Numerical Methods and Optimisation in Finance

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, and functions that help with stochastic simulations.

Installing the package

The latest build of the package is always available from http://enricoschumann.net/R/packages/NMOF/. A stable version is available from CRAN.

To install the package from within an R session, type:

install.packages('NMOF')  ## CRAN version
install.packages('NMOF',  ## development version
                 repos = c('http://enricoschumann.net/R',
                           getOption('repos')))

News, feedback and discussion

New package releases and other news related to the book or the package are announced on the NMOF-news mailing list.

An RSS feed of the package NEWS file is also available.

Applications, as long as they are finance-related, should be discussed on the R-SIG-Finance mailing list.

Please send bug reports or suggestions directly to the package maintainer, for instance by using bug.report.

require("utils")
bug.report("[NMOF] Unexpected behaviour in function XXX",
           maintainer("NMOF"), package = "NMOF")

References

Manfred Gilli, Dietmar Maringer and Enrico Schumann. Numerical Methods and Optimization in Finance. Academic Press, 2019.