Porftolio dedication

Period

Cash flows
Bond 1
Bond 2
Bond 3
Bond 4
Bond 5
Bond 6
Bond 7
Bond 8
Bond 9
Bond 10
Bond 11
Bond 12
Bond 13

10
7
8
6
7
6
5
10
8
6
10
7
100

10
7
8
6
7
6
5
10
8
6
110
107

10
7
8
6
7
6
5
110
108
106

10
7
8
6
7
106
105

10
7
8
106
107

110
107
108

Liability
surplus

500
500
0

200
200
0

800
800
0

200
200
0

800
800
0

1200
1200
0

the least cost is 2754.284, and bond 3, bond 5, bond 6, bond

9,bond 11 and bond 13 should be included in the portfolio.

Price
109
94.8
99.5
93.1
97.2
96.3
92.9
110
104
101
107
102
95.2

X
0
0
11.11111
0
6.645898
0.609338
0
0
6.119757
0
0.10887
0
3.10887

Min cost = 2754.284

Porftolio immunization
Period

Cash flows
Bond 1
Bond 2
Bond 3
Bond 4
Bond 5
Bond 6
Bond 7
Bond 8
Bond 9
Bond 10
Bond 11
Bond 12
Bond 13

10
7
8
6
7
6
5
10
8
6
10
7
100

10
7
8
6
7
6
5
10
8
6
110
107

10
7
8
6
7
6
5
110
108
106

10
7
8
6
7
106
105

10
7
8
106
107

110
107
108

SUM
Liability
PV(liability)
duration(liability)

500
476
453.152

200
800
200
800
1200
178.1981 664.8598 151.5292 547.3677 740.1074
336.4106 1875.274 565.4873 2536.804 4096.99

Interest
Delta
New interest

0.05042
0
0.05042

0.059408
0
0.059408

Discount
Duration

0.952
0.890991 0.831075 0.757646 0.68421 0.616756
0.906304 1.682053 2.344092 2.827436 3.171006 3.414159

0.06362
0
0.06362

0.071849 0.078853
0
0
0.071849 0.078853

0.08388
0
0.08388

interest rate change

Period

Cash flows
Bond 1
Bond 2
Bond 3
Bond 4
Bond 5
Bond 6
Bond 7
Bond 8
Bond 9

10
7
8
6
7
6
5
10
8

10
7
8
6
7
6
5
10
8

10
7
8
6
7
6
5
110
108

10
7
8
6
7
106
105

10
7
8
106
107

110
107
108

2758.062252
9864.118601

Bond 10
Bond 11
Bond 12
Bond 13

6
10
7
100

6
110
107

106

500

200

800

Interest
Delta
New interest

0.05042
-0.02
0.03042

0.059408
-0.02
0.039408

0.06362
-0.02
0.04362

Discount
Duration

0.970478 0.925609 0.879777 0.816934 0.751315 0.689676

0.941827 1.78103 2.529013 3.106661 3.54778 3.889588

Liability

200

800

0.071849 0.078853
-0.02
-0.02
0.051849 0.058853

1200
0.08388
-0.02
0.06388

Price
109
94.8
99.5
93.1
97.2
96.3
92.9
110
104
101
107
102
95.2

$
$
$
$
$
$
$
$
$
$
$
$
$

PV
109.00
94.80
99.54
93.12
97.23
96.35
92.92
109.85
104.50
99.15
107.53
102.00
95.20

$
$
$
$
$
$
$
$
$
$
$
$
$

Duration
484.87
441.83
456.18
382.69
393.62
329.30
321.54
283.73
273.87
264.00
194.09
186.32
90.63

sumproduct of pv(x)
2758.062

x
0
0
13.49578
0
0
0
0
0
13.53811
0
0
0
0
sumproduct of duration (x)
9864.119

object MIN cost

2750.793102

the min cost of portfolio is 2750.793102

Price
109
94.8
99.5
93.1
97.2
96.3
92.9
110
104

PV
$119.31
$104.20
$109.24
$101.20
$105.54
$103.25
$99.66
$115.74
$110.18

Duration
X
546.9178126
0
499.5301128
0
515.3260128 13.62711
426.2158301
0
438.1221419
0
360.8173243
0
352.4587921
0
305.4200382
0
294.9162964 13.41055

101
107
102
95.2

$104.63
$111.52
$105.83
$97.05

cash

284.4125547
205.3315972
197.1630245
94.18273528
Total

0
0
0
0
2750.594

pv
pv'

2966.232 Duration
2966.232 Duration'

the values change

208.1698

10977.39
10977.39

Cell

Name
1
2
3
4
5
6

term 1
term2
term 3
term 4
term 5
term 6

Final
Value

Shadow
Price

$500.00
$200.00
$800.00
$200.00
$800.00
$1,200.00

0.952
0.886181818
0.826801347
0.757642462
0.684501127
0.617064685

Constraint
R.H. Side
500
200
800
200
800
1200

Allowable
Increase
1E+30
3419.757368
161.6724466
228.4970578
209.5644444
198.0384

