NMOF – Numerical Methods and Optimization in Finance

0.10-1

opt-functions now have 'printBar' and 'printDetail' option (set via 'algo')

0.11-1

a number of test functions have been added (see ?testFunctions)
new examples added for 'DEopt' and 'TAopt'
vignettes have been revised

0.12-1

documentation has been revised

0.12-9

fewer simulation runs in vignettes to reduce build time

0.13-0

function 'GAopt' added (minimisation by a Genetic Algorithm)
several unit tests added
documentation revised (thanks to Manfred Gilli for comments)

0.13-1

the population in 'GAopt' is now of mode logical (mistaking a logical vector for a numeric one is less harmful than the other way around)

0.13-2

documentation, checks, unit tests added for function 'GAopt'

0.13-3

directory NMOFex was added; it contains the code for 'Examples and Extensions for the NMOF package'
documentation updated; minor changes in examples and vignettes

0.13-4

directory NMOFex was updated
minor internal changes in several functions

0.13-5

directory NMOFex was updated
internal changes in several functions
GAopt.Rd was updated

0.13-6

an initial population in 'DEopt', 'GAopt' and 'PSopt' is now passed through 'algo$initP' (before, a population could be passed via 'algo$mP')
directory NMOFex was updated
documentation was updated

0.14-0

function 'gridSearch' was added

0.14-1

test cases for portfolio optimisation added (in unitTests/unitTests.R)

0.14-2

experimental: 'gridSearch' now an has argument 'multicore'; if TRUE, the function calls 'mclapply' (from the multicore package) to evaluate argument 'fun'. Currently added only for cross-platform testing (in particular, to see how R CMD check reacts under Windows).
directory NMOFex was updated
small correction in output of 'TAopt'

0.15-0

function 'gridSearch' can now evaluate a function that expects a list or a vector as its first argument
test cases for 'gridSearch' added (in unitTests/unitTests.R)
'DEopt' can take a vector 'F' to set specific step sizes for each decision variable (this actually worked before but is now documented and tested)
'PSopt' can take a function 'changeV' and a logical 'loopChangeV' (passed via the list 'algo'); 'changeV' allows to impose restrictions on the velocity (see the code in directory NMOFex for an example)
more checks were added in opt-functions
small changes in the vignettes (in particular, seeds are set now)
minor changes in documentation/examples

0.15-1

more tests were added (see unitTests.R)
minor changes in code/documentation/examples

0.15-2

function 'gridSearch' now takes a list 'mc.control' as an argument; it allows to pass settings to 'mclapply'
more tests were added (see unitTests.R)
minor changes in code/documentation/examples

0.15-3

new vignette ('Vectorised objective functions') added
more safeguards added to 'gridSearch'

0.15-4

experimental: 'DEopt' takes further arguments 'storeF' and 'storeSolutions' (through list 'algo'). If 'storeF' is FALSE, objective function values are not stored ('Fmat' is set to NA; see ?DEopt). If 'storeSolutions' is TRUE, all population matrices are stored for every generation. This should be helpful for diagnostic checking (and demonstration purposes), but may use up a lot of memory for larger problems; hence default is FALSE. (These settings will either be removed from 'DEopt' or be added to all opt-functions in one of the next package versions.)

0.15-5

Sun, 4 Sep 2011 00:00:00 +0200

'qTable' revised (user-specified labels are now possible)
(very) short vignette for 'qTable' added
minor changes in code/documentation/examples

0.15-6

Sun, 11 Sep 2011 00:00:00 +0200

vignette for 'qTable' added/corrected

0.16-0

Mon, 12 Sep 2011 00:00:00 +0200

function 'bracketing' added
minor changes in function 'MA' (added checks)

0.16-1

Tue, 13 Sep 2011 00:00:00 +0200

fixed: 'bracketing' had not been added to the NAMESPACE file (now it is)
tests for 'bracketing' added (see directory unitTests)

0.16-2

Sat, 17 Sep 2011 00:00:00 +0200

all opt-functions now have arguments 'storeF' and 'storeSolutions' (passed through 'algo'). If the latter is TRUE, intermediary results will be stored in a list 'xlist' that is returned by the function (what exactly 'xlist' contains, depends on the specific function)
minor revision in vignette 'Robust Regression with Particle Swarm Optimisation and Differential Evolution'
NEWS file can now be found under inst/NEWS.Rd
internal changes: a number of test utilities have been added (not exported); see, for instance, ?checkList

