Numerical Methods and Optimization in Finance

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Documentation for package ‘NMOF’ version 2.8-0

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

NMOF-package	Numerical Methods and Optimization in Finance
barrierOptionEuropean	Pricing Plain-Vanilla (European and American) and Barrier Options (European)
bracketing	Zero-Bracketing
bundData	German Government Bond Data
bundFuture	Theoretical Valuation of Euro Bund Future
bundFutureImpliedRate	Theoretical Valuation of Euro Bund Future
callCF	Price a Plain-Vanilla Call with the Characteristic Function
callHestoncf	Price of a European Call under the Heston Model
callMerton	Price of a European Call under Merton's Jump-Diffusion Model
cfBates	Price a Plain-Vanilla Call with the Characteristic Function
cfBSM	Price a Plain-Vanilla Call with the Characteristic Function
cfHeston	Price a Plain-Vanilla Call with the Characteristic Function
cfMerton	Price a Plain-Vanilla Call with the Characteristic Function
cfVG	Price a Plain-Vanilla Call with the Characteristic Function
changeInterval	Integration of Gauss-type
colSubset	Full-rank Column Subset
convexity	Pricing Plain-Vanilla Bonds
CPPI	Constant-Proportion Portfolio Insurance
DEopt	Optimisation with Differential Evolution
divRatio	Diversification Ratio
drawdown	Drawdown
duration	Pricing Plain-Vanilla Bonds
EuropeanCall	Computing Prices of European Calls with a Binomial Tree
EuropeanCallBE	Computing Prices of European Calls with a Binomial Tree
French	Download Datasets from Kenneth French's Data Library
fundData	Mutual Fund Returns
GAopt	Optimisation with a Genetic Algorithm
gbb	Option Pricing via Monte-Carlo Simulation
gbm	Option Pricing via Monte-Carlo Simulation
greedySearch	Greedy Search
gridSearch	Grid Search
LS.info	Local-Search Information
LSopt	Stochastic Local Search
MA	Simple Moving Average
maxSharpe	Maximum-Sharpe-Ratio/Tangency Portfolio
mc	Option Pricing via Monte-Carlo Simulation
minCVaR	Minimum Conditional-Value-at-Risk (CVaR) Portfolios
minMAD	Compute Minimum Mean-Absolute-Deviation Portfolios
minvar	Minimum-Variance Portfolios
mvFrontier	Computing Mean-Variance Efficient Portfolios
mvPortfolio	Computing Mean-Variance Efficient Portfolios
NMOF	Numerical Methods and Optimization in Finance
NS	Zero Rates for Nelson-Siegel-Svensson Model
NSf	Factor Loadings for Nelson-Siegel and Nelson-Siegel-Svensson
NSS	Zero Rates for Nelson-Siegel-Svensson Model
NSSf	Factor Loadings for Nelson-Siegel and Nelson-Siegel-Svensson
optionData	Option Data
pm	Partial Moments
PSopt	Particle Swarm Optimisation
putCallParity	Put-Call Parity
qTable	Prepare LaTeX Table with Quartile Plots
randomReturns	Create a Random Returns
repairMatrix	Repair an Indefinite Correlation Matrix
resampleC	Resample with Specified Rank Correlation
restartOpt	Restart an Optimisation Algorithm
Ritter	Download Jay Ritter's IPO Data
SA.info	Simulated-Annealing Information
SAopt	Optimisation with Simulated Annealing
Shiller	Download Robert Shiller's Data
showChapterNames	Display Code Examples
showExample	Display Code Examples
TA.info	Threshold-Accepting Information
TAopt	Optimisation with Threshold Accepting
testFunctions	Classical Test Functions for Unconstrained Optimisation
tfAckley	Classical Test Functions for Unconstrained Optimisation
tfEggholder	Classical Test Functions for Unconstrained Optimisation
tfGriewank	Classical Test Functions for Unconstrained Optimisation
tfRastrigin	Classical Test Functions for Unconstrained Optimisation
tfRosenbrock	Classical Test Functions for Unconstrained Optimisation
tfSchwefel	Classical Test Functions for Unconstrained Optimisation
tfTrefethen	Classical Test Functions for Unconstrained Optimisation
trackingPortfolio	Compute a Tracking Portfolio
vanillaBond	Pricing Plain-Vanilla Bonds
vanillaOptionAmerican	Pricing Plain-Vanilla (European and American) and Barrier Options (European)
vanillaOptionEuropean	Pricing Plain-Vanilla (European and American) and Barrier Options (European)
vanillaOptionImpliedVol	Pricing Plain-Vanilla (European and American) and Barrier Options (European)
xtContractValue	Contract Value of Australian Government Bond Future
xtTickValue	Contract Value of Australian Government Bond Future
xwGauss	Integration of Gauss-type
ytm	Pricing Plain-Vanilla Bonds