Using the Sensitivity Report from Problem 1 a

We can have the implied term structure of interest rates as:
Term
Term
Term
Term
Term
Term

1
2
3
4
5
6

5.042%
6.228%
6.545%
7.185%
7.876%
8.379%

Allowable
Decrease
310.8870334
11.97573678
660.9337957
64.58982347
711.1111111
1200

f interest rates as:

Porftolio dedication
Period
Cash flows
Bond 1
Bond 2
Bond 3
Bond 4
Bond 5
Bond 6
Bond 7
Bond 8
Bond 9
Bond 10
Bond 11
Bond 12
Bond 13

10
7
8
6
7
6
5
10
8
6
10
7
100

10
7
8
6
7
6
5
10
8
6
110
107

10
7
8
6
7
6
5
110
108
106

10
7
8
6
7
106
105

10
7
8
106
107

110
107
108

800
800

500
500

800
800

1200
1200

181.8311 263.662106
100
200
81.83105
63.662106

Liability
surplus

So the min cost of new optimal dedicated portfolio is 2610.345

and bond 2,4,7,9, should be included in the portfolio

t
1
2
3
4
5
6

shadow prices
0.83870968
0.83870968
0.83870968
0.76494624
0.69258065
0.62602251

implied interest rate

19.231%
9.193%
6.038%
6.928%
7.623%
8.119%

Min cost =
0

Price
109
94.8
99.5
93.1
97.2
96.3
92.9
110
104
101
107
102
95.2

x
0
11.21495
0
6.80656
0
0
3.625295
0
5.545068
0
0
0
0

Min cost = 2610.345

Name
A
B
C
D
E
Totals
Limits

Quality
2
2
1
1
5
14
<=
14

Average yield

5.967272727

Duration
9
15
4
3
2
50
<=
50

Muni?
1
0
0
0
1
2.636363636
<=
3

Yield
8.6
5.4
5
4.4
9

C j (C j spduration 8 spquality 3 spamount 1)

C j (C j 0.047272727 8 0.123636364 3 0.187272727)
C j (C j 0.93636363635)

Amount
2.181818182
0
7.363636364
0
0.454545455
10
=
10

in order to add the new municipal bond , so

C should
be greater than 0 , that is Cj >0.93636363635
j

the yield should be greater than 9.3636363635% that would make it attractive to add it to the current portfolio.

ter than 0 , that is Cj >0.93636363635

ke it attractive to add it to the current portfolio.

SP(quality)
0.123636364
Name
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50

Quality
2
2
1
1
5
3
2
4
3
3
2
3
3
4
2
3
2
2
2
2
2
2
4
4
2
3
3
3
2
4
3
4
4
3
3
3
2
3
3
4
2
3
2
3
4
3
4
3
3
3

Duration
9
15
4
3
2
11
14
2
3
9
9
11
7
11
14
8
11
5
10
12
5
7
11
3
14
11
12
9
13
12
12
1
4
8
5
11
8
7
2
1
3
8
11
7
8
8
6
8
15
7

Muni?
1
0
1
0
1
1
0
0
1
0
1
0
1
0
1
1
1
0
1
0
0
1
0
0
0
0
0
1
1
1
0
1
0
0
0
0
1
0
1
0
0
0
1
0
0
1
0
0
0
1

Yield
8.6
5.4
5
4.4
9
7.9
7.5
5
6.2
7.3
9.5
6.9
7.5
7.9
8.9
8.9
8.1
8.1
8.9
5.9
7.6
9.2
6.2
5.4
6.9
6.2
6.3
7.2
8.4
8.9
6.1
6.5
5.9
7.7
6.9
7.8
7.4
6.9
6.6
6
8.3
6.1
8.2
6.2
5.1
7.8
5.5
6.8
5.6
8.4

c
-8.32667E-16
-0.603636364
-3.33067E-16
-0.012727273
-1.77636E-15
-0.288181818
-0.346363636
-0.276363636
-0.08
-0.253636364
0.09
-0.388181818
-0.139090909
-0.411818182
-0.206363636
-0.046363636
-0.144545455
0.139090909
-0.017272727
-0.411818182
0.089090909
0.154545455
-0.581818182
-0.283636364
-0.406363636
-0.458181818
-0.495454545
-0.263636364
-0.209090909
-0.359090909
-0.515454545
-0.079090909
-0.280909091
-0.166363636
-0.104545455
-0.298181818
-0.072727273
-0.199090909
0.007272727
-0.129090909
0.253636364
-0.326363636
-0.134545455
-0.269090909
-0.55
-0.156363636
-0.415454545
-0.256363636
-0.707272727
-0.049090909

51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85

2
3
4
1
2
2
5
4
3
3
3
2
3
2
3
2
3
5
5
3
2
4
3
2
3
4
4
1
4
3
2
4
2
3
3
4
3
5
5
3
2
4
3
2
3
4
4
1
4
3
2
4
2
3
3

