Enrico Schumann
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 (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: 1.1-0 (2017-05-01)
source files manual NEWS ChangeLog
Vignettes
An Overview of the NMOF PackageFitting 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
To install the package from a running R session, type:
install.packages('NMOF') ## CRAN
install.packages('NMOF', type = 'source',
repos = c('http://enricoschumann.net/R', getOption('repos')))