0.17-0

Sun, 18 Sep 2011 00:00:00 +0200

functions for Gaussian integration added: 'xwGauss' computes nodes and weights; 'changeInterval' transforms the nodes/weights to arbitrary intervals. Currently, only method 'legendre' is supported.
documentation updated
more tests added for opt-functions (for returned objects 'Fmat' and 'xlist')

0.18-0

Tue, 20 Sep 2011 00:00:00 +0200

'restartOpt' now has option 'multicore'
the 'method' option of function 'xwGauss' can now take on values 'hermite' and 'laguerre'
documentation updated
new examples added in 'Examples and Extensions for the NMOF package' (see subdirectory NMOFex)
test cases added for 'restartOpt' and 'xwGauss' (see subdirectory unitTests)

0.18-1

Wed, 21 Sep 2011 00:00:00 +0200

fixed: 'restartOpt' with 'multicore = TRUE' did not correctly pass '...' arguments to 'fun'
fixed: typo in message issued by 'gridSearch'
new file 'multicore.R' added in subdirectory tests; it contains a number of timing tests to see if the 'multicore' option works. (The tests are not run when the package is built.)
minor updates in documentation

0.19-0

Mon, 26 Sep 2011 00:00:00 +0200

'bracketing', 'gridSearch' and 'restartOpt' now support distributed evaluation of 'fun' via 'clusterApply' from the 'snow' package. As a side effect, the interface of 'gridSearch' and 'restartOpt' has changed: instead of an option 'multicore', they now have an argument 'method', which can be 'loop', 'multicore' or 'snow'. See the documentation of these functions.
for consistency, the 'method' argument of 'bracketing' expects 'vectorised' rather than 'vectorise' (but both work, and also the '-ize' spellings)
substantial revision of documentation/examples
more intelligible error/warning messages in 'bracketing' added
small changes in vignettes 'Robust Regression with Particle Swarm Optimisation and Differential Evolution' and 'Repairing solutions'
file 'multicore.R' was moved to subdirectory inst/unitTests; thus, it is installed with the package. Some tests for package 'snow' were added.
more tests added (subdirectory unitTests); in particular, tests are more comprehensively commented now

0.19-1

Thu, 29 Sep 2011 00:00:00 +0200

minor cleanups in documentation
minor internal changes in 'restartOpt' (passing of the '...' arguments for method 'snow')

0.19-2

Fri, 30 Sep 2011 00:00:00 +0200

minor cleanups in documentation

0.19-3

Fri, 7 Oct 2011 00:00:00 +0200

fixed: a bug had been introduced into 'GAopt' in version 0.19-2 (revision 88), which let the population grow to algo$nP+1
minor changes in documentation/examples

0.19-4

Sat, 15 Oct 2011 00:00:00 +0200

small changes in vignette 'Repairing solutions'
small internal changes in 'GAopt' and 'DEopt' (auxiliary functions like 'switch' and 'shift' have been inlined)
code examples in subdirectory 'NMOFex' updated

0.20-0

Thu, 20 Oct 2011 00:00:00 +0200

*first CRAN release*
the 'printDetail' argument for 'LSopt' now recognises TRUE and FALSE (as before), but also an integer 'i' greater than 1. In the latter case, information on the best solution is printed at every 'i'th step.
minor cleanups in documentation

0.20-1

Fri, 28 Oct 2011 00:00:00 +0200

the 'keepNames' argument of function 'gridSearch' is now supported
more examples added for 'gridSearch' (and corresponding tests in 'unitTests/unitTests2.R')
fixed: some typos in vignette 'Vectorised objective functions'

0.21-0

Tue, 8 Nov 2011 00:00:00 +0100

added function 'callCF' as a wrapper for pricing European calls with the characteristic function; characteristic functions for BSM, Merton, Bates, Heston and Variance-Gamma were also added
when 'algo$q' in 'TAopt' is zero, all thresholds are set to zero
code examples in subdirectory 'NMOFex' updated
CITATION file now points to the book's homepage http://nmof.net

0.21-1

Tue, 15 Nov 2011 00:00:00 +0100

the 'printDetail' option for opt-functions is now more consistent: a positive integer 'i' greater than one means that information is printed at every 'i'th iteration
minor changes in vignettes
unit tests for 'callCF' added (in file 'unitTests/unitTests5.R')