13
12
9
18
10
15
13
13
13
16
10
8
12
19
15
12
11
7
11
12
13
5
7
14
15
14
11
16
10
13
15
12
17
8
11
9
6
7
11
12
13
5
7
14
15
14
11
16
10
13
15
12
17
8
11

0
0
0
1
1
1
1
1
1
1
1
1
0
0
1
1
0
1
0
1
1
0
0
1
0
1
0
1
0
0
1
1
0
1
0
1
1
1
0
1
1
0
0
1
0
1
0
1
0
0
1
1
0
1
0

7.4
6.2
7
9.6
8.9
9.1
7.4
7.3
9.3
8.6
8.5
7.5
7.3
7.6
8.8
9.2
6.9
6.4
6
6.9
8.5
6.3
5
9.1
8
8.1
6.6
8.5
6
5.8
8.6
7.5
6.4
8.6
7.6
7.3
6.4
6.6
5.9
6.8
8.7
6.2
5.1
9.2
8.1
8.2
6.6
8.6
6.1
5.8
8.5
7.3
6.4
8.4
7.7

-0.309090909
-0.505454545
-0.407272727
-0.201818182
-0.017272727
-0.233636364
-0.68
-0.566363636
-0.242727273
-0.454545455
-0.180909091
-0.062727273
-0.395454545
-0.572727273
-0.387272727
-0.081818182
-0.388181818
-0.496363636
-0.725454545
-0.435454545
-0.199090909
-0.288181818
-0.389090909
-0.186363636
-0.467272727
-0.533636364
-0.541818182
-0.217272727
-0.554545455
-0.592727273
-0.283636364
-0.499090909
-0.598181818
-0.076363636
-0.318181818
-0.377272727
-0.201818182
-0.476363636
-0.735454545
-0.445454545
-0.179090909
-0.298181818
-0.379090909
-0.176363636
-0.457272727
-0.523636364
-0.541818182
-0.207272727
-0.544545455
-0.592727273
-0.293636364
-0.519090909
-0.598181818
-0.096363636
-0.308181818

86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140

4
3
3
3
3
3
3
2
1
2
4
4
4
4
4
2
2
1
1
5
3
2
4
3
3
2
3
3
4
2
3
2
2
2
2
2
2
4
4
2
3
3
3
2
4
3
4
4
3
3
3
2
3
3
4

9
6
7
6
12
12
14
10
8
17
7
5
7
5
4
9
15
4
3
2
11
14
2
3
9
9
11
7
11
14
8
11
5
10
12
5
7
11
3
14
11
12
9
13
12
12
1
4
8
5
11
8
7
2
1

1
1
1
0
0
1
1
0
1
1
0
0
0
1
0
1
0
1
0
1
1
0
0
1
0
1
0
1
0
1
1
1
0
1
0
0
1
0
0
0
0
0
1
1
1
0
1
0
0
0
0
1
0
1
0

7
6.5
8.1
5.9
5.9
7.8
9.3
6.1
9.1
9.6
5.8
5.4
6
7.4
5.6
8.5
5.3
4.8
4.2
8.8
7.9
7.4
4.8
6.2
7
9.3
7
7.6
7.8
8.7
8.9
8
8
9.2
6.3
7.7
9
6.5
5.6
6.9
6.4
6.1
6.8
8.2
8.7
6.3
6.9
5.5
7.7
7.3
7.8
7.5
6.6
6.3
6.1

-0.407272727
-0.191818182
-0.079090909
-0.251818182
-0.535454545
-0.345454545
-0.29
-0.297272727
0.220909091
-0.278181818
-0.432727273
-0.378181818
-0.412727273
-0.178181818
-0.310909091
-0.01
-0.613636364
-0.02
-0.032727273
-0.02
-0.288181818
-0.356363636
-0.296363636
-0.08
-0.283636364
0.07
-0.378181818
-0.129090909
-0.421818182
-0.226363636
-0.046363636
-0.154545455
0.129090909
0.012727273
-0.371818182
0.099090909
0.134545455
-0.551818182
-0.263636364
-0.406363636
-0.438181818
-0.515454545
-0.303636364
-0.229090909
-0.379090909
-0.495454545
-0.039090909
-0.320909091
-0.166363636
-0.064545455
-0.298181818
-0.062727273
-0.229090909
-0.022727273
-0.119090909

141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195

2
3
2
3
4
3
4
3
3
3
2
3
4
1
2
2
5
4
3
3
3
2
3
2
3
2
3
5
5
3
2
4
3
2
3
4
4
1
4
3
2
4
2
3
3
4
3
3
3
3
3
3
2
1
2

3
8
11
7
8
8
6
8
15
7
13
12
9
18
10
15
13
13
13
16
10
8
12
19
15
12
11
7
11
12
13
5
7
14
15
14
11
16
10
13
15
12
17
8
11
9
6
7
6
12
12
14
10
8
17

