#define CURRS 3			    // Kinds of currency other than Francs
#define BRKPTS 24			    // 15-minute breakpoints

2lp_main()
{
double pr[BRKPTS][CURRS];
continuous Fp[BRKPTS+1],Fm[BRKPTS+1];
continuous Holdings[BRKPTS+1][CURRS]; 
continuous Buy[BRKPTS+1][CURRS],Sell[BRKPTS+1][CURRS];

	pr =		{ 2.50, 3.50, 5.50,			// Data from Table 2.2 
			2.495, 3.495, 5.50,
			2.495, 3.49, 5.50,
			2.50, 3.485, 5.50,
			2.50, 3.49, 5.50,
			2.495, 3.495, 5.505,
			2.495, 3.485, 5.505,
			2.50, 3.49, 5.50,
			2.50, 3.49, 5.50,
			2.495, 3.485, 5.50,
			2.495, 3.49, 5.50,
			2.50, 3.495, 5.50,
			2.50, 3.495, 5.50,
			2.505, 3.50, 5.505,
			2.505, 3.50, 5.505,
			2.50, 3.50, 5.50,
			2.50, 3.50, 5.50,
			2.495, 3.495, 5.498,
			2.495, 3.495, 5.498,
			2.50, 3.50, 5.50,
			2.50, 3.50, 5.50,
			2.505, 3.505, 5.501,
			2.50, 3.505, 5.50,
			2.50, 3.50, 5.50 };

	// Initial and final positions
	Fp[0] - Fm[0] == 10000000;
	and(int j=0;j<CURRS;j++)
		 Holdings[0][j] == 0;
	and(int j=0;j<CURRS;j++) 
		Holdings[BRKPTS][j] == 0;

	// Links
	and(int i=1;i<BRKPTS+1;i++){
	   and(int j=0;j<CURRS;j++) 
		Holdings[i][j] == 
				Holdings[i-1][j] + Buy[i][j] - Sell[i][j];
		Fp[i]- Fm[i] == Fp[i-1] - Fm[i-1] +
			sigma(int j=0;j<CURRS;j++)
			pr[i-1][j]*(.999*Sell[i][j] - 1.001*Buy[i][j]);
	}

	// Allow negative positions
	and(int i=1;i<BRKPTS+1;i++) 
		Fp[i] - Fm[i] >= -2500000;		// Absolute bound on debit
	(1.0/BRKPTS)*sigma(int i=0;i<BRKPTS;i++)Fm[i] <= .25*2500000;	// Bound on average debit

	// First output
	max: Fp[BRKPTS] - Fm[BRKPTS];
	printf("With debit, the optimal result was %.2f\n", Fp[BRKPTS] - Fm[BRKPTS]);

	// Eliminate debit 
	and(int i=0;i<BRKPTS+1;i++) 
		Fp[i] - Fm[i] >= 0.0;				// Reset bounds at 0.0

	// Second output
	max: Fp[BRKPTS] - Fm[BRKPTS];
	printf("Without debit, it was %.2f\n",Fp[BRKPTS] - Fm[BRKPTS]);
}
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