced in version 2.9-0 * R/market_data.R (French): new argument "return.class", with default value 'data.frame'; a single alternative value 'zoo' is supported 2024-02-20 Enrico Schumann * R/market_data.R (French): support dataset "F-F_Research_Data_5_Factors_2x3_daily_CSV.zip" 2023-12-29 Enrico Schumann * DESCRIPTION (Version): 2.9-0 2023-12-28 Enrico Schumann * inst/tinytest/test_trackingPortfolio.R: make test less stringent 2023-12-25 Enrico Schumann * R/bracket.R (bracketing): directly compare signs, instead of the sign of products, which works better when 'fun' evaluates to /exactly/ zero 2023-10-24 Enrico Schumann * R/approxTR.R (approxBondReturn): new function, which approximates the total return of a bond by its duration & convexity, as described in Swinkels(2019) 2023-10-20 Enrico Schumann * DESCRIPTION (Version): 2.8-0 * man/*.Rd: fix many links 2023-10-15 Enrico Schumann * R/market_data.R (Ritter): fix removal of empty lines * R/internals.R (mcList): add 'affinity.list' 2023-07-31 Enrico Schumann * R/market_data.R (Ritter): adapt to new file format 2023-03-25 Enrico Schumann * R/options.R (vanillaOptionEuropean): compute "DvegaDspot" and "DvegaDvol" 2023-03-01 Enrico Schumann * R/portfolio.R (minMAD): copy neighbourhood function from "neighbours" package 2023-02-28 Enrico Schumann * R/portfolio.R (minMAD): add function 2023-01-24 Enrico Schumann * R/portfolio.R (trackingPortfolio): add argument 'ls.algo' for specifying settings for method 'ls' (trackingPortfolio): no longer require 'var' when 'R' is specified 2023-01-13 Enrico Schumann * R/callHestoncf.R (callHestoncf): add argument 'uniroot.control' for passing settings for 'uniroot', and 'uniroot.info' 2022-10-20 Enrico Schumann * DESCRIPTION (Version): 2.7-1 * man/*: documentation updates 2022-08-19 Enrico Schumann * DESCRIPTION (Version): 2.7-0 2022-06-29 Enrico Schumann * R/market_data.R (French): safeguard download so that the function evaluates to NULL when the download fails. That behaviour had been intended as least since 2020-01-23 [see ChangeLog], but had so far depended on the return value of 'download.file'. 2022-03-22 Enrico Schumann * R/options.R (vanillaOptionAmerican): the function now works even for very small values for M (M <= 3) 2022-03-16 Enrico Schumann * R/options.R (barrierOptionEuropean): add function 2022-03-09 Enrico Schumann * R/mc.R (gbm): the function gains an argument "antithetic", with default FALSE. If TRUE, only npaths/2 paths are created and then duplicated with switched sign 2022-01-27 Enrico Schumann * R/mc.R (gbm, gbb): both functions gain an argument "exp.result", with default TRUE. If FALSE, the log paths are returned (gbb): the function gets an argument "log", with default FALSE, which matches the previous behaviour 2022-01-26 Enrico Schumann * DESCRIPTION (Version): 2.6-0 2021-12-29 Enrico Schumann * R/portfolio.R (group_constraints_matrices): fix group constraints with a single group 2021-11-12 Enrico Schumann * R/randomReturns.R (randomReturns): specially handle case rho == 1. Also, add an argument "exact"; if TRUE, the created matrix has exact means, standard deviations and correlations. Default is FALSE. 2022-05-10 Enrico Schumann * DESCRIPTION (Version): 2.5-1 * man/*,vignettes/*,inst/tinytest/*: add tests whether suggested packages 'quadprog' and 'Rglpk' are available 2021-10-20 Enrico Schumann * DESCRIPTION (Version): 2.5-0 2021-09-28 Enrico Schumann * R/gridSearch.R (gridSearch): allow non-numeric input arguments, e.g. factors or character vectors, specified in argument "levels". Used only if argument 'asList' is TRUE. 2021-07-22 Enrico Schumann * R/market_data.R (Ritter): add function, which downloads IPO data from Jay Ritter 2021-05-30 Enrico Schumann * R/market_data.R (French): trim whitespace from "industry_group" 2021-04-09 Enrico Schumann * DESCRIPTION (Version): 2.4-1 * R/*opt.R: set default value of 'printBar' to 'interactive()' in optimisation functions * inst/tinytest/test_portfolio.R: run several tests only locally 2021-04-01 