OS: NT 4 SP 5
Version: Splus 2000
I have put togeter an indicator which attempts to forecast the instantanious
returns for 10 different interest rate forwards. I then wrote a portfolio
optimizer which miximizes expected returns under 3 linear constraints:
1) the portfolio is neutral with respect to parallel shifts in the yield curve
2) the portfolio is neutral with respect to changes in slope
3) the portfolio is neutral with repsect to changes in curvature
and one non linear constraint:
1) the sum of the absolute values of all positions must equal a constant
I would like to put together a 3 D graph which has position as a function of
date and time till expiration. (equivaltly the subscripts 1-10 because there
are 10 different instraments)
Does anybody have any suggestions?
I can send the dataset to anybody who is interested in playing around with it.
Thanks in Advance,
Clark Sims
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