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Economics and finance Description
Further explanation of this example: 'Applications of optimization with Xpress-MP', Chapter 13: Economics and finance problems
Source Files
Data Files
h4retire.mos (!****************************************************** Mosel Example Problems ====================== file h4retire.mos ````````````````` Financing an early retirement scheme (c) 2008 Fair Isaac Corporation author: S. Heipcke, Mar. 2002 *******************************************************!) model "H-4 Retirement" uses "mmxprs" declarations BONDS = {"SNCF","Fujitsu","Treasury"} ! Set of bonds NT = 7 ! Length of planning period YEARS = 1..NT DEM: array(YEARS) of integer ! Annual payments for retirement VALUE: array(BONDS) of real ! Unit price of bonds RATE: array(BONDS) of real ! Remuneration rates paid by bonds RET: array(BONDS) of real ! Unit annual interest of bonds DUR: array(BONDS) of real ! Duration of loans INTEREST: real ! Interest for other secure investment buy: array(BONDS) of mpvar ! Number of bonds acquired invest: array(YEARS) of mpvar ! Other annual investment capital: mpvar ! Total capital required end-declarations initializations from 'h4retire.dat' DEM VALUE RATE DUR INTEREST end-initializations forall(b in BONDS) RET(b):= VALUE(b)*RATE(b)/100 ! Annual balances capital - sum(b in BONDS) VALUE(b)*buy(b) - invest(1) = DEM(1) forall(t in 2..NT) sum(b in BONDS | DUR(b)+1>=t) (RET(b)*buy(b) + if(DUR(b)+1=t, VALUE(b)*buy(b), 0)) + (1+INTEREST/100)*invest(t-1) - if(t<NT, invest(t), 0) = DEM(t) forall(b in BONDS) buy(b) is_integer ! Solve the problem: minimize invested capital minimize(capital) ! Solution printing writeln("Total capital: ", getobjval) writeln("Number of bonds to buy:") forall(b in BONDS) write(b, ": ", getsol(buy(b)), " (price: ", VALUE(b)*getsol(buy(b)), ") ") writeln("\nOther investment:") forall(t in 1..NT-1) write(" year ", t) writeln forall(t in 1..NT-1) write(strfmt(getsol(invest(t)),9,3)) writeln end-model | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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