0
0
1
0
0
1
0
0
0
1
0
0
0
1
1
1
1
1
1
1
1
1
0
0
1
1
0
1
0
1
1
0
0
1
0
1
0
1
0
0
1
1
0
1
0
1
1
1
0
0
1
1
0
1
1

8.1
6
7.9
6.3
5.1
7.9
5.4
6.8
5.5
8.2
7.4
6.4
6.9
9.3
9.1
9.3
7.1
7.3
9.1
8.6
8.3
7.3
7.7
7.3
8.4
9.3
7.2
6.7
6
6.7
8.3
6.2
5.3
9
7.7
8.2
6.2
8.7
6.3
5.8
8.6
7.6
6.8
8.5
7.8
7.2
6.5
7.8
6.2
6.2
7.9
9
6.4
9.3
9.5

0.233636364
-0.336363636
-0.164545455
-0.259090909
-0.55
-0.146363636
-0.425454545
-0.256363636
-0.717272727
-0.069090909
-0.309090909
-0.485454545
-0.417272727
-0.231818182
0.002727273
-0.213636364
-0.71
-0.566363636
-0.262727273
-0.454545455
-0.200909091
-0.082727273
-0.355454545
-0.602727273
-0.427272727
-0.071818182
-0.358181818
-0.466363636
-0.725454545
-0.455454545
-0.219090909
-0.298181818
-0.359090909
-0.196363636
-0.497272727
-0.523636364
-0.581818182
-0.197272727
-0.524545455
-0.592727273
-0.283636364
-0.489090909
-0.558181818
-0.086363636
-0.298181818
-0.387272727
-0.191818182
-0.109090909
-0.221818182
-0.505454545
-0.335454545
-0.32
-0.267272727
0.240909091
-0.288181818

196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250

4
4
4
4
4
2
2
1
1
5
3
2
4
3
3
2
3
3
4
2
3
2
2
2
2
2
2
4
4
2
3
3
3
2
4
3
4
4
3
3
3
2
3
3
4
2
3
2
3
4
3
4
3
3
3

7
5
7
5
4
9
15
4
3
2
11
14
2
3
9
9
11
7
11
14
8
11
5
10
12
5
7
11
3
14
11
12
9
13
12
12
1
4
8
5
11
8
7
2
1
3
8
11
7
8
8
6
8
15
7

0
0
0
1
0
1
0
1
0
1
1
0
0
1
0
1
0
1
0
1
1
1
0
1
0
0
1
0
0
0
0
0
1
1
1
0
1
0
0
0
0
1
0
1
0
0
0
1
0
0
1
0
0
0
1

6
5.3
5.9
7.4
5.8
8.6
5.6
5.1
4.2
8.8
7.7
7.5
5
6.6
7.1
9.7
7.1
7.5
7.6
9
8.8
8
8.1
9.3
6
7.8
9.4
6.2
5.2
7
6.3
6.1
6.9
8.3
8.5
6
6.6
5.6
7.5
6.9
7.6
7.5
6.8
6.3
6.4
8
5.8
8
6.2
5.2
7.5
5.6
6.8
5.5
8.4

-0.412727273
-0.388181818
-0.422727273
-0.178181818
-0.290909091
-8.32667E-16
-0.583636364
0.01
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-0.02
-0.308181818
-0.346363636
-0.276363636
-0.04
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0.11
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-0.269090909
-0.54
-0.186363636
-0.405454545
-0.256363636
-0.717272727
-0.049090909

251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305

2
3
4
1
2
2
5
4
3
3
3
2
3
2
3
2
3
5
5
3
2
4
3
2
3
4
4
1
4
3
2
4
2
3
3
4
3
3
3
3
3
3
2
3
3
4
4
1
1
2
2
1
2
4
4

13
12
9
18
10
15
13
13
13
16
10
8
12
19
15
12
11
7
11
12
13
5
7
14
15
14
11
16
10
13
15
12
17
8
11
9
6
7
6
12
12
14
11
12
13
10
8
9
11
12
10
8
17
7
5

0
0
0
1
1
1
1
1
1
1
1
1
0
0
1
1
0
1
0
1
1
0
0
1
0
1
0
1
0
0
1
1
0
1
0
1
1
1
0
0
1
1
0
1
1
1
0
0
1
0
0
1
1
0
0

7.3
6.5
7
9.4
9
9.4
7.3
7.4
9.3
8.7
8.5
7.2
7.7
7.5
8.6
9
7.1
6.7
6.2
6.7
8.6
6.4
5.4
9.3
7.8
8.2
6.4
8.5
6.3
5.6
8.6
7.6
6.8
8.2
7.5
7.3
6.6
7.8
5.9
6
8
9.3
9.1
8.8
6.1
7.2
7.4
6.9
6.5
5.6
6.4
9.4
9.8
5.7
5.4