0.21-2

Tue, 22 Nov 2011 00:00:00 +0100

fixed: with 'printDetail' greater than zero, 'TAopt' did not print the best solution, but the current solution (but internal book keeping worked correctly, and the best solution was returned)
'bracketing', 'gridSearch', 'restartOpt': when 'cl' argument is not NULL, then argument 'method' is set to 'snow' (but as before it is checked whether package 'snow' is available)
the latest pdf-version of 'Examples and Extensions for the NMOF package' is now available from https://enricoschumann.net/files/NMOFex.pdf
code examples in subdirectory 'NMOFex' updated

0.21-3

Fri, 25 Nov 2011 00:00:00 +0100

fixed: 'gridSearch' with 'printDetail=TRUE' did not give a meaningful message
experimental: 'GAopt' now has an argument 'algo$methodOF' that can be 'loop' (default) but also 'snow' or 'multicore' (currently, only 'snow' is operational). If 'algo$methodOF' is not 'loop', the evaluation of the objective function will be distributed. See 'Examples and Extensions for the NMOF package'(with code in subdirectory 'NMOFex') for an example.

0.21-4

Tue, 29 Nov 2011 00:00:00 +0100

'GAopt' now has an argument 'algo$methodOF' that supports 'loop' (default) but also 'snow' or 'multicore'. See 'Examples and Extensions for the NMOF package' (with code in subdirectory 'NMOFex') for an example.
vignette 'TAportfolio' updated (now with example for rank-deficient matrix)

0.21-5

Thu, 1 Dec 2011 00:00:00 +0100

fixed: in 'GAopt', optional arguments for 'mclapply' (multicore) were not passed. An example for passing an argument was added to file 'unitTests/multicore.R'.
documentation for 'GAopt' updated
code examples in subdirectory 'NMOFex' updated

0.22-0

Thu, 8 Dec 2011 00:00:00 +0100

documentation updated
slight changes in vignette 'DEnss.Rnw' (to reduce time to build package)

0.22-1

Thu, 15 Dec 2011 00:00:00 +0100

tests for distributed computing have been organised into a report, 'Distributed computations with the NMOF package', available as a pdf-file from https://enricoschumann.net/files/NMOFdist_Windows.pdf and https://enricoschumann.net/files/NMOFdist_Linux.pdf (package 'multicore' is only available on Linux)
the code for 'Distributed computations with the NMOF package' is available in file 'NMOFdist.R', stored in subdirectory 'NMOFex' (the file 'multicore.R' has been removed from subdirectory 'unitTests')
unit tests updated

0.22-2

Thu, 5 Jan 2012 00:00:00 +0100

minor changes in vignettes/documentation
code examples in subdirectory 'NMOFex' updated

0.22-3

Sun, 15 Jan 2012 00:00:00 +0100

with 'algo$printDetail = TRUE', functions DEopt, GAopt and PSopt give more information
vignette 'DEnss.Rnw' was shortened to reduce build-time of the package (removed parts are now in 'Examples and Extensions for the NMOF package')
code examples in subdirectory 'NMOFex' updated

0.23-0

Tue, 14 Feb 2012 00:00:00 +0100

Dataset 'optionData' was added.
More tests were added for function 'callCF'; and its documentation was updated.

0.23-1

Mon, 27 Feb 2012 00:00:00 +0100

Added 'Depends: R (>= 2.10)' to DESCRIPTION (necessary because of file compression).

0.23-2

Mon, 19 Mar 2012 00:00:00 +0100

fixed: with 'algo$storeSolutions==TRUE', functions 'LSopt' and 'TAopt' only returned the current (=accepted) solution in a given iteration, but not the candidate solution. (These data can be found in 'xlist'. See ?TAopt and ?LSopt, under 'Value'.)
Unit tests added in unitTests1.R.

0.23-3

Sun, 25 Mar 2012 00:00:00 +0100

fixed: 'restartOpt' could not take an argument named 'X' via the '...' argument.
Unit tests added in unitTests1.R.

0.24-0

Wed, 11 Apr 2012 00:00:00 +0200

Added function 'resampleC': allows to sample with replacement from arbitrary numeric vectors (ie, samples) and making the samples (rank) correlated.
'DEopt' and 'PSopt' now have an argument 'algo$minmaxConstr'. If TRUE, 'algo$min' and 'algo$max' are become constraints. These constraints are implemented through an internal repair function that is called before any user-defined repair function.

