Hello,
Is there a less verbose approach to obtaining the PC_i variables inside the
mutate?
library(tidyverse)
sim_data <- data.frame(borrower_id = sort(rep(1:10, 20)),
quarter = rep(1:20, 10),
pd = runif(length(rep(1:20, 10)))) # conditional probs
sim_data_wide <- tidyr::spread(sim_data, quarter, pd)
colnames(sim_data_wide)[-1] <- paste0("P_", colnames(sim_data_wide)[-1])
# Compute cumulative probs
sim_data_wide <- sim_data_wide %>%
mutate(PC_1 = P_1,
PC_2 = 1-(1-P_1)*(1-P_2),
PC_3 = 1-(1-P_1)*(1-P_2)*(1-P_3),
PC_4 = 1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4),
PC_5 = 1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5),
PC_6 =
1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6),
PC_7 =
1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7),
PC_8 =
1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7)*(1-P_8),
PC_9 =
1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7)*(1-P_8)*(1-P_9),
PC_10 =
1-(1-P_1)*(1-P_2)*(1-P_3)*(1-P_4)*(1-P_5)*(1-P_6)*(1-P_7)*(1-P_8)*(1-P_9)*(1-P_10)
)
Thanks,
Axel.
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