Silde bài giảng môn kinh tế vĩ mô ( Tiếng anh chất lượng cao )
Problems of financing short-term cash commitments. Linear programming can help in figuring out an optimal combination of financial instruments to meet those commitments.For example: a company has a problem. The company has the sources of fund: A line of credit of up to $100k at an interest rate of 1% per month. In any one of the first three months, it can issue 90-day commercial paper bearing a total interest rate of 2% for the three-month period. Tài liệu giúp bạn tham khảo, ôn tập và đạt kết quả cao. Mời bạn đọc đón xem !
Môn: Kinh tế vĩ mô ( UEH)
Trường: Đại học Kinh tế Thành phố Hồ Chí Minh
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lOMoAR cPSD| 46578282 7/29/2020 CHAPTER 10: PARTIAL DIFFERENTIATION
PREPARED BY: FINANCE DEPARTMENT COURSE CODE: B03013 7/29/2020
B03013 – Chapter 10: Asset/Liability Cash 1 flow matching LEARNING OBJECTIVES
Understanding short term financing problems
Applying the linear for the cash short
term financing and cash flow matching. 1 lOMoAR cPSD| 46578282 7/29/2020 CONTENT
• Short term financing 1
• Dedication/ cash flow matching 2 • Sensitive analysis for linear 3 programming 7/29/2020
B03013 – Chapter 10: Asset/Liability Cash flow 3 matching SHORT TERM FINANCING • Problems of financing short-term cash commitments.
• Linear programming can help in figuring out an
optimal combination of financial instruments to meet those commitments.
• For example: a company has a problem 7/29/2020
B03013 – Chapter 10: Asset/Liability Cash flow 4 matching SHORT TERM FINANCING
• The company has the sources of fund: 2 lOMoAR cPSD| 46578282 7/29/2020
+ A line of credit of up to $100k at an interest rate of 1% per month.
+ In any one of the first three months, it can
issue 90-day commercial paper bearing a total
interest rate of 2% for the three-month period. 3 lOMoAR cPSD| 46578282 7/29/2020
+ Excess funds can be invested at an interest rate of 0.3% per month. 7/29/2020
B03013 – Chapter 10: Asset/Liability Cash flow 5 matching SHORT TERM FINANCING • There are many questions:
• What interest payments will be the company
need to make between Jan and June?
• Is it economical to use the line of credit in some
of the months? If so, when? How much?
=> They will be answered by the linear programming. SHORT TERM FINANCING
• There are three steps in applying linear programming: modeling, solving and interpreting. 7/29/2020
B03013 – Chapter 10: Asset/Liability Cash flow 6 matching 4 lOMoAR cPSD| 46578282 7/29/2020
1. Modeling: need to focus on decision variables,
objective and constraints. For the short-term
financing problems, there are several possible
choices: the amount xi drawn from the line of
credit in month i; the amount yi of commercial
paper issued in month i, the excess funds zi in
month i and the company’s wealth v in June. 7/29/2020
B03013 – Chapter 10: Asset/Liability Cash 7 flow matching SHORT TERM FINANCING
• Objective: minimized or maximized => it has to
be linear in the decision variables, it implies
that sum of constant times decision variables.
• Constraints: linear program has constraints
limiting feasible decisions. We have 3 constraints:
(i): cash inflow= cash outflow for each month.
(ii): upper bound on xi.
(iii): Nonnegativity of the decision variables xi, yi and zi. DEDICATION
• Dedication/cash-flow matching: a technique
used to fund known liabilities in the future. 7/29/2020
B03013 – Chapter 10: Asset/Liability Cash flow matching 8 5 lOMoAR cPSD| 46578282 7/29/2020
• Dedicated portfolios usually only consist of risk-
free non-callable bonds since the portfolio
future cash inflows need to be known when the portfolio is constructed. 7/29/2020
B03013 – Chapter 10: Asset/Liability Cash flow 9 matching Sensitive analysis
• All variables are constant except the one?
• What happens if data values are changed?
• We all know the data? Or guess it? Or accuracy? Summary
• Linear programming for decision-making. • Definition of dedication. • Accuracy of the data.
• The estimated results and sensitive analysis. 7/29/2020
B03013 – Chapter 10: Asset/Liability Cash flow 10 matching 6 lOMoAR cPSD| 46578282 7/29/2020 7/29/2020
B03013 – Chapter 10: Asset/Liability Cash flow 11 matching 7