Description
GuaranteeData.gms: Data for the Insurance Policies with Guarantee Consiglio, Nielsen and Zenios. PRACTICAL FINANCIAL OPTIMIZATION: A Library of GAMS Models, Section 8.4 Last modified: Apr 2008. Since all data input is via data definition we can place the statement below at the any place in this program. GAMS is two pass system.
Category : GAMS FIN library
Mainfile : GuaranteeData.gms includes : AssetReturns-Guarantee.inc AbandonProbabilities.inc PeriodicCapFactors.inc CapFactors.inc
$TITLE Data for the Insurance Policies with Guarantee - The Prometeia Model.
* GuaranteeData.gms: Data for the Insurance Policies with Guarantee
* Consiglio, Nielsen and Zenios.
* PRACTICAL FINANCIAL OPTIMIZATION: A Library of GAMS Models, Section 8.4
* Last modified: Apr 2008.
* Since all data input is via data definition we can place the statement below
* at the any place in this program. GAMS is two pass system.
EXECUTE_UNLOAD 'GuaranteeData';
SETS
TT Time /TT_1 * TT_10/
SS Number of scenarios /SS_1 * SS_500/
AA Set of Assets /
AA_1 SBGVNIT.1-3
AA_2 SBGVNIT.3-7
AA_3 SBGVNIT.7-10
AA_4 ITMSBNK
AA_5 ITMSAUT
AA_6 ITMSCEM
AA_7 ITMSCST
AA_8 ITMSDST
AA_9 ITMSELT
AA_10 ITMSFIN
AA_11 ITMSFPA
AA_12 ITMSFMS
AA_13 ITMSFNS
AA_14 ITMSFOD
AA_15 ITMSIND
AA_16 ITMSINM
AA_17 ITMSINS
AA_18 ITMSPUB
AA_19 ITMSMAM
AA_20 ITMSPAP
AA_21 ITMSMAC
AA_22 ITMSPSU
AA_23 ITMSRES
AA_24 ITMSSER
AA_25 ITMSTEX
AA_26 ITMST&T/;
$INCLUDE "AssetReturns-Guarantee.inc";
$INCLUDE "AbandonProbabilities.inc";
$INCLUDE "PeriodicCapFactors.inc";
$INCLUDE "CapFactors.inc";