__doc__= """
Finds the optimal hedging of CDO book as a mixed integer program using PSG . 

Case study description found at:
http://uryasev.ams.stonybrook.edu/index.php/research/testproblems/financial_engineering/case-study-optimal-hedging-of-cdo-book-psg-and-milp-formulation/

Data and PSG problem statement:

http://uryasev.ams.stonybrook.edu/wp-content/uploads/2019/03/Data_problem_cdohedge_3_MIP.zip

To run this problem, download the data and problem statement from the above case study website. Extract to a directory and replace the
`data_directory` string with the location of the extracted problem statemnet and data files.

"""

import psgpython as psg
data_directory = '../cdohedge3_MIP/'  # Location of extracted problem data/statement
cdo_MIP = psg.psg_importfromtext(data_directory  + 'problem_cdohedge_1a_MIP.txt')
cdo_MIP['problem_statement'] = '\n'.join(cdo_MIP['problem_statement'] ) # convert problem statement from list to a single string
soln_cdo_MIP = psg.psg_verify(cdo_MIP) # verify problem is loaded correctly
soln_cdo_MIP = psg.psg_solver(cdo_MIP) # solve problem