-0.319090909
-0.475454545
-0.407272727
-0.221818182
-0.007272727
-0.203636364
-0.69
-0.556363636
-0.242727273
-0.444545455
-0.180909091
-0.092727273
-0.355454545
-0.582727273
-0.407272727
-0.101818182
-0.368181818
-0.466363636
-0.705454545
-0.455454545
-0.189090909
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-0.349090909
-0.166363636
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-0.561818182
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-0.29
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-0.245454545
-0.562727273
-0.434545455
-0.32
-0.046363636
-0.180909091
-0.441818182
-0.267272727
0.250909091
-0.258181818
-0.442727273
-0.378181818

306
307
308

4
4
4

7
5
4

0
1
0

5.9
7.1
5.6

-0.422727273
-0.208181818
-0.310909091

SP(duration)
0.047272727
c
-8.32667E-16
-0.603636364
-3.33067E-16
-0.012727273
-1.77636E-15
-0.288181818
-0.346363636
-0.276363636
-0.08
-0.253636364
0.09
-0.388181818
-0.139090909
-0.411818182
-0.206363636
-0.046363636
-0.144545455
0.139090909
-0.017272727
-0.411818182
0.089090909
0.154545455
-0.581818182
-0.283636364
-0.406363636
-0.458181818
-0.495454545
-0.263636364
-0.209090909
-0.359090909
-0.515454545
-0.079090909
-0.280909091
-0.166363636
-0.104545455
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-0.072727273
-0.199090909
0.007272727
-0.129090909
0.253636364
-0.326363636
-0.134545455
-0.269090909
-0.55
-0.156363636
-0.415454545
-0.256363636
-0.707272727
-0.049090909

SP(amount)
0.187272727

the name 11,18,21,22 and 39could improve the current optimal portfolio

-0.309090909
-0.505454545
-0.407272727
-0.201818182
-0.017272727
-0.233636364
-0.68
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0.233636364
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0.002727273
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0.240909091
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-0.412727273
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-0.049090909

-0.319090909
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-0.378181818

-0.422727273
-0.208181818
-0.310909091

improve the current optimal portfolio

Microsoft Excel 14.0 Sensitivity Report

Worksheet: [PS_2.xls]Q2 part A Bond selection
Report Created: 2012/11/19 23:51:58

Variable Cells
Cell
Name
$G$5:$G$9
$G$5
A Amount
$G$6
B Amount
$G$7
C Amount
$G$8
D Amount
$G$9
E Amount

Final
Value
2.181818182
0
7.363636364
0
0.454545455

Reduced
Cost
0
-0.603636364
0
-0.012727273
0

Objective
Coefficient

Allowable
Increase

0.86
0.54
0.5
0.44
0.9

0.07
0.603636364
0.346666667
0.012727273
1.04

Shadow
Constraint
Price
R.H. Side
0.123636364
14
0.047272727
50
0
3
0.187272727
10

Allowable
Increase
1.142857143
2.666666667
1E+30
2.666666667

Allowable
Decrease
0.26
1E+30
0.0112
1E+30
0.28

Constraints
Cell
$C$10
$D$10
$E$10
$G$10

Name
Totals Quality
Totals Duration
Totals Muni?
Totals Amount

Final
Value
14
50
2.636363636
10

Allowable
Decrease
2
12
0.363636364
0.421052632

Microsoft Excel 14.0 Sensitivity Report

Worksheet: [PS_2.xls]Q2 part C
Report Created: 2012/11/20 13:08:32

Variable Cells
Cell
Name
$F$9:$F$18
$F$9
A Amount
$F$10 C Amount
$F$11 E Amount
$F$12 Amount
$F$13 Amount
$F$14 Amount
$F$15 Amount
$F$16 Amount
$F$17 Amount
$F$18 Amount

Final
Value
0
3
0
4
0
0
0
0
0
3

Reduced
Cost
-0.41
0
-1.36
0
-0.03
-0.02
-0.01
-0.33
-0.03
0

Objective
Coefficient
0.86
0.5
0.9
0.83
0.91
0.81
0.93
0.94
0.8
0.94

Allowable
Increase
0.41
0.33
1.36
1E+30
0.03
0.02
0.01
0.33
0.03
1E+30

Allowable
Decrease
1E+30
1E+30
1E+30
0.02
1E+30
1E+30
1E+30
1E+30
1E+30
0.01

Constraints
Cell
$B$19
$C$19
$D$19
$F$19

Name
totals Quality
totals Duration
totals Muni?
totals Amount

Final
Shadow Constraint Allowable Allowable
Value
Price
R.H. Side
Increase
Decrease
14
0.33
14
3
2
48
0
50
1E+30
2
3
0.44
3
0.5
3
10
0.17
10
0.4
1.5

Microsoft Excel 14.0 Sensitivity Report

Worksheet: [PS_2.xls]Q2 part C
Report Created: 2012/11/20 13:20:19

Variable Cells
Cell
Name
$F$60:$F$69
$F$60 A Amount
$F$61 C Amount
$F$62 Amount
$F$63 Amount
$F$64 Amount
$F$65 Amount
$F$66 Amount
$F$67 Amount
$F$68 Amount
$F$69 Amount

