R-Forge Project: NMOF - News

Latest NMOF releases

enricoschumann@users.r-forge.r-project.org (Enrico Schumann) — Mon, 06 Jan 2014 14:51:43 GMT

For the time being, the R-Forge version of NMOF will not be updated any more. The latest version of the package is always available from

http://enricoschumann.net/R/packages/NMOF/index.htm .

About twice a year, the then-current version is uploaded to CRAN.

NMOF 0.27-0 released (CRAN and R-Forge)

enricoschumann@users.r-forge.r-project.org (Enrico Schumann) — Thu, 29 Nov 2012 21:18:59 GMT

v0.27-0 (2012-11-29)

o Function 'qTable' has new arguments 'funs', 'tabular.format'
and 'skip'; see vignette 'qTableEx' and ?qTable.
The function now (correctly) adds more space at the end of
the tabular (unless 'skip' is FALSE, which corresponds to the
previous behaviour).

v0.26-4 (2012-11-14)

o Minor changes in documentation and examples.

o Code examples in subdirectory 'NMOFex' (manual)
updated.

v0.26-3 (2012-10-25)

o Important: all option pricing functions that return lists of
named elements (callCF, vanillaOptionE/A, callHestoncf)
now call the theoretical option value just 'value'. Before,
they returned 'price' or 'callPrice', which could be confusing
for instance in case of implied vol calculations.

o DEopt, GAopt and PSopt now also return the initial populations
(but only if 'algo$storeSolutions' is TRUE)

o More unit tests added.

v0.26-2 (2012-10-23)

o Changes in documentation and unit tests.

v0.26-1 (2012-10-12)

o Small changes in documentation (option pricing
functions).

o Code examples in subdirectory 'NMOFex' (manual)
updated.

NMOF 0.26-0 available

enricoschumann@users.r-forge.r-project.org (Enrico Schumann) — Fri, 21 Sep 2012 05:36:27 GMT

v0.26-0 (2012-09-19)

o Vignettes (except for one) are now built offline
to reduce build/check time for R-Forge/CRAN.
(As suggested by Kasper Daniel Hansen in this post:
https://stat.ethz.ch/pipermail/r-devel/2012-September/064810.html )

o Small changes in documentation.

v0.25-9 (2012-09-19)

o Added functions 'vanillaOptionEuropean',
'VanillaOptionAmerican' and 'vanillaOptionImpliedVol'.

o Test files have been reorganised (there are now about
700 unit tests; they all can be run from
/unitTests/runTests.R).

o New maintainer e-mail address.

v0.25-8 (2012-08-28)

o all opt-functions now return 'initial.state' (which is
the value of '.Random.seed' when the function is
called). All the warnings of '?Random' apply (in
particular, see section 'Note'); the preferred way
is still to set a seed explicitly with 'set.seed'.

v0.25-7 (2012-08-17)

o minor internal changes (the only visible update are small
changes in some of the examples)

v0.25-6 (2012-08-07)

o Package 'parallel' is now suggested. In functions gridSearch,
restartOpt, bracket: with method "multicore" the functions
first check if package 'parallel' is available; if not, they
look for package 'multicore'

o 'restartOpt' has a new argument 'best.only': if TRUE,
only the best run is reported. Default is FALSE.

v0.25-5 (2012-07-20)

o Added checks in DEopt that vectorised functions
return objects of correct size (will be added to PSopt
and GAopt as well).

o Removed NEWS.Rd (NEWS now back to plain text).

v0.25-4 (2012-07-03)

o Added checks on the parameters for 'callCF'; added
new arguments 'uniroot.control', which allows to pass
the settings for 'uniroot' (to compute implied vol),
and 'uniroot.info'.
(Computation of implied vol would fail when spot equalled
strike and r equalled q; thanks to Douglas McLean for
reporting this case.)

v0.25-3 (2012-06-22)

o Small changes in the vignettes (mostly layout).

o Code examples in subdirectory 'NMOFex' updated.

v0.25-2 (2012-06-17)

o Small changes in the vignettes (mostly layout).

o In 'TAopt', 'LSopt': if 'x0' is not a function, it is
initialised with 'eval(x0)'; thus, it can be an expression.

o Several minor internal changes.

v0.25-1 (2012-05-22)

o Edited some of the examples in the documentation; minor
modifications in docs.

o Code examples in subdirectory 'NMOFex' updated.

NMOF 0.25-0 on R-Forge

enricoschumann@users.r-forge.r-project.org (Enrico Schumann) — Sun, 22 Apr 2012 16:50:49 GMT

v0.25-0 (2012-04-20)

o All the R-code examples from the book are now available
in the package through function 'showExample'; eg,
'showExample("equations.R")'
(The scripts are stored in subdirectory 'book'.)

o A first draft of the 'NMOF Manual' is available from
http://enricoschumann.net/NMOF.htm . The manual's code
examples are collected in file 'NMOFman.R' (in subdirectory
'NMOFex'). The manual supersedes 'Examples and Extensions for
the NMOF package'.

o The unit tests on specific TA applications (minimum variance,
tangency portfolio) have been removed; the code was added to
the manual.

v0.24-1 (2012-04-16)

o Small changes in vignettes.

o Re-organised existing/added new unit tests.

