currency_exchange_data.jl

# Exchange rate data.
tickers = ["USD", "EUR", "GBP", "CAD", "JPY", "CNY", "RUB", "MXN", "INR", "BRL"];
n = length(tickers);
F = zeros(n, n);

data = (
    [1.0, 0.87, 0.76, 1.31, 108.90, 6.72, 65.45, 19.11, 71.13, 3.69],
    # EUR
    [1.0, 0.88, 1.51, 125.15, 7.72, 75.23, 21.96, 81.85, 4.24],
    # GBP
    [1.0, 1.72, 142.94, 8.82, 85.90, 25.08, 93.50, 4.84],
    # CAD
    [1.0, 82.93, 5.11, 49.82, 14.54, 54.23, 2.81],
    # JPY
    [1.0, 0.062, 0.60, 0.18, 0.65, 0.034],
    # CNY
    [1.0, 9.74, 2.85, 10.61, 0.55],
    # RUB
    [1.0, 0.29, 1.09, 0.056],
    # MXN
    [1.0, 3.73, 0.19],
    # INR
    [1.0, 0.052],
    # BRL
    [1.0]);

for i = 1:n
    F[i, i:n] = data[i];
end
for j = 1:n
    for i =(j + 1):n
        F[i, j] = 1.035 / F[j, i];
    end
end

c_req = 1:(n);
c_req = 1e4*c_req/ sum(c_req);
c_init = c_req[end:-1:1];