0.24-1

Mon, 16 Apr 2012 00:00:00 +0200

Small changes in vignettes.
Re-organised existing/added new unit tests.

0.25-0

Fri, 20 Apr 2012 00:00:00 +0200

All the R-code examples from the book are now available in the package through function 'showExample'; eg, 'showExample("equations.R")' (The scripts are stored in subdirectory 'book'.)
A first draft of the 'NMOF Manual' is available from https://enricoschumann.net/NMOF.htm . The manual's code examples are collected in file 'NMOFman.R' (in subdirectory 'NMOFex'). The manual supersedes 'Examples and Extensions for the NMOF package'.
The tests on specific TA applications (minimum variance, tangency portfolio) have been removed; the code was added to the manual.

0.25-1

Tue, 22 May 2012 00:00:00 +0200

Edited some of the examples in the documentation; minor modifications in docs.
Code examples in subdirectory 'NMOFex' updated.

0.25-2

Sun, 17 Jun 2012 00:00:00 +0200

Small changes in the vignettes (mostly layout).
In 'TAopt', 'LSopt': if 'x0' is not a function, it is initialised with 'eval(x0)'; thus, it can be an expression.
Several minor internal changes.

0.25-3

Fri, 22 Jun 2012 00:00:00 +0200

Small changes in the vignettes (mostly layout).
Code examples in subdirectory 'NMOFex' updated.

0.25-4

Tue, 3 Jul 2012 00:00:00 +0200

Added checks on the parameters for 'callCF'; added new arguments 'uniroot.control', which allows to pass the settings for 'uniroot' (to compute implied vol), and 'uniroot.info'. (Computation of implied vol would fail when spot equalled strike and r equalled q; thanks to Douglas McLean for reporting this case.)

0.25-5

Fri, 20 Jul 2012 00:00:00 +0200

Added checks in DEopt that vectorised functions return objects of correct size (will be added to PSopt and GAopt as well).
Removed NEWS.Rd (NEWS now back to plain text).

0.25-6

Tue, 7 Aug 2012 00:00:00 +0200

Package 'parallel' is now suggested. In functions gridSearch, restartOpt, bracket: with method 'multicore' the functions first check if package 'parallel' is available; if not, they look for package 'multicore'
'restartOpt' has a new argument 'best.only': if TRUE, only the best run is reported. Default is FALSE.

0.25-7

Fri, 17 Aug 2012 00:00:00 +0200

minor internal changes (the only visible update are small changes in some of the examples)

0.25-8

Tue, 28 Aug 2012 00:00:00 +0200

all opt-functions now return 'initial.state' (which is the value of '.Random.seed' when the function is called). All the warnings of '?Random' apply (in particular, see section 'Note'); the preferred way is still to set a seed explicitly with 'set.seed'.

0.25-9

Wed, 19 Sep 2012 00:00:00 +0200

Added functions 'vanillaOptionEuropean', 'VanillaOptionAmerican' and 'vanillaOptionImpliedVol'.
Test files have been reorganised (there are now about 700 unit tests; they all can be run from /unitTests/runTests.R).
New maintainer e-mail address.

0.26-0

Wed, 19 Sep 2012 00:00:00 +0200

Vignettes (except for one) are now built offline to reduce build/check time for R-Forge/CRAN. (As suggested by Kasper Daniel Hansen in this post: https://stat.ethz.ch/pipermail/r-devel/2012-September/064810.html )
Small changes in documentation.

0.26-1

Fri, 12 Oct 2012 00:00:00 +0200

Small changes in documentation (option pricing functions).
Code examples in subdirectory 'NMOFex' (manual) updated.

0.26-2

Tue, 23 Oct 2012 00:00:00 +0200

Changes in documentation and unit tests.

0.26-3

Thu, 25 Oct 2012 00:00:00 +0200

Important: all option pricing functions that return lists of named elements (callCF, vanillaOptionE/A, callHestoncf) now call the theoretical option value just 'value'. Before, they returned 'price' or 'callPrice', which could be confusing for instance in case of implied vol calculations.
DEopt, GAopt and PSopt now also return the initial populations (but only if 'algo$storeSolutions' is TRUE)
More unit tests added.

0.26-4

Wed, 14 Nov 2012 00:00:00 +0100

Minor changes in documentation and examples.
Code examples in subdirectory 'NMOFex' (manual) updated.

