Numerical Methods and Optimization in Finance


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Documentation for package ‘NMOF’ version 1.6-0

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NMOF-package Numerical Methods and Optimization in Finance
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
gridSearch Grid Search
LS.info Local-Search Information
LSopt Stochastic Local Search
MA Simple Moving Average
mc Option Pricing via Monte-Carlo Simulation
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
repairMatrix Repair an Indefinite Correlation Matrix
resampleC Resample with Specified Rank Correlation
restartOpt Restart an Optimisation Algorithm
SA.info Simulated-Annealing Information
SAopt Optimisation with Simulated Annealing
Shiller Download Robert Shiller's Data
showChapterNames Display examples
showExample Display 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
vanillaBond Pricing Plain-Vanilla Bonds
vanillaOptionAmerican Pricing Plain-Vanilla Options (European and American)
vanillaOptionEuropean Pricing Plain-Vanilla Options (European and American)
vanillaOptionImpliedVol Pricing Plain-Vanilla Options (European and American)
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