fernote7 / nmof

Functions, examples and data from the book "Numerical Methods and Optimization in Finance" by M. Gilli, D. Maringer and E. Schumann (2011), ISBN 978-0123756626.

Numerical Methods and Optimisation in Finance

The NMOF package provides many of the code examples and data sets used in the book “Numerical Methods and Optimization in Finance” by M. Gilli, D. Maringer and E. Schumann (2011), ISBN 978-0123756626. The package also contains several functions that have not been described in the book. Notably, the package provides implementations of a number of optimisation heuristics, among them Differential Evolution and Genetic Algorithms. There are also functions for valuing financial instruments such as bonds and options, and helper functions for stochastic simulations.

Installing the package

The latest build of the package is always available from http://enricoschumann.net/R/packages/NMOF/index.htm. 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', type = 'source',
                 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, 2011.