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, several implementations of optimisation heuristics (for instance, Differential Evolution, Genetic Algorithms and Threshold Accepting).
| Version: | 0.23-1 |
| Depends: | R (≥ 2.10) |
| Suggests: | MASS, multicore, quadprog, RUnit, snow |
| Published: | 2012-03-04 |
| Author: | Enrico Schumann |
| Maintainer: | Enrico Schumann <enricoschumann at yahoo.de> |
| License: | GPL-3 |
| URL: | http://nmof.net http://enricoschumann.net/NMOF.htm |
| Classification/JEL: | C61, C63 |
| Citation: | NMOF citation info |
| In views: | Finance |
| CRAN checks: | NMOF results |
| Package source: | NMOF_0.23-1.tar.gz |
| MacOS X binary: | NMOF_0.23-1.tgz |
| Windows binary: | NMOF_0.23-1.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 An example for the qTable function Repairing solutions Vectorised objective functions |
| News/ChangeLog: | NEWS |
| Old sources: | NMOF archive |