0.27-0

Thu, 29 Nov 2012 00:00:00 +0100

Function 'qTable' has new arguments 'funs', 'tabular.format' and 'skip'; see vignette 'qTableEx' and ?qTable. The function now (correctly) adds more space at the end of the tabular (unless 'skip' is FALSE, which corresponds to the previous behaviour).

0.27-1

Wed, 2 Jan 2013 00:00:00 +0100

Added functions 'ytm' and 'vanillaBond': compute yield-to-maturity and price of plain-vanilla bond.

0.27-2

Thu, 3 Jan 2013 00:00:00 +0100

Small corrections in docs for 'ytm' and 'vanillaOptionEuropean'.

0.27-3

Fri, 4 Jan 2013 00:00:00 +0100

Experimental: 'vanillaOptionEuropean' has arguments 'model' (default is NULL which corresponds to Black-Scholes-Merton) and '...'. This allows to pass other models; for example, 'heston'. With 'greeks' set to TRUE, the function also returns (some) derivatives. More will be added over time, so the results should be extracted by name, not by position (eg, x[["delta"]], but not x[[2L]]). (Adding derivatives for non-BSM models was suggested by Nitesh Kumar.)

0.27-4

Mon, 22 Apr 2013 00:00:00 +0200

function 'putCallParity' added
for 'vanillaOptionEuropean', a parameter 'vol' can be passed via '...' (which is translated into 'v' by squaring and ignored if 'v' is already specified)
a few internal changes and doc changes

0.27-5

Fri, 26 Apr 2013 00:00:00 +0200

since vignettes are built offline, the number of restarts was increased again; cf. NEWS entry for v0.26-0 (2012-09-19)
fixed a small error in help page for 'vanillaBond'
internal changes in option pricing functions; more tests added for dividend handling

0.28-0

Sat, 8 Jun 2013 00:00:00 +0200

'multicore' was removed from the 'Suggested' packages. (Package 'parallel' had already been used -- if possible -- since version 0.25-6; see the NEWS entry.)
the package now 'Depends' on R version >= 2.14 (because of 'parallel')
new functions 'gbm' and 'gbb' added (geometric Brownian motion/bridge)

0.28-1

Mon, 22 Jul 2013 00:00:00 +0200

'snow' was removed from 'Suggested'. Whenever distribution of computations is done via method 'snow', package 'parallel' is now used. Note that this is currently experimental and little-tested; feedback is thus much appreciated.
in 'callHestoncf' and 'callCF', the upper integration limit is now 'Inf' (suggested by Wolfgang H\"ormann). This may make it easier to compare different numerical implementations (but accuracy with the old cutoff value was sufficient: numeric differences in prices are of the order of a few hundredths of one cent).

0.28-2

Wed, 4 Sep 2013 00:00:00 +0200

vignettes are now all placed in vignettes, again [see NEWS entries v0.27-5 (2013-04-26) and v0.26-0 (2012-09-19)]; small changes in vignettes

0.29-0

Sun, 13 Oct 2013 00:00:00 +0200

added function 'drawdown'
Code examples in subdirectory 'NMOFex' (manual) updated.
small updates in documentation

0.29-1

Thu, 31 Oct 2013 00:00:00 +0100

function 'ytm' is slightly faster now
small additions to documentation

0.29-2

Sat, 2 Nov 2013 00:00:00 +0100

function 'ytm' has an argument 'offset' now; see ?ytm for examples

0.30-0

Mon, 18 Nov 2013 00:00:00 +0100

new function 'duration'

0.31-0

Fri, 27 Dec 2013 00:00:00 +0100

new function 'callMerton' for European calls under Merton's jump--diffusion model
new vignette 'Overview of the NMOF package'
smaller changes/updates in documentation

0.31-1

Tue, 31 Dec 2013 00:00:00 +0100

expanded vignette 'Overview of the NMOF package'

0.31-2

Fri, 21 Feb 2014 00:00:00 +0100

various small updates in documentation and vignettes (e.g. links to mailing lists)

0.32-0

Wed, 26 Mar 2014 00:00:00 +0100

new function 'colSubset'
experimental: new function 'TA.info' for accessing information during optimisation run (eg, current iteration)
rewrote example in 'Asset selection with Local Search'

0.32-1

Thu, 14 Aug 2014 00:00:00 +0200

argument 'offset' in 'ytm' can be a vector (that worked before as well, but is now documented)
several small updates in documentation