Enrico Schumann * DESCRIPTION (Version): 2.4-0 2021-03-30 Enrico Schumann * inst/tinytest/test_portfolio.R: use more tolerance in tests 2021-03-23 Enrico Schumann * R/market_data.R (French): support univariate dataset "Portfolios Formed on ME" 2021-03-12 Enrico Schumann * R/randomReturns.R (randomReturns): 'rho' may now be a correlation matrix 2021-02-22 Enrico Schumann * R/portfolio.R (minCVaR): support wmin/wmax other than the defaults (thanks to Peter Garnry for reporting on GitHub) (minCVaR): support group constraints * R/market_data.R (French): the function no longer fails when a column is are NA; more tweaks to process files * R/callHestoncf.R (callHestoncf): new \dots argument for passing arguments to 'integrate' 2021-01-19 Enrico Schumann * DESCRIPTION (Version): 2.3-1 * R/market_data.R (Shiller): support additional columns; construct dates as monthly sequence instead of parsing the dates in the file 2020-10-31 Enrico Schumann * R/portfolio.R (minCVaR): new arguments 'min.return' and 'm' for specifying a minimum-return restriction 2020-10-20 Enrico Schumann * DESCRIPTION (Version): 2.2-2 * inst/tinytest: exclude tests after spurious error on CRAN machine 2020-10-20 Enrico Schumann * DESCRIPTION (Version): 2.2-1 * man/optionData.Rd: update URLs, as requested by CRAN 2020-10-20 Enrico Schumann * DESCRIPTION (Version): 2.2-0 2020-10-14 Enrico Schumann * R/market_data.R (French): use 'basename' on the dataset, so that the complete ftp-link to a dataset can be used 2020-08-19 Enrico Schumann * R/TAopt.R (TAopt): new option 'drop0',to be passed via 'algo' 2020-07-29 Enrico Schumann * vignettes/portfolio.Rnw: add vignette on portfolio-selection functions 2020-06-23 Enrico Schumann * R/portfolio.R (group_constraints_matrices): fix how constraints matrices are set up (thanks to 'clcsar' for reporting on GitHub); allow group labels 2020-06-10 Enrico Schumann * R/portfolio.R (trackingPortfolio): export function 2020-06-10 Enrico Schumann * R/portfolio.R (trackingPortfolio): add function (not yet exported); see http://enricoschumann.net/notes/return-based-tracking-portfolios.html 2020-05-12 Enrico Schumann * R/market_data.R (French): for industry portfolios, also export "Sum of BE/Sum of ME". The data are attached as an attribute "sumBE.sumME". All data-frames attached as attributes now have the timestamps as rownames. 2020-04-27 Enrico Schumann * R/market_data.R: support further datasets, such as "Bivariate sorts on Size, B/M, OP and Inv" 2020-04-11 Enrico Schumann * R/portfolio.R (minCVaR): add function; see http://enricoschumann.net/notes/minimising-conditional-var.html 2020-04-01 Enrico Schumann * DESCRIPTION (Version): 2.1-0 2020-03-17 Enrico Schumann * R/market_data.R (French): provide more information for share issuance dataset 2020-02-20 Enrico Schumann * R/market_data.R (French): adapt function to changed format (momentum monthly/yearly) 2020-02-17 Enrico Schumann * R/portfolio.R (minvar,mvFrontier,mvPortfolio): the functions gain arguments 'groups', 'groups.wmin' and 'groups.wmax', which allow to specify group constraints 2020-01-23 Enrico Schumann * R/market_data.R (French,Shiller): if download fails, return NULL invisibly 2019-12-30 Enrico Schumann * R/market_data.R (Shiller): adapt function to new file format (reordered sheets) 2019-12-25 Enrico Schumann * R/portfolio.R (mvPortfolio): new argument 'lambda' for specifying a risk--reward trade-off 2019-12-11 Enrico Schumann * R/market_data.R (French): improve parsing of not-explicitly-supported _daily_ datasets 2019-11-24 Enrico Schumann * R/market_data.R (Shiller): adapt function to new file format 2019-11-16 Enrico Schumann * R/market_data.R (French): improve parsing of not-explicitly-supported datasets 2019-10-20 Enrico Schumann * DESCRIPTION (Version): 2.0-1 * DESCRIPTION (Suggests): add 'PMwR' 2019-10-17 Enrico Schumann * R/TAopt.R (TA.info): add the objective-function value of currently best solution, 'OF.xbest', to the data that 'TA.info' provides 2019-10-11 Enrico Schumann * R/market_data.R (French): support "Portfolios_Formed_on_NI_CSV.zip", "Portfolios_Formed_on_RESVAR_CSV.zip" * DESCRIPTION (ByteCompile): set to 'yes' again 2019-10-07 Enrico Schumann * R/portfolio.R (minvar): require 'quadprog' only for method "qp" 2019-09-26 Enrico Schumann * DESCRIPTION (ByteCompile): remove explicit setting 2019-09-13 Enrico Schumann * R/market_data.R (French): fix special datasets 'market' and 'rf' 2019-09-08 Enrico Schumann * R/randomReturns.R (randomReturns): add function * R/greedySearch.R (greedySearch): add function * R/showExample.R, internals.R: replace the vector 'Chapters' (which is not exported) with 'Chapters1' and 'Chapters2' (the chapter names of the first and second edition) 2019-08-23 Enrico Schumann * R/market_data.R (French): new argument 'adjust.frequency': if TRUE (the default), frequency is set to TRUE if the dataset looks like a daily file 2019-06-27 Enrico Schumann * R/market_data.R (Shiller): suppress warnings that are issued with new version of 'readxl' 2019-06-26 Enrico Schumann * R/DEopt.R, PSopt.R (DEopt, PSopt): DEopt and PSopt gain a 'drop' option. If FALSE, the dimension attribute of a solution is kept when the population is evaluated via a loop, i.e. functions receive a one-column matrix. Note that the defaults differ for both functions, so that the functions behave as before. 2019-06-25 Enrico Schumann * R/market_data.R (French): support "10_Portfolios_Prior_12_2_CSV.zip" and "10_Portfolios_Prior_12_2_Daily_CSV.zip" 2019-06-20 Enrico Schumann * R/resampleC.R (resampleC): if 'cormat' is a single number, it is expanded into a constant correlation matrix (this has worked before, but only for the case of two series) 2019-05-16 Enrico Schumann * R/market_data.R (French): support "F-F_Momentum_Factor_CSV.zip" 2019-04-16 Enrico Schumann * R/market_data.R (French): support datasets "market" and "rf" 2019-04-01 Enrico Schumann * DESCRIPTION (Version): 1.6-0 * R/market_data.R (French): support more datasets 2018-12-31 Enrico Schumann * DESCRIPTION (Version): 1.5-0 * R/TAopt.R (TAopt): new option 'thresholds.only'. If TRUE, TAopt computes only threshold sequence and then exits. 2018-10-20 Enrico Schumann * R/market_data.R (French): support more datasets 2018-09-22 Enrico Schumann * R/market_data.R (French): support datasets "siccodes12" and "siccodes49"; improve output formatting 2018-09-16 Enrico Schumann * R/market_data.R (French): fix data interpretation for "me_breakpoints" 2018-09-04 Enrico Schumann * R/market_data.R (French): support datasets "me_breakpoints", "industry49_defs" 2018-08-29 Enrico Schumann * R/market_data.R (Shiller, French): add 'dest.dir' argument: downloaded files are stored in this directory and reused when a download is done on the same day 2018-08-08 Enrico Schumann * R/portfolio.R (mvFrontier): the function gains a new argument 'rf', as in "risk-free rate". When specified, the frontier will be computed including a cash position. 2018-07-21 Enrico Schumann * R/market_data.R (Shiller): fix date coersion 2018-07-03 Enrico Schumann * R/market_data.R (French): support dataset 'ff3' 2018-06-27 Enrico Schumann * R/portfolio.R (mvPortfolio): add function 2018-06-23 Enrico Schumann * DESCRIPTION (Suggests): remove 'snow', as requested by CRAN (Version): 1.4-3 * inst/NMOFex/*: code examples have been removed (but remain available from http://enricoschumann.net) 2018-06-19 Enrico Schumann * DESCRIPTION (Suggests): add 'readxl' 2018-06-12 Enrico Schumann * R/market_data.R (French): new argument 'na.rm'; support for "industry49" dataset, monthly and daily 2018-05-18 Enrico Schumann * DESCRIPTION (Version): 1.4-2 (Suggests): add package 'snow', as requested by CRAN 2018-05-08 Enrico Schumann * DESCRIPTION (Version): 1.4-1 (ByteCompile): remove explicit setting (Authors@R): add ORCID 2018-05-04 Enrico Schumann * R/market_data.R (French): add function 2018-05-01 Enrico Schumann * R/market_data.R (Shiller): add function 2018-04-24 Enrico Schumann * DESCRIPTION (Version): 1.4-0 2018-02-21 