Cheers iwright218 but my problem involves a three asset portfolio so the equation contains an extra variance term and two extra covariance terms.......

<r>Receive fixed on a 30m 1yr vanilla swapPay fixed on a 10m 2yr vanilla swapPay fixed on a 10m 3yr vanilla swapPay fixed on a 10m 4yr vanilla swapAny ideas on this one? <URL url="http://www.wilmott.com/messageview.cfm?catid=8&threadid=70925"><LINK_TEXT text="http://www.wilmott.com/messageview.c...

<t>Hey,Any help with this problem would be immensely appreciated as I have an exam on this tomorrow.Basically I need to calculate the position to take in a particular instrument such that it will minimze the VaR of an existing 2 asset portfolio.I know all of the correlations and variances.I can do i...