0.33-0

Fri, 22 Aug 2014 00:00:00 +0200

updates in documentation and vignettes

0.34-0

Thu, 23 Oct 2014 00:00:00 +0200

Functions such as 'mclapply' from package 'parallel' are imported; 'parallel' is no longer attached when these functions are used (ie, the package is not added to the user's search path). [Please note that the CRAN version of NMOF has required R (>= 2.14) for some time now, and since that R-version package 'parallel' has been available anyway.]
report 'Distributed computations with the NMOF package' was updated

0.34-1

Tue, 3 Feb 2015 00:00:00 +0100

no user-visible changes (see ChangeLog for non-visible changes)

0.34-2

Tue, 5 May 2015 00:00:00 +0200

fixed: 'DEopt' did not properly handle the 'minmaxConstr' option, which could result in solutions that violated the box constraints. (Thanks to David Ashear for reporting.)

0.35-0

Tue, 12 May 2015 00:00:00 +0200

new function 'pm' for computing partial moments

0.35-1

Thu, 4 Jun 2015 00:00:00 +0200

small correction in parameter description in 'callMerton' (suggested by Laurs Leth)

0.36-0

Tue, 23 Jun 2015 00:00:00 +0200

experimental: new function 'LS.info' for accessing information during optimisation run (eg, current iteration)

0.36-1

Wed, 22 Jul 2015 00:00:00 +0200

TAopt: more informative error message when objective function evaluates to NA during computation of thresholds

0.36-2

Fri, 16 Oct 2015 00:00:00 +0200

functions from packages other than 'base' are now explicity imported: 'grDevices', 'graphics', 'stats', 'utils'

0.36-3

Mon, 9 Nov 2015 00:00:00 +0100

restartOpt: when 'cl' is specified and 'method' is identical to 'loop', the function will now issue a warning before changing method to 'snow'

0.36-4

Wed, 18 Nov 2015 00:00:00 +0100

bracketing: the resulting matrix's columns are named 'lower' and 'upper'

0.36-5

Thu, 7 Apr 2016 00:00:00 +0200

repairMatrix: new argument 'eps', which specifies the replacement value for negative eigenvalues

0.37-0

Mon, 11 Apr 2016 00:00:00 +0200

TAopt: experimental/rudimentary plot and print methods. The methods are invoked if 'algo$classify' is TRUE (default is FALSE in order to keep old behaviour)
there is now a public Git repository at https://github.com/enricoschumann/NMOF

0.37-1

Tue, 24 May 2016 00:00:00 +0200

new test function 'tfEggholder'

0.37-2

Wed, 8 Jun 2016 00:00:00 +0200

TA.info: the best solution ('xbest') is now also provided

0.37-3

Wed, 6 Jul 2016 00:00:00 +0200

TAopt: new option 'OF.target', which lets the algorithm stop when a desired objective-function value is reached

0.37-4

Tue, 12 Jul 2016 00:00:00 +0200

fixed: 'DEopt' did not work for univariate optimisation models. (Thanks to Torsten von Bartenwerffer for reporting.)

0.37-5

Tue, 23 Aug 2016 00:00:00 +0200

gbm: add fanplot example

0.37-6

Sat, 27 Aug 2016 00:00:00 +0200

fixed: 'gbb' failed when only a single path was to be computed

0.38-0

Sat, 3 Sep 2016 00:00:00 +0200

fixed: LSopt did not switch off 'printBar' in cases when 'printDetail > 1'
updates to documentation of LSopt/TAopt

0.39-0

Fri, 30 Sep 2016 00:00:00 +0200

new function 'xtContractValue', for computing contract values of Australian government-bond futures

0.40-0

Thu, 20 Oct 2016 00:00:00 +0200

new function 'xtTickValue', which computes the tick value for of Australian government-bond futures

0.99-0

Wed, 15 Feb 2017 00:00:00 +0100

new function 'CPPI': simulate a constant-proportion portfolio-insurance strategy
new function 'SAopt': optimisation with Simulated Annealing
new function 'minvar': compute minimum-variance portfolios
manual has been updated: https://enricoschumann.net/NMOF.htm#NMOFmanual

1.0-0

Sat, 1 Apr 2017 00:00:00 +0200

'LSopt' gains an option 'OF.target', which lets the algorithm stop when a desired objective-function value is reached
'minvar' allows Inf and -Inf as maximum/minimum weights; the function now also returns the portfolio's variance
'resampleC': if only two series are passed, 'cormat' can be a single number (the correlation)
various small updates in documentation

