FE501 – 1026

Bond Dedication 3.1

CleanShot 2022-11-02 at 13.07.10

CleanShot 2022-11-02 at 13.07.31

Decision variables

\begin{matrix} x_{i} : amount of bond i in the portfolio \\ s_{t} : surlus cash from year t \\ i = 1, 2, . . .10, t = 1, 2, . . .6 \end{matrix}

Objective

min 109 x_{1} + 94.8 x_{2} + 99.5 x_{3} + 93.1 x_{4} + 97.2 x_{5} + 92.9 x_{6} + 110 x_{7} + 104 x_{8} + 102 x_{9} + 95.2 x_{10}

Constraints

CleanShot 2022-11-02 at 13.16.45

Excel Solution

CleanShot 2022-11-02 at 13.39.45

CleanShot 2022-11-02 at 13.43.31

\begin{matrix} x_{i} : credit drawn in month i \\ y_{j} : commercial paper issued in month j \\ s_{k} : excess in month k for each month: m o n e y_{i n} + m o n e y_{o u t} = 0 \end{matrix}

Jan (0)	Feb (0)	Mar (0)	Apr (0)	May (0)	Jun(0)
+ x1 (credit)	+ x2	+ x3	+x4	+x5	0
+ y1 (paper)	+ y2	+ y3	0	0	0
	+ s1 0.3%	+ s2 0.3%	+ s3 0.3 %	+ s4 0.3 %	+s5 0.3 %
- s1 (invest)	- x1 1%	-x2 1 %	-x3 1%	-x4 %	-x5 %
-150			-y1 2%	-y2 2%	-y3 2%
	- s2	-s3
	- 100	+200	-s4	-s5	-s6
			-200	+50	+300

CleanShot 2022-11-02 at 15.13.29

NOTICE: ERROR. ON EXCEL