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Decision variables

Month 1 Month 2 Month 3 Month 4 Month 5 Month 6


Initial 683176.41 Rate Risk
A 0 0 2672.5 7667.67 0 0 1.02 1
B 461836.64 325328.42 344497.61 1.04 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 0 150000 0 0 0 600000
Type = = = = = = =
RHS 0 0 150000 0 0 0 600000
Risk Month 1 Month 2 Month 3 Month 4 Month 5 Month 6
LHS ### ### 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 ### ### ### ### ### ###
Type <= <= <= <= <= <=
RHS 0 0 0 0 0 0
Decision variables
Month 1 Month 2 Month 3 Month 4 Month 5 Month 6
Initial 683176.41 Rate Risk
A 0 0 2672.5 7667.67 0 0 1.02 -5
B 461836.64 325328.42 344497.61 1.04 -2
C 221339.78 229665.07 1.06 3
D 0 1.1 1

Objective function
Min 683176.41

Constraints
Cash flow Month 1 Month 2 Month 3 Month 4 Month 5 Month 6 End payment
LHS 0 0 150000 0 0 0 600000
Type = = = = = = =
RHS 0 0 150000 0 0 0 600000

Ave Risk Month 1 Month 2 Month 3 Month 4 Month 5 Month 6


LHS ### ### 0 0 0 0
Type <= <= <= <= <= <=
RHS 0 0 0 0 0 0

Ave Maturity Month 1 Month 2 Month 3 Month 4 Month 5 Month 6


LHS ### ### ### ### ### ###
Type <= <= <= <= <= <=
RHS 0 0 0 0 0 0
Maturity 1 Maturity 2 Maturity 3 Maturity 4 Maturity 5 Maturity 6
-1.5 -1.5 -1.5 -1.5 -1.5 -1.5
-0.5 -1.5 -0.5 -1.5 -0.5 -1.5
0.5 -0.5 -1.5 0.5 -0.5 -1.5
3.5 2.5 1.5 0.5 -0.5 -1.5
Redundant

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