####################################################################### # # # This file is part of a collection developed first for a course in # # financial optimization taught out of the text of Cornuejols and # # Tutuncu and then adapted for a tutorial on modeling and the COIN-OR # # Optimization Suite. Materials for the original course on financial # # optimization are hosted here: # # # # http://coral.ie.lehigh.edu/~ted/teaching/ie447 # # # # Materials for the tutorial are hosted here: # # # # http://coral.ie.lehigh.edu/~ted/teaching/coin-or # # # # # # This collection of models is licensed under The Creative Commons # # CC BY-SA 3.0 License, a copy of which is available here: # # # # http://creativecommons.org/licenses/by-sa/3.0/ # # # # Copyright 2014, Ted Ralphs # # All Rights Reserved # # ted@lehigh.edu # # # ####################################################################### set Bonds := A B C D E F G H I J; param T := 8; param : Liabilities := 1 12000 2 18000 3 20000 4 20000 5 16000 6 15000 7 12000 8 10000; param : Price Coupon Principal Maturity := A 102 5 100 1 B 99 3.5 100 2 C 101 5 100 2 D 98 3.5 100 3 E 98 4 100 4 F 104 9 100 5 G 100 6 100 5 H 101 8 100 6 I 102 9 100 7 J 94 7 100 8;