I am trying to solve two unknown variables with two equations (something similar to Black Scholes model). I constrain the value of T no less than one. However, when I run the code, the values given for T are close to zero for all observations. Anyone could tell me what is wrong with my code??? Much appreciated.
/*proc model data=HAVE noprint out=WANT;
eq.one = (1-PD) - (CDF('NORMAL', (-log(PD)-(s - (delta*delta)/2)*T)/(delta*sqrt(T)))
-PD*exp(s*T)* CDF('NORMAL', (-log(PD)-(s - (delta*delta)/2)*T)/(delta*sqrt(T))- delta*sqrt(T)));
eq.two = delta_E*(1-PD) - delta*CDF('NORMAL', (-log(PD)-(s - (delta*delta)/2)*T)/(delta*sqrt(T)));
bounds t>=1;
solve delta T /solveprint ;
id companyid date pd s delta_e;
run;*/