1.1-0

Mon, 1 May 2017 00:00:00 +0200

new function 'divRatio', for computing the diversification ratio

1.2-0

Wed, 13 Sep 2017 00:00:00 +0200

new functions 'bundFuture' and 'bundFutureImpliedRate', for computing theoretical futures prices and implied repo rates, respectively

1.3-0

Tue, 5 Dec 2017 00:00:00 +0100

new vignette 'Solving the N-Queens Problem with Local Search'

1.4-0

Wed, 6 Dec 2017 00:00:00 +0100

new function 'convexity'

1.5-0

Mon, 31 Dec 2018 00:00:00 +0100

new function 'mvPortfolio', for computing efficient frontiers, with or without cash
new function 'mvFrontier', for computing mean--variance efficient portfolios
new functions 'French' and 'Shiller', for downloading research datasets
'TAopt' gains an option 'thresholds.only': if TRUE, 'TAopt' only computes the threshold sequence and then exits
optimisation functions 'LSopt', 'SAopt' and 'TAopt' gain an option 'nI' (total number of iterations)

1.6-0

Mon, 1 Apr 2019 00:00:00 +0200

'French' supports more datasets; invoking 'French()' lists the supported files

2.0-1

Sun, 20 Oct 2019 00:00:00 +0200

The package now includes the code examples from the second edition of 'Numerical Methods and Optimization in Finance". 'showExample' has been updated as well: it gains an argument 'edition', which defaults to 2. Also, the default for 'ignore.case' was changed to TRUE. (To get back the old behaviour of the function, set 'edition' to 1 and 'ignore.case' to FALSE.)
'French' supports more datasets, e.g. for momentum. Invoking 'French()' lists the supported files. Also supported are datasets "market" and "rf", which provide the market return and the (so-called) risk-free rate.
'resampleC': 'cormat' can be a single number (the correlation), which is then expanded into a correlation matrix (this has worked before, but only for the case of two series)
new functions 'greedySearch' and 'randomReturns'
'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 as to keep both functions' behaviour unchanged.
a tutorial on optimisation heuristics is available at https://ssrn.com/abstract=3391756
a tutorial on backtesting, which makes much use of the NMOF package, is available at https://ssrn.com/abstract=3374195
various documentation updates; new features are now described at https://enricoschumann.net/notes/NMOF/
manual has been updated: https://enricoschumann.net/NMOF.htm#NMOFmanual

2.1-0

Wed, 1 Apr 2020 00:00:00 +0200

'Shiller': adapt function to new file format
'French'/'Shiller': if download fails, the functions now return NULL (invisibly). Also, 'French' supports additional datasets.
'minvar', 'mvFrontier', 'mvPortfolio': the functions gain arguments 'groups', 'groups.wmin' and 'groups.wmax', which allow to specify group constraints
'mvPortfolio': new argument 'lambda' for specifying a risk--reward trade-off

2.10-0

Sun, 20 Oct 2024 00:00:00 +0200

fix bug in bracketing introduced in version 2.9-0
'French' supports more datasets: "F-F_Research_Data_5_Factors_2x3_daily_CSV.zip", and "market" with frequency "monthly"
'French' gains an argument "return.class": supported are "data.frame" (the current behaviour) and "zoo", which can easily be transformed to "xts"
'Shiller' tries to fetch data from new URL at https://shillerdata.com/

2.10-1

Sun, 3 Nov 2024 00:00:00 +0100

an example was removed from the manual page of 'NS'

2.10-2

Fri, 14 Feb 2025 00:00:00 +0100

French: support more datasets; see https://quant.stackexchange.com/a/81590

2.11-0

Mon, 20 Oct 2025 00:00:00 +0200

'Ritter' has been adapted to new file format and allows to pass parameters to 'download.file'
'trackingPortfolio' keeps column names of the input data
new function 'PBO', for computing probability of backtest overfitting, as descrived in Bailey et al. (2017; https://doi.org/10.21314/JCF.2016.322 )