Final
Value
0
2.6
0.4
4
0
0
0
0
0
3

Reduced
Cost
-0.486
0
0
0
-0.03
-0.02
-0.01
-0.33
-0.03
0

Objective
Coefficient

Allowable
Increase

0.86
0.5
0.69
0.83
0.91
0.81
0.93
0.94
0.8
0.94

0.486
0.19
0.36
1E+30
0.03
0.02
0.01
0.33
0.03
1E+30

Final
Shadow Constraint
Value
Price
R.H. Side
14
0.368
14
50
0.038
50
3
0.288
3
10
-0.02
10

Allowable
Increase
2.166666667
13
0.5
0.4

Allowable
Decrease
1E+30
1E+30
0.19
0.02
1E+30
1E+30
1E+30
1E+30
1E+30
0.01

Constraints
Cell
$B$70
$C$70
$D$70
$F$70

Name
totals Quality
totals Duration
totals Muni?
totals Amount

Allowable
Decrease
2
2
3
0.866666667

1. using the SP(quality) ,SP(duration) and SP (amount) from part A, the reduced cost of B and D is smaller than 0,
so remove B and D from portfolio , and get another 7 bonds (the biggest positive seven in the list) into portfolio .

Name
A
C
E
41
94
141
194
222
241
302
totals
limits
Average yield

Quality Duration
2
9
1
4
5
2
2
3
1
8
2
3
1
8
2
7
2
3
1
8
14
48
<=
<=
14
50

Muni?
1
0
1
0
1
0
1
1
0
1

Yield
8.6
5
9
8.3
9.1
8.1
9.3
9.4
8
9.4
3

<=
3

Amount
0
3
0
4
0
0
0
0
0
3
10
=
10

7.64

get the shadow price and reduced cost

27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42

calculate the new C in the bond list

Name
A
C
298
41
94
141
194
222
241
302
totals
limits
Average yield

Quality Duration
2
9
1
4
1
9
2
3
1
8
2
3
1
8
2
7
2
3
1
8
14
50
<=
<=
14
50

Muni?
1
0
0
0
1
0
1
1
0
1

Yield
8.6
5
6.9
8.3
9.1
8.1
9.3
9.4
8
9.4
3

<=
3

Amount
0
2.6
0.4
4
0
0
0
0
0
3
10
=
10

7.716

we get the new C that all negative so the last one is the optimal solution

the optimal solution is 7,716

the numerical value of the optimal value is

Name
A
C
298
41
94
141
194
222
241
302

Amount
0
2.6
0.4
4
0
0
0
0
0
3

71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90

91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149

150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208

209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267

268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308

of B and D is smaller than 0,

en in the list) into portfolio .
Name
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52

Quality
2
2
1
1
5
3
2
4
3
3
2
3
3
4
2
3
2
2
2
2
2
2
4
4
2
3
3
3
2
4
3
4
4
3
3
3
2
3
3
4
2
3
2
3
4
3
4
3
3
3
2
3

Duration
9
15
4
3
2
11
14
2
3
9
9
11
7
11
14
8
11
5
10
12
5
7
11
3
14
11
12
9
13
12
12
1
4
8
5
11
8
7
2
1
3
8
11
7
8
8
6
8
15
7
13
12

Muni?
1
0
1
0
1
1
0
0
1
0
1
0
1
0
1
1
1
0
1
0
0
1
0
0
0
0
0
1
1
1
0
1
0
0
0
0
1
0
1
0
0
0
1
0
0
1
0
0
0
1
0
0

Yield
8.6
5.4
5
4.4
9
7.9
7.5
5
6.2
7.3
9.5
6.9
7.5
7.9
8.9
8.9
8.1
8.1
8.9
5.9
7.6
9.2
6.2
5.4
6.9
6.2
6.3
7.2
8.4
8.9
6.1
6.5
5.9
7.7
6.9
7.8
7.4
6.9
6.6
6
8.3
6.1
8.2
6.2
5.1
7.8
5.5
6.8
5.6
8.4
7.4
6.2

SP(quality) SP(duration)
0.12363636 0.047272727
c
-8.32667E-16
-0.603636364
-3.33067E-16
-0.012727273
-1.77636E-15
-0.288181818
-0.346363636
-0.276363636
-0.08
-0.253636364
0.09
-0.388181818
-0.139090909
-0.411818182
-0.206363636
-0.046363636
-0.144545455
0.139090909
-0.017272727
-0.411818182
0.089090909
0.154545455
-0.581818182
-0.283636364
-0.406363636
-0.458181818
-0.495454545
-0.263636364
-0.209090909
-0.359090909
-0.515454545
-0.079090909
-0.280909091
-0.166363636
-0.104545455
-0.298181818
-0.072727273
-0.199090909
0.007272727
-0.129090909
0.253636364
-0.326363636
-0.134545455
-0.269090909
-0.55
-0.156363636
-0.415454545
-0.256363636
-0.707272727
-0.049090909
-0.309090909
-0.505454545