NMOF 0.24-0 on R-Forge

enricoschumann@users.r-forge.r-project.org (Enrico Schumann) — Fri, 13 Apr 2012 06:44:29 GMT

v0.24-0 (2012-04-11)

o Added function 'resampleC': allows to sample with replacement from
arbitrary numeric vectors (ie, samples) and making the these samples
(rank) correlated.

o 'DEopt' and 'PSopt' now have an argument 'algo$minmaxConstr'. If
TRUE, 'algo$min' and 'algo$max' become constraints. These
constraints are implemented through an internal repair function
that is called before any user-defined repair function.

NMOF 0.23-1 on CRAN

enricoschumann@users.r-forge.r-project.org (Enrico Schumann) — Tue, 06 Mar 2012 07:57:24 GMT

NMOF 0.23-1 is now available from CRAN. Compared with the previous CRAN
version (0.22-0), the main changes are:

v0.23-1 (2012-02-27)

o Added 'Depends: R (>= 2.10)' to DESCRIPTION (necessary
because of file compression).

v0.23-0 (2012-02-14)

o Dataset 'optionData' was added.

v0.22-3 (2012-01-15)

o with 'algo$printDetail = TRUE', functions DEopt, GAopt and
PSopt give more information
o vignette 'DEnss.Rnw' was shortened to reduce build-time of
the package (removed parts are now in 'Examples and
Extensions for the NMOF package')

The complete list of changes is here:
http://cran.r-project.org/web/packages/NMOF/news.html

NMOF 0.23-0 on R-Forge

enricoschumann@users.r-forge.r-project.org (Enrico Schumann) — Thu, 16 Feb 2012 13:21:00 GMT

from the NEWS file:

v0.23-0 (2012-02-14)

o Dataset 'optionData' was added.
o More tests were added for function 'callCF'; and its
documentation was updated.

NMOF 0.22-0 on R-Forge/CRAN

enricoschumann@users.r-forge.r-project.org (Enrico Schumann) — Sat, 10 Dec 2011 11:31:35 GMT

from the NEWS file:

v0.22-0 (2011-12-08)

o documentation updated
o slight changes in vignette 'DEnss.Rnw' (to reduce time
to build package)

v0.21-5 (2011-12-01)

o fixed: in 'GAopt', optional arguments for 'mclapply'
(multicore) were not passed. An example for passing an
argument was added to file 'unitTests/multicore.R'.
o documentation for 'GAopt' updated
o code examples in subdirectory 'NMOFex' updated

v0.21-4 (2011-11-29)

o 'GAopt' now has an argument 'algo$methodOF' that supports
'loop' (default) but also 'snow' or 'multicore'. See
'Examples and Extensions for the NMOF package'(with code
in subdirectory 'NMOFex') for an example.
o vignette 'TAportfolio' updated (now with example for
rank-deficient matrix)

v0.21-3 (2011-11-25)

o fixed: 'gridSearch' with 'printDetail=TRUE' did not give
a meaningful message
o experimental: 'GAopt' now has an argument 'algo$methodOF'
that can be 'loop' (default) but also 'snow' or 'multicore'
(currently, only 'snow' is operational). If 'algo$methodOF'
is not 'loop', the evaluation of the objective function will
be distributed. See 'Examples and Extensions for the NMOF
package'(with code in subdirectory 'NMOFex') for an example.

v0.21-2 (2011-11-22)

o fixed: with 'printDetail' greater than zero, 'TAopt' did
not print the best solution, but the current solution
(but internal book keeping worked correctly, and the best
solution was returned)
o 'bracketing', 'gridSearch', 'restartOpt': when 'cl' argument
is not NULL, then argument 'method' is set to 'snow' (but as
before it is checked whether package 'snow' is available)
o the latest pdf-version of 'Examples and Extensions
for the NMOF package' is now available from
http://enricoschumann.net/files/NMOFex.pdf
o code examples in subdirectory 'NMOFex' updated

v0.21-1 (2011-11-15)

o the 'printDetail' option for opt-functions is now more consistent:
a positive integer 'i' greater than one means that information
is printed at every 'i'th iteration
o minor changes in vignettes
o unit tests for 'callCF' added (in file 'unitTests/unitTests5.R')

NMOF 0.21-0 on R-Forge

enricoschumann@users.r-forge.r-project.org (Enrico Schumann) — Wed, 09 Nov 2011 12:41:25 GMT

from the NEWS file:

v0.21-0 (2011-11-08)

o added function 'callCF' as a wrapper for pricing
European calls with the characteristic function;
characteristic functions for BSM, Merton, Bates,
Heston and Variance-Gamma were also added
o when 'algo$q' in 'TAopt' is zero, all thresholds are set
to zero
o code examples in subdirectory 'NMOFex' updated
o CITATION file now points to the book's homepage
http://nmof.net

NMOF 0.20-1 on R-Forge

enricoschumann@users.r-forge.r-project.org (Enrico Schumann) — Sat, 29 Oct 2011 08:47:20 GMT

from the NEWS file:

o the 'keepNames' argument of function 'gridSearch' is now supported

o more examples added for 'gridSearch' (and corresponding tests in 'unitTests/unitTests2.R')

o fixed: some typos in vignette 'Vectorised objective functions'