Enrico Schumann * R/colSubset.R (colSubset): explicitly set LAPACK=FALSE (the default already); see https://stat.ethz.ch/pipermail/r-devel/2018-January/075398.html 2017-12-06 Enrico Schumann * R/TAopt.R (TAopt): new option 'nI', for number of iterations. If specified, it will override 'nS'. The option makes it easier to switch between functions 'LSopt', 'TAopt' and 'SAopt'. * R/SAopt.R (SAopt): new option nI * R/LSopt.R (LSopt): new option nI 2017-12-05 Enrico Schumann * R/bonds.R (convexity): add function 2017-12-05 Enrico Schumann * DESCRIPTION (Version): 1.3-0 2017-10-27 Enrico Schumann * vignettes/LSqueens.Rnw: add vignette 2017-10-19 Enrico Schumann * DESCRIPTION (Version): 1.2-2 * R/*: remove unnecessary whitespace, remove commented code * man/*: update references 2017-10-10 Enrico Schumann * DESCRIPTION (Version): 1.2-1 * R/portfolio.R (minvar): remove (harmless) warning when weight-limit vectors have length > 1 * inst/unitTests/unitTests_portfolio.R (test.minvar): add tests * man/NMOF-package.Rd: add more links * man/pm.Rd: fix equation format 2017-09-12 Enrico Schumann * DESCRIPTION (Version): 1.2-0 * R/bundFuture.R (bundFuture,bundFutureImpliedRate): add functions 2017-05-01 Enrico Schumann * DESCRIPTION (Version): 1.1-0 * man/divRatio.Rd: document and export 'divRatio' 2017-04-23 Enrico Schumann * R/divRatio.R: add function 2017-04-20 Enrico Schumann * DESCRIPTION (Version): 1.0-2 (ByteCompile): set to no * R/pm.R (cm): with no data points below 'threshold', a lower conditional moment is set to zero instead of NaN; with no data points above 'threshold', an upper conditional moment is set to zero (the function is not exported) 2017-04-05 Enrico Schumann * DESCRIPTION (Version): 1.0-1 (ByteCompile): set to yes * R/pm.R (cm): fix computation of conditional moment (function is not exported) 2017-04-01 Enrico Schumann * DESCRIPTION (Version): 1.0-0 * R/resampleC.R (resampleC): if only two series are passed, 'cormat' can be a single number (the correlation) * R/TAopt.R (TA.info): 'OF.sampling' is TRUE when the algorithm samples the objective function and FALSE during the actual optimisation * R/TAopt.R (TAopt): improved printed output when 'printDetail' and 'printBar' are both TRUE 2017-03-31 Enrico Schumann * R/portfolio.R (minvar): allow Inf and -Inf as maximum/minimum weights 2017-03-21 Enrico Schumann * R/portfolio.R (mv_frontier,mvFrontier): rename 'mv_frontier' to 'mvFrontier' (mvFrontier): 'm' is now recycled if of length 1; add check whether 'quadprog' is available 2017-03-18 Enrico Schumann * R/portfolio.R (minvar): the result gains an attribute 'variance', which returns the portfolio variance 2017-03-15 Enrico Schumann * R/LSopt.R (LSopt): add new option 'OF.target', which lets the algorithm stop when a desired objective-function value is reached * NAMESPACE: import 'graphics::legend' 2017-03-10 Enrico Schumann * R/SAopt.R: safeguard computation of initial temperature 2017-03-01 Enrico Schumann * man/DEopt.Rd, GAopt.Rd, PSopt.Rd: fix documentation of 'xlist' 2017-02-15 Enrico Schumann * DESCRIPTION (Version): 0.99-0 * NAMESPACE: export 'minvar' * R/portfolio.R (minvar): add check whether 'quadprog' is available * man/minvar.Rd: add file * man/SAopt.Rd: update docs 2017-02-01 Enrico Schumann * inst/unitTests/unitTestsSAopt.R (test.SAopt): add unit tests for 'SAopt' 2017-01-31 Enrico Schumann * R/CPPIgap.R (CPPI): Add function and docs * R/SAopt.R (SAopt): add function (SA.info): add function (print.SAopt): add function, not exported (plot.SAopt): add function, not exported 2016-11-30 Enrico Schumann * vignettes/repair.Rnw: set 'max.print' and 'width' options 2016-11-25 Enrico Schumann * R/restartOpt.R (restartOpt): do no longer use which.min, which silently drops NAs, to determine best solution * R/portfolio.R (erc): fixed -- 'wmin' and 'wmax' were ignored (erc): 'wmin' and 'wmax' may now be vectors, specifying holding-size constraints for each asset 2016-10-19 Enrico Schumann * DESCRIPTION (Version): 0.40-0 * R/xtContractValue.R (xtTickValue): add function 2016-09-30 Enrico Schumann * DESCRIPTION (Version): 0.39-0 * R/xtContractValue.R (xtContractValue): add function 2016-09-03 Enrico Schumann * DESCRIPTION (Version): 0.38-0 * man/TAopt.Rd, LSopt.Rd: update behaviour of 'printDetail' * R/portfolio.R (minvar, mv_frontier): use `::` notation for 'solve.QP' 2016-09-02 Enrico Schumann * R/LSopt: switch off printBar if 'printDetail > 1' 2016-08-29 Enrico Schumann * R/portfolio.R (erc): experimental -- add functions for computing ERC, min-variance portfolios [not exported] 2016-08-27 Enrico Schumann * DESCRIPTION (Version): 0.37-6 * R/mc.R (gbb): fixed -- 'gbb' failed when only a single path was to be computed * inst/unitTests/unitTests_mc.R (test.gbm): add tests 2016-08-23 Enrico Schumann * DESCRIPTION (Version): 0.37-5 * man/mc.Rd: add fanplot example * inst/CITATION: add NMOF manual 2016-07-12 Enrico Schumann * DESCRIPTION (Version): 0.37-4 * R/DEopt.R (DEopt): fixed -- function now also works for univariate models; reported by Torsten von Bartenwerffer 2016-07-06 Enrico Schumann * DESCRIPTION (Version): 0.37-3 * R/TAopt.R (TAopt): add new option 'OF.target', which lets the algorithm stop when a desired objective-function value is reached 2016-06-08 Enrico Schumann * DESCRIPTION (Version): 0.37-2 * R/TAopt.R (TA.info): add 'xbest' to the data that 'TA.info' provides 2016-05-24 Enrico Schumann * DESCRIPTION (Version): 0.37-1 * R/testFun.R (tfEggholder): new test function 2016-04-12 Enrico Schumann * README.org: add RSS feed; format improvements * vignettes/An_overview.Rnw: add link to RSS feed * inst/unitTests/runTests.R: fixed -- 'testFileRegexp' was wrong and so unit test were not run 2016-04-11 Enrico Schumann * DESCRIPTION (Version): 0.37-0 * R/TAopt.R (print.TAopt): return 'invisible(x)' * R/TAopt.R (plot.TAopt): new argument 'plot.type'; use 'do.call' for invoking plot 2016-04-07 Enrico Schumann * DESCRIPTION (Version): 0.36-5 * R/repairMatrix.R (repairMatrix): new argument 'eps', which specifies the replacement value for negative eigenvalues 2016-04-05 Enrico Schumann * DESCRIPTION (Description): add ISBN 2016-03-02 Enrico Schumann * NAMESPACE: import 'lines', 'grey' from package 'grDevices'/'graphics' 2016-02-23 Enrico Schumann * R/TAopt.R (TAopt): Experimental. An argument 'classify' can now be specified (passed through 'algo' settings). Default is FALSE; if TRUE, the result gets a class attribute 'TAopt'. Methods for 'plot' and 'print' have been added. 2015-12-08 Enrico Schumann * man/*: added \concept to several help files 2015-11-18 Enrico Schumann * DESCRIPTION (Version): 0.36-4 * R/bracket.R (bracketing): the resulting matrix's columns are named 'lower' and 'upper' * inst/unitTests/unitTests2.R (test.bracketing): updated unit tests to include column names 2015-11-09 Enrico Schumann * DESCRIPTION (Version): 0.36-3 * R/restartOpt.R (restartOpt): when 'cl' is specified and 'method' is identical to 'loop', the function will now issue a warning before changing method to 'snow' * R/DEopt.R (DEopt and other files): updated invocations of 'makeInteger' * R/internals.R (makeInteger): use 'sQuote' to quote argument name 2015-10-16 Enrico Schumann * DESCRIPTION (Version): 0.36-2 * NAMESPACE: explicitly import functions from all packages other than 'base': 'grDevices', 'graphics', 'stats', 'utils' 2015-07-22 Enrico Schumann * DESCRIPTION (Version): 0.36-1 * R/TAopt.R (TAopt): more informative error message when objective function evaluates to NA during computation of thresholds 2015-06-23 Enrico Schumann * DESCRIPTION (Version): 0.36-0 * NAMESPACE: export 'LS.info' * R/LSopt.R (LS.info): added function * man/LS.info.Rd: added file 2015-06-04 Enrico Schumann * DESCRIPTION (Version): 0.35-1 2015-06-03 Enrico Schumann * man/callMerton.Rd: small correction in parameter description (suggested by Laurs Leth) 2015-05-12 Enrico Schumann * DESCRIPTION (Version): 0.35-0 * R/pm.R (pm): new function 'pm' (partial moment) 2015-05-07 Enrico Schumann * R/EuropeanCallBE.R (EuropeanCallBE): remove unnecessary final assignment 2015-05-05 Enrico Schumann * DESCRIPTION (Version): 0.34-2 * R/DEopt.R (DEopt): fixed -- 'DEopt' did not properly handle 'minmaxConstr', which could result in solutions that violated the box constraints. (Thanks to David Ashear for reporting.) * inst/unitTests/unitTestsDEopt.R: added test case for box constraints 2015-02-03 Enrico Schumann * DESCRIPTION (Version): 0.34-1 * vignettes/: updated 'VignetteKeyword' as requested by the CRAN maintainers 2015-01-27 Enrico Schumann * vignettes/.install_extras: added file (NMOF.bib now installed with vignettes) 2014-11-05 Enrico Schumann * DESCRIPTION (Author): removed Author field (CRAN request) 2014-10-23 Enrico Schumann * DESCRIPTION (Version): 0.34-0 * R/*: removed all 'require("parallel")' tests from 'GAopt', 'bracketing', 'gridSearch' and 'restartOpt' 2014-09-09 Enrico Schumann * man/NMOF-package.Rd: moved some examples out of 'dontrun' 2014-09-05 Enrico Schumann * DESCRIPTION (Imports): added parallel (before in Suggests) 2014-08-22 Enrico Schumann * DESCRIPTION (Version): 0.33-0 * man/NMOF-package.Rd: corrected regexp in examples * inst/CITATION: added address * vignettes/An_overview.Rnw: updated 2014-08-14 Enrico Schumann * DESCRIPTION (Version): 0.32-1 * man/PSopt.Rd: small update (mention 'loopChangeV') * R/PSopt.R (PSopt): added tests that vectorised functions return objects of correct size 2014-05-01 Enrico Schumann * R/integrate.R (xwGauss): use tolower before matching the method (xwGauss): removed line ends 2014-04-01 Enrico Schumann * man/bonds.Rd: 'offset' can be a vector (that worked before as well, but is now documented) 2014-03-26 Enrico Schumann * DESCRIPTION (Version): 0.32-0 * man/colSubset.Rd: escaped % in example 2014-03-24 Enrico Schumann * vignettes/LSselect.Rnw: changed solution-representation from numeric to logical 2014-03-19 Enrico Schumann * man/TA.info.Rd: added file 2014-03-18 Enrico Schumann * NAMESPACE: added colSubset; added TA.info 2014-03-17 Enrico Schumann * R/TAopt.R (TA.info()): added function 2014-02-25 Enrico Schumann * man/colSubset.Rd: added file * R/colSubset.R (colSubset): added function 2014-02-21 Enrico Schumann * DESCRIPTION (Version): 0.31-2 * vignettes/An_overview.Rnw: added links to mailing lists * man/optionData.Rd: removed call to 'data' 2014-01-06 Enrico Schumann * R/randomp.R (random.p): 'sketch' of general function for creating random portfolios (not exported yet) 2013-12-31 Enrico Schumann * DESCRIPTION (Version): 0.31-1 * vignettes/An_overview.Rnw: expanded overview vignette 2013-12-27 Enrico Schumann * DESCRIPTION (Version): 0.31-0 * R/callMerton.R (callMerton): added implied vol computation * vignettes/an_overview.Rnw: added vignette * vignettes/LSselect.Rnw: updated (renamed variables) 2013-12-24 Enrico Schumann * R/callMerton.R (callMerton): added function 2013-11-18 Enrico Schumann * DESCRIPTION (Version): 0.30-0 * R/bonds.R (y2df): removed (duration): added function 2013-11-02 Enrico Schumann * DESCRIPTION (Version): 0.29-2 * R/bonds.R (ytm): added argument 'offset' 2013-10-31 Enrico Schumann * DESCRIPTION (Version): 0.29-1 * R/bonds.R (ytm): slightly faster * inst/unitTests/unitTestsBonds.R (test.ytm): added unit tests for 'ytm' 2013-10-13 Enrico Schumann * DESCRIPTION (Version): 0.29-0 * R/drawdown.R: added drawdown 2013-09-27 Enrico Schumann * man/NMOF-package.Rd: added (sub)sections 2013-09-04 Enrico Schumann * DESCRIPTION (Version): 0.28-2 * vignettes/LSselect.Rnw: reduced number of restarts * vignettes/DEnss.Rnw: reduced number of restarts * vignettes/PSlms.Rnw: small adjustments (style) * R/options.R (vanillaOptionEuropean): removed old (commented) code; changed upper integration limits for method 'heston' to 'Inf' (as in 'callCF') 2013-07-26 Enrico Schumann * man/qTable.Rd: added hint to use 'cat' in vignettes 2013-07-22 Enrico Schumann * DESCRIPTION (Version): 0.28-1 * R/callCF.R (callCF): changed upper integration limits to 'Inf' * R/callHestoncf.R (cfHeston): changed upper