Description
Category : GAMS FIN library
Mainfile : ReadData.gms includes : BondIndexData.xlsx BroadIndexData.xlsx
parameters
usd(*,*),dem(*,*),chf(*,*),
USDPrices1(*,*),DEMPrices1(*,*),CHFPrices1(*,*),
USDPrices0(*),DEMPrices0(*),CHFPrices0(*),
ExchangeRates0(*),ExchangeRates1(*,*),
IndexReturns(*);
$onEmbeddedCode Connect:
- ExcelReader:
file: BondIndexData.xlsx
symbols:
- { name: USD, rowDimension: 1, columnDimension: 1, range: USD!A7 }
- { name: DEM, rowDimension: 1, columnDimension: 1, range: DEM!A7 }
- { name: CHF, rowDimension: 1, columnDimension: 1, range: CHF!A7 }
- { name: USDPrices1, rowDimension: 1, columnDimension: 1, range: USDPrices1!A1 }
- { name: DEMPrices1, rowDimension: 1, columnDimension: 1, range: DEMPrices1!A1 }
- { name: CHFPrices1, rowDimension: 1, columnDimension: 1, range: CHFPrices1!A1 }
- { name: USDPrices0, rowDimension: 1, columnDimension: 0, range: USDPrices0!A1 }
- { name: DEMPrices0, rowDimension: 1, columnDimension: 0, range: DEMPrices0!A1 }
- { name: CHFPrices0, rowDimension: 1, columnDimension: 0, range: CHFPrices0!A1 }
- { name: ExchangeRates0, rowDimension: 1, columnDimension: 0, range: ExchangeRates0!A1 }
- { name: ExchangeRates1, rowDimension: 1, columnDimension: 1, range: ExchangeRates1!A1 }
- { name: IndexReturns, rowDimension: 1, columnDimension: 0, range: IndexReturns!A1 }
- GAMSWriter:
symbols: all
$offEmbeddedCode
alias(*,i,j);
set EE currencies / USD,DEM,CHF /
BB bonds for structural model
BB2 bonds for co-movements model
CC columns for structural model
SS set of scenarios for co-movements model
BxE(*,EE)
BxE2(*,EE);
parameter data(*,*),data2(*,*),data3(*);
data(i,j) = usd(i,j) + dem(i,j) + chf(i,j);
data2(i,j) = USDPrices1(i,j)+ DEMPrices1(i,j) + CHFPrices1(i,j);
data3(i) = USDPrices0(i)+ DEMPrices0(i) + CHFPrices0(i);
BB(i) = SUM(j$data(i,j), YES);
BB2(j) = SUM(i$data2(i,j), YES);
SS(i) = SUM(j$data2(i,j), YES);
CC(j) = SUM(i$data(i,j), YES);
BxE2(j,'USD') = SUM(i$USDPrices1(i,j), YES);
BxE2(j,'DEM') = SUM(i$DEMPrices1(i,j), YES);
BxE2(j,'CHF') = SUM(i$CHFPrices1(i,j), YES);
BxE(i,'USD') = SUM(j$usd(i,j), YES);
BxE(i,'DEM') = SUM(j$dem(i,j), YES);
BxE(i,'CHF') = SUM(j$chf(i,j), YES);
PARAMETERS
AssetReturns(*,*,*), ExchangeRateReturns(*,*);
$onEmbeddedCode Connect:
- ExcelReader:
file: BroadIndexData.xlsx
symbols:
- { name: AssetReturns, rowDimension: 1, columnDimension: 2, range: "Asset Returns!A1" }
- { name: ExchangeRateReturns, rowDimension: 1, columnDimension: 1, range: "Exchange Rate Returns!A1" }
- GAMSWriter:
symbols: all
$offEmbeddedCode
ALIAS(*,i,j,k);
SETS
EE2 Currencies
TT Time periods
AA Asset classes
AxE(*,*);
TT(i) = SUM((j,k)$AssetReturns(i,j,k), YES );
AA(j) = SUM((i,k)$AssetReturns(i,j,k), YES );
EE2(k) = SUM((i,j)$AssetReturns(i,j,k), YES );
AxE(j,'USD') = SUM(i$AssetReturns(i,j,'USD'), YES );
AxE(j,'EUR') = SUM(i$AssetReturns(i,j,'EUR'), YES );
AxE(j,'GBP') = SUM(i$AssetReturns(i,j,'GBP'), YES );
AxE(j,'JPY') = SUM(i$AssetReturns(i,j,'JPY'), YES );
DISPLAY TT,EE2,AA,AxE,ExchangeRateReturns;
EXECUTE_UNLOAD 'InputData';