[NMOF-news] NMOF 0.99-0 released

[Enrico Schumann]

Version 0.99-0 of the NMOF package has been released;
it is available from
http://enricoschumann.net/R/packages/NMOF/index.htm and
from the GitHub repository.

The NEWS file entry:

  o new function 'CPPI': simulate a constant-proportion
    portfolio-insurance strategy

  o new function 'SAopt': optimisation with
    Simulated Annealing

  o new function 'minvar': compute minimum-variance
    portfolios

  o manual has been updated:
    http://enricoschumann.net/NMOF.htm#NMOFmanual

It is 10 years since the development of NMOF began, and
many of the functions (notably those for optimisation)
have been in continuous use since then. That implies a
certain maturity, and so it is time to upgrade the
version to 1.0. But before that, it is 0.99 :-)

It also 6 years since the book [1] has been
published. In fact, the NMOF package already now
contains much more than was shown in the book: many new
functions, e.g. for pricing financial instruments
(?vanillaOptionEuropean, ?vanillaBond, ?callMerton,
?xtContractValue, ...), and utilities for Monte-Carlo
simulation, for computing implied vol, yields, etc.
Many of these new functions are described, with
examples, in the Manual [2].

Comments/corrections/remarks/suggestions are -- as
always -- very welcome; please send them to the
maintainer (me) directly.



[1] https://www.elsevier.com/books/numerical-methods-and-optimization-in-finance/gilli/978-0-12-375662-6
[2] http://enricoschumann.net/NMOF.htm#NMOFmanual


-- 
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net