NMOF-package

Numerical Methods and Optimization in Finance

Functions, data and other code from the book Numerical Methods and Optimization in Finance . Comments/corrections/remarks/suggestions are very welcome (please contact the maintainer directly). package

Details

The package contains implementations of several optimisation heuristics: Differential Evolution (DEopt), Genetic Algorithms (GAopt), (Stochastic) Local Search (LSopt), Particle Swarm (PSopt), Simuleated Annealing (SAopt) and Threshold Accepting (TAopt). The term heuristic is meant in the sense of general-purpose optimisation method.

Dependencies: The package is completely written in . A number of packages are suggested, but they are not strictly required when using the NMOF package, and most of the package's functionality is available without them. Specifically, package MASS is needed to run the complete example for PSopt and also in one of the vignettes (PSlms). Package parallel is optional for functions bracketing, GAopt, gridSearch and restartOpt, and may become an option for other functions. Package quadprog is needed for a vignette (TAportfolio), some tests, and it may be used for computing mean-variance efficient portfolios. Package Rglpk is needed for function minCVaR. Package readxl is needed to process the raw data in function Shiller; package datetimeutils is used by French and Shiller. PMwR would be needed to run the examples of the backtesting examples in the NMOF book. Finally, packages RUnit and tinytest are needed to run the tests in subdirectory ‘unitTests’ .

Version numbering: package versions are numbered in the form major-minor-patch. The patch level is incremented with any published change in a version. Minor version numbers are incremented when a feature is added or an existing feature is substantially revised. (Such changes will be reported in the NEWS file.) The major version number will only be increased if there were a new edition of the book.

The source code of the NMOF package is also hosted at https://github.com/enricoschumann/NMOF/. Updates to the package and new features are described at https://enricoschumann.net/notes/NMOF/.

Optimisation

There are functions for Differential Evolution (DEopt), Genetic Algorithms (GAopt), (Stochastic) Local Search (LSopt), Simuleated Annealing (SAopt), Particle Swarm (SAopt), and Threshold Accepting (TAopt). The function restartOpt helps with running restarts of these methods; also available are functions for grid search (gridSearch) and greedy search (greedySearch).

Pricing Financial Instruments

For options: See vanillaOptionEuropean, vanillaOptionAmerican, putCallParity. For pricing methods that use the characteristic function, see callCF.

For bonds and bond futures: See vanillaBond, bundFuture and xtContractValue.

Simulation

See resampleC and mc.

Data

See bundData, fundData and optionData.

Author(s)

Enrico Schumann

Maintainer: Enrico Schumann es@enricoschumann.net

References

Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. tools:::Rd_expr_doi("10.1016/C2017-0-01621-X")

Schumann, E. (2023) Financial Optimisation with R (NMOF Manual). https://enricoschumann.net/NMOF.htm#NMOFmanual

Examples

## Not run:

library("NMOF")

## overview
packageDescription("NMOF")
help(package = "NMOF")

## code from book
showExample("equations.R", edition = 1)
showExample("Heur")

## show NEWS file
news(Version >= "2.0-0", package = "NMOF")

## vignettes
vignette(package = "NMOF")
nss <- vignette("DEnss", package = "NMOF")
print(nss)
edit(nss)

## _book_ websites
browseURL("https://nmof.net")
browseURL("https://enricoschumann.net/NMOF/")

## _package_ websites
browseURL("https://enricoschumann.net/R/packages/NMOF/")
browseURL("https://cran.r-project.org/package=NMOF")
browseURL("https://git.sr.ht/~enricoschumann/NMOF")
browseURL("https://github.com/enricoschumann/NMOF")

## unit tests
file.show(system.file("unitTests/test_results.txt", package = "NMOF"))
## End(Not run)

test.rep <- readLines(system.file("unitTests/test_results.txt",
                                  package = "NMOF"))
nt <- gsub(".*\\(([0-9]+) checks?\\).*", "\\1",
           test.rep[grep("\\(\\d+ checks?\\)", test.rep)])
message("Number of unit tests: ", sum(as.numeric(nt)))