2.2-0

Tue, 20 Oct 2020 00:00:00 +0200

New function 'minCVaR' for computing minimum CVaR portfolios, as described in Rockafellar/Uryasev (2000; http://doi.org/10.21314/JOR.2000.038 ). For details on implementation, see https://enricoschumann.net/notes/minimising-conditional-var.html
New function 'trackingPortfolio'. For details, see https://enricoschumann.net/notes/return-based-tracking-portfolios.html
New vignette 'Functions for portfolio selection'.
'TAopt' gains a new option 'drop0' (to be passed via 'algo): if TRUE, zero values are dropped from the sample of objective-function values during the computation of the threshold sequence. See https://stackoverflow.com/a/63429510 .
'French' supports more datasets. For industry portfolios, the function now also provides "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.
The setting-up of constraints matrices in portfolio-selection functions such as 'minvar' is now fixed; thanks to 'clcsar' for reporting on GitHub. Also, the functions now allow group labels for specifying constraints. See https://github.com/enricoschumann/NMOF/issues/2 .

2.3-1

Tue, 19 Jan 2021 00:00:00 +0100

'minCVaR' gains an argument 'min.return' for specifying a minimum required return (and another argument 'm' for specifying expected returns)
'Shiller' includes additional columns, such as bond returns

2.4-0

Thu, 1 Apr 2021 00:00:00 +0200

fixed: 'minCVaR' no longer ignores minimum and maximum holding constraints; thanks to Peter Garnry for reporting on GitHub. Group constraints are supported, too. See https://github.com/enricoschumann/NMOF/issues/3 .
'randomReturns': argument 'rho' may now be a correlation matrix
'callHestoncf' gains a '...' argument, for passing settings to integrate
'French' supports more datasets

2.4-1

Fri, 9 Apr 2021 00:00:00 +0200

the default value for option 'printBar' in all optimisation routines is now 'interactive()', so progress bars remain shown in interactive sessions, but are suppressed otherwise. (For the old behaviour, set 'printBar' to TRUE.)

2.5-0

Wed, 20 Oct 2021 00:00:00 +0200

new function 'Ritter', which downloads IPO data provided by Jay Ritter
'gridSearch' now can handle arbitrary lists (before, only lists of numeric vectors were supported)
'French': improve formatting of (some) datasets

2.6-0

Wed, 26 Jan 2022 00:00:00 +0100

function 'randomReturns' gains an argument "exact": if TRUE, the created matrix has the exact specified column means (up to numerical, but not sampling accuracy)
group constraints now work with only a single group (e.g. in functions 'minCVaR' or 'minvar')

2.7-0

Fri, 19 Aug 2022 00:00:00 +0200

function 'gbm' gains an argument "antithetic": if TRUE, paths are created based on antithetic variates
functions 'gbm' and 'gbb' gain an argument 'exp.result', with default TRUE. If FALSE, the log paths are returned. Function 'gbb' gets an argument 'log', with default FALSE, which matches the previous behaviour
new function 'barrierOptionEuropean', for computing theoretical prices for various barrier-option types
function 'French' tries harder to evaluate to NULL when a download fails
function vanillaOptionAmerican now works for very small values for M (M <= 3)

2.7-1

Thu, 20 Oct 2022 00:00:00 +0200

various minor documentation updates
manual has been updated: https://enricoschumann.net/NMOF.htm#NMOFmanual
there is an additional public repository at https://git.sr.ht/~enricoschumann/NMOF

2.8-0

Fri, 20 Oct 2023 00:00:00 +0200

'callHestoncf' gains an argument 'uniroot.control', which allows passing settings for 'uniroot' (to compute implied vol), and 'uniroot.info'; both arguments work the same way as in functions 'vanillaOptionImpliedVol' and 'callCF'
'trackingPortfolio' now has an argument 'ls.algo', for specifying settings for method 'ls'
new function 'minMAD' for computing minimum-MAD portfolios, as described in Konno and Yamazaki (1991; https://doi.org/10.1287/mnsc.37.5.519 )
'vanillaOptionEuropean' also provides "DvegaDspot" and "DvegaDvol"
'Ritter' has been adapted to new file format
all functions that allow parallel programming now support argument 'affinity.list'
the package now depends on R >= 3.5 (which was released in 2018)
the manual has been updated: https://enricoschumann.net/NMOF.htm#NMOFmanual

2.9-0

Fri, 29 Dec 2023 00:00:00 +0100

new function 'approxBondReturn', for approximating the total return of a (par) bond through its current yield, duration and convexity, as described in Swinkels (2019; https://doi.org/10.3390/data4030091 )
'bracketing' better handles cases when 'fun' evaluates to exactly zero, matching the MATLAB implementation in the NMOF book