Re: [R] Reversing the Equation to find value of variable

2014-01-06 Thread Katherine Gobin
elp@r-project.org > Subject: [R] Reversing the Equation to find value of variable > > Dear R forum > > I have following variables - > > EAD = 1 > LGD = 0.45 > PD = 0.47 > M = 3 > > # Equation 1 > > R = 0.12*(1-exp(-50*PD))/(1-exp(-50)) + 0.24*(1-(1-exp(-50

Re: [R] Reversing the Equation to find value of variable

2014-01-06 Thread Frede Aakmann Tøgersen
atherine Gobin > Sent: 6. januar 2014 12:42 > To: r-help@r-project.org > Subject: [R] Reversing the Equation to find value of variable > > Dear R forum > > I have following variables - > > EAD = 1 > LGD = 0.45 > PD = 0.47 > M = 3 > > # Equation 1

Re: [R] Reversing the Equation to find value of variable

2014-01-06 Thread Berend Hasselman
On 06-01-2014, at 12:41, Katherine Gobin wrote: > Dear R forum > > I have following variables - > > EAD = 1 > LGD = 0.45 > PD = 0.47 > M = 3 > > # Equation 1 > > R = 0.12*(1-exp(-50*PD))/(1-exp(-50)) + 0.24*(1-(1-exp(-50*PD))/(1-exp(-50))) > > b = (0.11852 - 0.05478 * log(PD))^2 > > K

[R] Reversing the Equation to find value of variable

2014-01-06 Thread Katherine Gobin
Dear R forum I have following variables - EAD = 1 LGD = 0.45 PD = 0.47 M = 3 # Equation 1 R = 0.12*(1-exp(-50*PD))/(1-exp(-50)) + 0.24*(1-(1-exp(-50*PD))/(1-exp(-50))) b = (0.11852 - 0.05478 * log(PD))^2 K = (LGD * pnorm((1 - R)^(-0.5) * qnorm(PD) + (R / (1 - R))^0.5 * qnorm(0.999)) - PD