Professional Documents
Culture Documents
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
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
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
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
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
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'
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
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
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
t
1
2
3
4
5
6
shadow prices
0.83870968
0.83870968
0.83870968
0.76494624
0.69258065
0.62602251
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
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
Amount
2.181818182
0
7.363636364
0
0.454545455
10
=
10
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.
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
-0.032727273
-0.02
-0.308181818
-0.346363636
-0.276363636
-0.04
-0.273636364
0.11
-0.368181818
-0.139090909
-0.441818182
-0.196363636
-0.056363636
-0.154545455
0.139090909
0.022727273
-0.401818182
0.109090909
0.174545455
-0.581818182
-0.303636364
-0.396363636
-0.448181818
-0.515454545
-0.293636364
-0.219090909
-0.399090909
-0.525454545
-0.069090909
-0.310909091
-0.186363636
-0.104545455
-0.318181818
-0.062727273
-0.209090909
-0.022727273
-0.089090909
0.223636364
-0.356363636
-0.154545455
-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
-0.278181818
-0.349090909
-0.166363636
-0.487272727
-0.523636364
-0.561818182
-0.217272727
-0.524545455
-0.612727273
-0.283636364
-0.489090909
-0.558181818
-0.116363636
-0.328181818
-0.377272727
-0.181818182
-0.109090909
-0.251818182
-0.525454545
-0.325454545
-0.29
-0.044545455
-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
-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
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
-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
-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
-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
-0.04
-0.273636364
0.11
-0.368181818
-0.139090909
-0.441818182
-0.196363636
-0.056363636
-0.154545455
0.139090909
0.022727273
-0.401818182
0.109090909
0.174545455
-0.581818182
-0.303636364
-0.396363636
-0.448181818
-0.515454545
-0.293636364
-0.219090909
-0.399090909
-0.525454545
-0.069090909
-0.310909091
-0.186363636
-0.104545455
-0.318181818
-0.062727273
-0.209090909
-0.022727273
-0.089090909
0.223636364
-0.356363636
-0.154545455
-0.269090909
-0.54
-0.186363636
-0.405454545
-0.256363636
-0.717272727
-0.049090909
-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
-0.278181818
-0.349090909
-0.166363636
-0.487272727
-0.523636364
-0.561818182
-0.217272727
-0.524545455
-0.612727273
-0.283636364
-0.489090909
-0.558181818
-0.116363636
-0.328181818
-0.377272727
-0.181818182
-0.109090909
-0.251818182
-0.525454545
-0.325454545
-0.29
-0.044545455
-0.245454545
-0.562727273
-0.434545455
-0.32
-0.046363636
-0.180909091
-0.441818182
-0.267272727
0.250909091
-0.258181818
-0.442727273
-0.378181818
-0.422727273
-0.208181818
-0.310909091
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
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
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
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
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
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
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
-0.04
-0.273636364
0.11
-0.368181818
-0.139090909
-0.441818182
-0.196363636
-0.056363636
-0.154545455
0.139090909
0.022727273
-0.401818182
0.109090909
0.174545455
-0.581818182
-0.303636364
-0.396363636
-0.448181818
-0.515454545
-0.293636364
-0.219090909
-0.399090909
-0.525454545
-0.069090909
-0.310909091
-0.186363636
-0.104545455
-0.318181818
-0.062727273
-0.209090909
-0.022727273
-0.089090909
0.223636364
-0.356363636
-0.154545455
-0.269090909
-0.54
-0.186363636
-0.405454545
-0.256363636
-0.717272727
-0.049090909
-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
268
269
270
271
272
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280
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282
283
284
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288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
5
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1
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2
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1
2
2
1
2
4
4
4
4
4
7
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12
13
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14
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14
11
16
10
13
15
12
17
8
11
9
6
7
6
12
12
14
11
12
13
10
8
9
11
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17
7
5
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5.6
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7.6
6.8
8.2
7.5
7.3
6.6
7.8
5.9
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9.3
9.1
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5.7
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