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: 2.10-1 Depends: R (≥ 3.5) Imports: grDevices, graphics, parallel, stats, utils Suggests: MASS, PMwR, RUnit, Rglpk, datetimeutils, openxlsx, quadprog, readxl, tinytest, zoo Published: 2024-11-03 DOI: 10.32614/CRAN.package.NMOF Author: Enrico Schumann [aut, cre] Maintainer: Enrico Schumann <es at enricoschumann.net> License: GPL-3 URL: https://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 Documentation: Reference manual: NMOF.pdf Vignettes: An Overview of the NMOF Package (source, R code)Please use the canonical form https://CRAN.R-project.org/package=NMOF to link to this page.
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