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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, for portfolio selection and functions that help with stochastic simulations.
Version: | 2.8-0 |
Depends: | R (≥ 3.5) |
Imports: | grDevices, graphics, parallel, stats, utils |
Suggests: | MASS, PMwR, RUnit, Rglpk, datetimeutils, openxlsx, quadprog, readxl, tinytest |
Published: | 2023-10-20 |
DOI: | 10.32614/CRAN.package.NMOF |
Author: | Enrico Schumann |
Maintainer: | Enrico Schumann <es at enricoschumann.net> |
License: | GPL-3 |
URL: | http://enricoschumann.net/NMOF.htm , https://gitlab.com/NMOF , https://git.sr.ht/~enricoschumann/NMOF , https://github.com/enricoschumann/NMOF |
NeedsCompilation: | no |
Classification/JEL: | C61, C63 |
Citation: | NMOF citation info |
Materials: | README NEWS |
In views: | Finance, Optimization, ReproducibleResearch |
CRAN checks: | NMOF results |
Package source: | NMOF_2.8-0.tar.gz |
Windows binaries: | r-devel: NMOF_2.8-0.zip, r-release: NMOF_2.8-0.zip, r-oldrel: NMOF_2.8-0.zip |
macOS binaries: | r-release (arm64): NMOF_2.8-0.tgz, r-oldrel (arm64): NMOF_2.8-0.tgz, r-release (x86_64): NMOF_2.8-0.tgz, r-oldrel (x86_64): NMOF_2.8-0.tgz |
Old sources: | NMOF archive |
Reverse imports: | AssetAllocation, landmulti, PMwR |
Reverse suggests: | MSCMT, neighbours |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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