NMOF2.8-0 package

Numerical Methods and Optimization in Finance

bonds

Pricing Plain-Vanilla Bonds

bracketing

Zero-Bracketing

bundFuture

Theoretical Valuation of Euro Bund Future

callCF

Price a Plain-Vanilla Call with the Characteristic Function

callHestoncf

Price of a European Call under the Heston Model

callMerton

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

colSubset

Full-rank Column Subset

CPPI

Constant-Proportion Portfolio Insurance

DEopt

Optimisation with Differential Evolution

divRatio

Diversification Ratio

drawdown

Drawdown

EuropeanCall

Computing Prices of European Calls with a Binomial Tree

French

Download Datasets from Kenneth French's Data Library

GAopt

Optimisation with a Genetic Algorithm

greedySearch

Greedy Search

gridSearch

Grid Search

LS.info

Local-Search Information

LSopt

Stochastic Local Search

MA

Simple Moving Average

maxSharpe

Maximum-Sharpe-Ratio/Tangency Portfolio

mc

Option Pricing via Monte-Carlo Simulation

minCVaR

Minimum Conditional-Value-at-Risk (CVaR) Portfolios

minMAD

Compute Minimum Mean--Absolute-Deviation Portfolios

minvar

Minimum-Variance Portfolios

mvFrontier

Computing Mean--Variance Efficient Portfolios

NMOF-internal

Internal NMOF functions

NMOF-package

Numerical Methods and Optimization in Finance

NS

Zero Rates for Nelson--Siegel--Svensson Model

NSf

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

options

Pricing Plain-Vanilla (European and American) and Barrier Options (Eur...

pm

Partial Moments

PSopt

Particle Swarm Optimisation

putCallParity

Put-Call Parity

qTable

Prepare LaTeX Table with Quartile Plots

randomReturns

Create a Random Returns

repairMatrix

Repair an Indefinite Correlation Matrix

resampleC

Resample with Specified Rank Correlation

restartOpt

Restart an Optimisation Algorithm

Ritter

Download Jay Ritter's IPO Data

SA.info

Simulated-Annealing Information

SAopt

Optimisation with Simulated Annealing

Shiller

Download Robert Shiller's Data

showExample

Display Code Examples

TA.info

Threshold-Accepting Information

TAopt

Optimisation with Threshold Accepting

testFunctions

Classical Test Functions for Unconstrained Optimisation

trackingPortfolio

Compute a Tracking Portfolio

xtContractValue

Contract Value of Australian Government Bond Future

xwGauss

Integration of Gauss-type

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.

  • Maintainer: Enrico Schumann
  • License: GPL-3
  • Last published: 2023-10-20