220-Lecture08 - -1.5-0.5-1.5-0.5-1.5 C 221339.8 229665.1...

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Decision variables Month 1 Month 2 Month 3 Month 4 Month 5 Month 6 Initial 683176.41 Rate Risk A -3.9E-010 0 2672.4956 7667.6733 1.15E-012 0 1.015 1 B 461836.64 325328.42 344497.61 1.035 4 C 221339.78 229665.07 1.06 9 D 0 1.1 7 Objective function Min 683176.41 Constraints Cash flow Month 1 Month 2 Month 3 Month 4 Month 5 Month 6 End LHS 0 -4.0E-010 150000 0 0 1.16E-012 600000 Type = = = = = = = RHS 0 0 150000 0 0 0 600000 Risk Month 1 Month 2 Month 3 Month 4 Month 5 Month 6 LHS -259654 -259654 0 0 0 0 Type <= <= <= <= <= <= RHS 0 0 0 0 0 0 Maturity Month 1 Month 2 Month 3 Month 4 Month 5 Month 6 LHS -120248 -803425 -498683 -384662 -287081 -861244 Type <= <= <= <= <= <= RHS 0 0 0 0 0 0
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Decision variables Month 1 Month 2 Month 3 Month 4 Month 5 Month 6 Initial 683176.4 Rate Risk Maturity 1 Maturity 2 Maturity 3 Maturity 4 Maturity 5 Maturity 6 A 4.54E-009 0 2672.496 7667.673 9.31E-010 0 1.015 -5 -1.5 -1.5 -1.5 -1.5 -1.5 -1.5 B 461836.6 325328.4 344497.6 1.035 -2 -0.5
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Unformatted text preview: -1.5-0.5-1.5-0.5-1.5 C 221339.8 229665.1 1.06 3 0.5-0.5-1.5 0.5-0.5-1.5 D 1.1 1 3.5 2.5 1.5 0.5-0.5-1.5 Redundant Objective function Min 683176.4 Constraints Cash flow Month 1 Month 2 Month 3 Month 4 Month 5 Month 6 End payment LHS 8.76E-009 4.61E-009 150000 2.33E-009 0 9.45E-010 600000 Type = = = = = = = RHS 150000 600000 Ave Risk Month 1 Month 2 Month 3 Month 4 Month 5 Month 6 LHS-259654-259654 9.66E-009 -1.2E-008 -1.4E-008 -9.8E-009 Type <= <= <= <= <= <= RHS Ave Maturity Month 1 Month 2 Month 3 Month 4 Month 5 Month 6 LHS-120248-803425-498683-384662-287081-861244 Type <= <= <= <= <= <= RHS...
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This note was uploaded on 11/28/2011 for the course FINANCE 101 taught by Professor Chan during the Spring '11 term at Aarhus Universitet.

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220-Lecture08 - -1.5-0.5-1.5-0.5-1.5 C 221339.8 229665.1...

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