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. The package contains, in particular, implementations of several optimisation heuristics (such as Differential Evolution, Genetic Algorithms and Threshold Accepting).

Version: 0.27-0
Depends: R (≥ 2.10)
Suggests: MASS, multicore, parallel, quadprog, RUnit, snow
Published: 2012-11-29
Author: Enrico Schumann
Maintainer: Enrico Schumann <es at enricoschumann.net>
License: GPL-3
URL: http://nmof.net, http://enricoschumann.net/NMOF.htm
NeedsCompilation: no
Classification/JEL: C61, C63
Citation: NMOF citation info
In views: Finance
CRAN checks: NMOF results

Downloads:

Package source: NMOF_0.27-0.tar.gz
MacOS X binary: NMOF_0.27-0.tgz
Windows binary: NMOF_0.27-0.zip
Reference manual: NMOF.pdf
Vignettes: Fitting 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
Examples for the qTable function
Repairing solutions
Vectorised objective functions
News/ChangeLog:NEWS
Old sources: NMOF archive