% EE364a final 2008.
% Data for optimal investment to fund an expense stream.

n  = 6;  % number of bonds available.
T  = 12;  % number of periods.
rp = 0.05/12;  % interest rate for deposits.
rn = 0.09/12;  % interest rate for borrowing.

E  = [1 1 8 5 1 2 2 8 6 0 8 1]';                   % expense stream.
C  = [0.0060 0.0050 0.0030 0.0070 0.0050 0.0040]'; % coupon prices.
P  = [0.9870 0.9805 0.9761 0.9946 0.9783 0.9680]'; % bond prices.
M  = [     3      4      6      6      9     10]'; % maturity times.

A  = zeros(T,n); % A: (time x coupon_type) A=[a_{t,i}]
for i = 1:n
    A(1:M(i)-1,i) = C(i);
    A(M(i)    ,i) = C(i)+1;
end

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% Computing bond prices.
% Use this formula to generate a bond price vector P.
%
% Y = [0.125 0.120 0.085 0.095 0.090 0.088]'/12; % bond yield.
% P = C.*(1-(1+Y).^-M)./Y+(1+Y).^-M;             % bond price.