integration limits to 'Inf' * inst/unitTests/unitTestscallCF.R (test.callCF): removed 'vanillaOptionEuropean' definition 2013-06-10 Enrico Schumann * DESCRIPTION (Suggests): removed snow 2013-06-06 Enrico Schumann * R/internals.R (mcList): updated mcList -- added "mc.allow.recursive = TRUE" and changed "mc.cores" to getOption("cores", 2L)" * R/gridSearch.R (gridSearch): removed require("multicore") * R/GAopt.R (GAopt): removed require("multicore") * R/restartOpt.R: removed require("multicore") * R/bracket.R (bracketing): removed require("multicore") * R/mc.R (gbb): removed "mc" (for now) from exported functions * DESCRIPTION (Depends): (>= 2.14) 2013-06-04 Enrico Schumann * DESCRIPTION (Suggests): removed 'multicore' * inst/unitTests/runTests.R: corrected paths * inst/NMOFex/README: added link to NMOF manual 2013-05-27 Enrico Schumann * man/mc.R: added file * R/MC.R (gBrownianBridge): added implementation of geometric Brownian bridge 2013-05-23 Enrico Schumann * R/MC.R (gBrownianMotion): added implementation of geometric Brownian motion 2013-05-05 Enrico Schumann * .Rbuildignore: added file (mainly to exclude 'dev' directory) 2013-04-26 Enrico Schumann * DESCRIPTION (Version): 0.27-5 * man/putCallParity.Rd: added examples * R/internals.R (due): added helper function 'due' (_d_ividends _u_ntil _e_xpiry) * inst/unitTests/unitTests1.R (test.vanillaOptionEuropean): added checks for dividends 2013-04-25 Enrico Schumann * inst/doc/*.Rnw: increased number of runs ('nRuns') since vignettes are built offline 2013-04-24 Enrico Schumann * man/bonds.Rd: added more examples 2013-04-22 Enrico Schumann * DESCRIPTION (Version): 0.27-4 * R/options.R (vanillaOptionEuropean): fixed -- for BSM, a parameter 'vol' can be passed via '...' (which is ignored if v is specified) * R/bonds.R (vanillaBond): does not use 'y2df' any more 2013-02-06 Enrico Schumann * R/repairMatrix.R (repairMatrix): added parameter eps 2013-01-05 Enrico Schumann * inst/unitTests/unitTestsPCparity.R (test.putCallParity): added file * NAMESPACE: added 'putCallParity' * R/options.R (vanillaOptionEuropean): for BSM, a parameter 'vol' can be passed via '...' (which is translated into 'v' by squaring) 2013-01-04 Enrico Schumann * DESCRIPTION (Version): 0.27-3 * inst/unitTests/unitTestsRestartOpt.R: added (taken from unitTests1.R) * inst/unitTests/unitTestsMA.R: added (taken from unitTests1.R) * R/callCF.R (callCF): removing useless comments and 'skeletons' for greek computation 2013-01-03 Enrico Schumann * DESCRIPTION (Version): 0.27-2 * man/options.Rd: updated docs * man/bonds.Rd: fixed -- max number of iterations in 'ytm' is 1000 2013-01-02 Enrico Schumann * DESCRIPTION (Version): 0.27-1 * R/bonds.R (ytm): uses numerically-evaluated derivative (not finite difference) 2012-12-27 Enrico Schumann * man/bonds.Rd: added * NAMESPACE: added 'ytm' and 'vanillaBond' 2012-12-26 Enrico Schumann * R/options.R (vanillaOptionEuropean): experimental -- new arguments 'model' (default is NULL) and '...' * R/options.R (vanillaOptionEuropean): small correction in check for 'q' and 'D' 2012-12-10 Enrico Schumann * R/options.R (putCallParity): added function * R/MC.R (MCpricing): added several skeletons for functions (BrownianMotion, BrownianBridge, MCpricing) * R/bonds.R: added several functions for bond pricing: vanillaBond, y2df (yields to discountfactors) and ytm (yield-to-maturity) 2012-11-29 Enrico Schumann * DESCRIPTION (Version): 0.27-0 (CRAN release candidate) * R/qTable.R: added arguments funs, tabular.format and skip. (To keep old behaviour, set skip to FALSE.) 