53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90

4
1
2
2
5
4
3
3
3
2
3
2
3
2
3
5
5
3
2
4
3
2
3
4
4
1
4
3
2
4
2
3
3
4
3
5
5
3
2
4
3
2
3
4
4
1
4
3
2
4
2
3
3
4
3
3
3
3

9
18
10
15
13
13
13
16
10
8
12
19
15
12
11
7
11
12
13
5
7
14
15
14
11
16
10
13
15
12
17
8
11
9
6
7
11
12
13
5
7
14
15
14
11
16
10
13
15
12
17
8
11
9
6
7
6
12

0
1
1
1
1
1
1
1
1
1
0
0
1
1
0
1
0
1
1
0
0
1
0
1
0
1
0
0
1
1
0
1
0
1
1
1
0
1
1
0
0
1
0
1
0
1
0
0
1
1
0
1
0
1
1
1
0
0

7
9.6
8.9
9.1
7.4
7.3
9.3
8.6
8.5
7.5
7.3
7.6
8.8
9.2
6.9
6.4
6
6.9
8.5
6.3
5
9.1
8
8.1
6.6
8.5
6
5.8
8.6
7.5
6.4
8.6
7.6
7.3
6.4
6.6
5.9
6.8
8.7
6.2
5.1
9.2
8.1
8.2
6.6
8.6
6.1
5.8
8.5
7.3
6.4
8.4
7.7
7
6.5
8.1
5.9
5.9

-0.407272727
-0.201818182
-0.017272727
-0.233636364
-0.68
-0.566363636
-0.242727273
-0.454545455
-0.180909091
-0.062727273
-0.395454545
-0.572727273
-0.387272727
-0.081818182
-0.388181818
-0.496363636
-0.725454545
-0.435454545
-0.199090909
-0.288181818
-0.389090909
-0.186363636
-0.467272727
-0.533636364
-0.541818182
-0.217272727
-0.554545455
-0.592727273
-0.283636364
-0.499090909
-0.598181818
-0.076363636
-0.318181818
-0.377272727
-0.201818182
-0.476363636
-0.735454545
-0.445454545
-0.179090909
-0.298181818
-0.379090909
-0.176363636
-0.457272727
-0.523636364
-0.541818182
-0.207272727
-0.544545455
-0.592727273
-0.293636364
-0.519090909
-0.598181818
-0.096363636
-0.308181818
-0.407272727
-0.191818182
-0.079090909
-0.251818182
-0.535454545

91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149

3
3
2
1
2
4
4
4
4
4
2
2
1
1
5
3
2
4
3
3
2
3
3
4
2
3
2
2
2
2
2
2
4
4
2
3
3
3
2
4
3
4
4
3
3
3
2
3
3
4
2
3
2
3
4
3
4
3
3

12
14
10
8
17
7
5
7
5
4
9
15
4
3
2
11
14
2
3
9
9
11
7
11
14
8
11
5
10
12
5
7
11
3
14
11
12
9
13
12
12
1
4
8
5
11
8
7
2
1
3
8
11
7
8
8
6
8
15

1
1
0
1
1
0
0
0
1
0
1
0
1
0
1
1
0
0
1
0
1
0
1
0
1
1
1
0
1
0
0
1
0
0
0
0
0
1
1
1
0
1
0
0
0
0
1
0
1
0
0
0
1
0
0
1
0
0
0

7.8
9.3
6.1
9.1
9.6
5.8
5.4
6
7.4
5.6
8.5
5.3
4.8
4.2
8.8
7.9
7.4
4.8
6.2
7
9.3
7
7.6
7.8
8.7
8.9
8
8
9.2
6.3
7.7
9
6.5
5.6
6.9
6.4
6.1
6.8
8.2
8.7
6.3
6.9
5.5
7.7
7.3
7.8
7.5
6.6
6.3
6.1
8.1
6
7.9
6.3
5.1
7.9
5.4
6.8
5.5

-0.345454545
-0.29
-0.297272727
0.220909091
-0.278181818
-0.432727273
-0.378181818
-0.412727273
-0.178181818
-0.310909091
-0.01
-0.613636364
-0.02
-0.032727273
-0.02
-0.288181818
-0.356363636
-0.296363636
-0.08
-0.283636364
0.07
-0.378181818
-0.129090909
-0.421818182
-0.226363636
-0.046363636
-0.154545455
0.129090909
0.012727273
-0.371818182
0.099090909
0.134545455
-0.551818182
-0.263636364
-0.406363636
-0.438181818
-0.515454545
-0.303636364
-0.229090909
-0.379090909
-0.495454545
-0.039090909
-0.320909091
-0.166363636
-0.064545455
-0.298181818
-0.062727273
-0.229090909
-0.022727273
-0.119090909
0.233636364
-0.336363636
-0.164545455
-0.259090909
-0.55
-0.146363636
-0.425454545
-0.256363636
-0.717272727

150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208

3
2
3
4
1
2
2
5
4
3
3
3
2
3
2
3
2
3
5
5
3
2
4
3
2
3
4
4
1
4
3
2
4
2
3
3
4
3
3
3
3
3
3
2
1
2
4
4
4
4
4
2
2
1
1
5
3
2
4

7
13
12
9
18
10
15
13
13
13
16
10
8
12
19
15
12
11
7
11
12
13
5
7
14
15
14
11
16
10
13
15
12
17
8
11
9
6
7
6
12
12
14
10
8
17
7
5
7
5
4
9
15
4
3
2
11
14
2

1
0
0
0
1
1
1
1
1
1
1
1
1
0
0
1
1
0
1
0
1
1
0
0
1
0
1
0
1
0
0
1
1
0
1
0
1
1
1
0
0
1
1
0
1
1
0
0
0
1
0
1
0
1
0
1
1
0
0

8.2
7.4
6.4
6.9
9.3
9.1
9.3
7.1
7.3
9.1
8.6
8.3
7.3
7.7
7.3
8.4
9.3
7.2
6.7
6
6.7
8.3
6.2
5.3
9
7.7
8.2
6.2
8.7
6.3
5.8
8.6
7.6
6.8
8.5
7.8
7.2
6.5
7.8
6.2
6.2
7.9
9
6.4
9.3
9.5
6
5.3
5.9
7.4
5.8
8.6
5.6
5.1
4.2
8.8
7.7
7.5
5

-0.069090909
-0.309090909
-0.485454545
-0.417272727
-0.231818182
0.002727273
-0.213636364
-0.71
-0.566363636
-0.262727273
-0.454545455
-0.200909091
-0.082727273
-0.355454545
-0.602727273
-0.427272727
-0.071818182
-0.358181818
-0.466363636
-0.725454545
-0.455454545
-0.219090909
-0.298181818
-0.359090909
-0.196363636
-0.497272727
-0.523636364
-0.581818182
-0.197272727
-0.524545455
-0.592727273
-0.283636364
-0.489090909
-0.558181818
-0.086363636
-0.298181818
-0.387272727
-0.191818182
-0.109090909
-0.221818182
-0.505454545
-0.335454545
-0.32
-0.267272727
0.240909091
-0.288181818
-0.412727273
-0.388181818
-0.422727273
-0.178181818
-0.290909091
-8.32667E-16
-0.583636364
0.01
-0.032727273
-0.02
-0.308181818
-0.346363636
-0.276363636

209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267

3
3
2
3
3
4
2
3
2
2
2
2
2
2
4
4
2
3
3
3
2
4
3
4
4
3
3
3
2
3
3
4
2
3
2
3
4
3
4
3
3
3
2
3
4
1
2
2
5
4
3
3
3
2
3
2
3
2
3

3
9
9
11
7
11
14
8
11
5
10
12
5
7
11
3
14
11
12
9
13
12
12
1
4
8
5
11
8
7
2
1
3
8
11
7
8
8
6
8
15
7
13
12
9
18
10
15
13
13
13
16
10
8
12
19
15
12
11

1
0
1
0
1
0
1
1
1
0
1
0
0
1
0
0
0
0
0
1
1
1
0
1
0
0
0
0
1
0
1
0
0
0
1
0
0
1
0
0
0
1
0
0
0
1
1
1
1
1
1
1
1
1
0
0
1
1
0

6.6
7.1
9.7
7.1
7.5
7.6
9
8.8
8
8.1
9.3
6
7.8
9.4
6.2
5.2
7
6.3
6.1
6.9
8.3
8.5
6
6.6
5.6
7.5
6.9
7.6
7.5
6.8
6.3
6.4
8
5.8
8
6.2
5.2
7.5
5.6
6.8
5.5
8.4
7.3
6.5
7
9.4
9
9.4
7.3
7.4
9.3
8.7
8.5
7.2
7.7
7.5
8.6
9
7.1

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268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308

5
5
3
2
4
3
2
3
4
4
1
4
3
2
4
2
3
3
4
3
3
3
3
3
3
2
3
3
4
4
1
1
2
2
1
2
4
4
4
4
4

7
11
12
13
5
7
14
15
14
11
16
10
13
15
12
17
8
11
9
6
7
6
12
12
14
11
12
13
10
8
9
11
12
10
8
17
7
5
7
5
4

1
0
1
1
0
0
1
0
1
0
1
0
0
1
1
0
1
0
1
1
1
0
0
1
1
0
1
1
1
0
0
1
0
0
1
1
0
0
0
1
0

6.7
6.2
6.7
8.6
6.4
5.4
9.3
7.8
8.2
6.4
8.5
6.3
5.6
8.6
7.6
6.8
8.2
7.5
7.3
6.6
7.8
5.9
6
8
9.3
9.1
8.8
6.1
7.2
7.4
6.9
6.5
5.6
6.4
9.4
9.8
5.7
5.4
5.9
7.1
5.6

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SP(quality)
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SP(amount)
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SP(Muni?)
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