2012-11-19 Enrico Schumann * inst/unitTests/unitTestsPSopt.R (OF): several changes in unit tests 2012-10-26 Enrico Schumann * inst/unitTests/unitTests1.R (test.vanillaOptionImpliedVol): added initial interval for American options * R/: in all option pricing functions, a returned value is now named 'value' (and not 'price' or 'callPrice' as before) * R/options.R (vanillaOptionE/A): cleaned up dividend checks 2012-09-20 Enrico Schumann * man/options.Rd: updated docs 2012-09-17 Enrico Schumann * R/options.R (vanillaOptionImpliedVolatility): added function 2012-09-03 Enrico Schumann * man/options.Rd: added functions 'vanillaOptionEuropean' and '-American' 2012-08-27 Enrico Schumann * R/..opt.R: functions returns 'initial.state' (.Random.seed) 2012-08-17 Enrico Schumann * man/NS.Rd: small correction in example * man/PSopt.Rd: small changes in example 2012-08-07 Enrico Schumann * R/restartOpt.R (restartOpt): new argument 'best.only'; if TRUE, only the best run will be reported. Default is FALSE: 2012-08-04 Enrico Schumann * DESCRIPTION (Suggests): added package parallel * R/restartOpt.R: with method "multicore" the function first checks if package 'parallel' is available; if not, it looks for package multicore 2012-08-01 Enrico Schumann * R/gridSearch.R (gridSearch): with method "multicore" the function first checks if package 'parallel' is available; if not, it looks for package multicore * R/bracket.R (bracketing): with method "multicore" the function first checks if package 'parallel' is available; if not, it looks for package multicore 2012-07-20 Enrico Schumann * inst/doc/PSlms.Rnw: corrected comments * inst/unitTests/unitTestsDEopt.R (OF): addded unit tests for tests of vectorised evaluation of OF 2012-07-19 Enrico Schumann * NEWS.Rd: removed 2012-07-18 Enrico Schumann * R/DEopt.R: added tests that vectorised functions return objects of correct size 2012-06-19 Enrico Schumann * inst/doc: changed style in all vignettes 2012-06-16 Enrico Schumann * R/NS.R (NS, NSS): removed (useless) assignment of result 2012-06-05 Enrico Schumann * R/TAopt.R (TAopt, LSopt): if 'x0' is not a function, it is initialised with eval(x0); thus, it can be an expression 2012-05-22 Enrico Schumann * man/LSopt.Rd: fixed small typo in greedy neighbour definition; examples of LSopt reworked 2012-04-21 Enrico Schumann * R/internals.R (repair1c): added vector 'Chapters' * inst/unitTests/unitTests1.R: decreased num of restarts * inst/unitTests/unitTests5.R: renamed into '...callCF.R' * inst/unitTests/unitTests3.R: deleted. (TA applications moved to manual). 2012-04-18 Enrico Schumann * man/LSopt.Rd: corrected error in greedy search example 2012-04-17 Enrico Schumann * R/showExample.R (showExample): added (also .Rd file) * added /inst/book: all example files from book 2012-04-13 Enrico Schumann * inst/doc/: small changes in several vignettes * inst/unitTests/unitTestsLSopt.R: moved tests for 'LSopt' from unitTests1.R to new file * inst/unitTests/unitTestsTAopt.R.T: moved tests for 'TAopt' from unitTests1.R to new file 2012-04-10 Enrico Schumann * RELEASE (R-Forge) 0.24-0 * man/LSopt.Rd, TAopt.Rd: updated documentation on 'TAopt' and 'LSopt' (for 'algo$storeSolutions' and 'algo$storeF') * R/PSopt.R: added 'algo$minmaxConstr'. If TRUE, 'algo$min' and 'algo$max' are considered constraints. Default is FALSE. (Like in 'DEopt'.) * R/internals.R (repair1c): added function. Not exported. * inst/unitTests/unitTestsPSopt.R: moved tests for 'PSopt' from unitTests1.R to new file * R/DEopt.R: added 'algo$minmaxConstr'. If TRUE, 'algo$min' and 'algo$max' are considered constraints. Default is FALSE. * R/resampleC.R (resampleC): added function 'resampleC' and documentation 2012-03-23 Enrico Schumann * RELEASE (R-Forge) 0.23-3 * R/restartOpt.R: Fixed: 'fun' (to be passed to *apply) is now prepared initially as 'fun2(ignore)', not via a helper function. (Before, an argument 'X' could not be passed with '...' becaused it clashed with the 'X' argument in *apply functions.) 2012-03-19 Enrico Schumann * RELEASE (R-Forge) 0.23-2 * inst/unitTests/unitTests1.R (test.LSopt/test.TAopt): added tests for 'xlist' for 'TAopt' and 'LSopt' 2012-03-18 Enrico Schumann * R/LSopt.R (N1): FIXED -- 'xlist' did not return 'new solution', only 'current solution' * R/TAopt.R (N1): FIXED -- 'xlist' did not return 'new solution', only 'current solution' 2012-03-16 Enrico Schumann * R/TAopt.R (TAopt): added 'flush.console' during computation of thresholds