quantsupport 0.1.0

Rust library for fixed-income, derivative pricing and risk analytics.
Documentation 
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use crate::ad::adreal::{ADReal, FloatExt, IsReal};

/// Generic `norm_cdf` implementation - works for any type supporting the needed operations.
/// This is the single entry point used everywhere.
#[must_use]
pub fn norm_cdf<T: NormCDF>(x: T) -> T {
    x.norm_cdf()
}

/// Trait for types that can compute `norm_cdf` using Hart approximation.
pub trait NormCDF: IsReal + Clone {
    /// Computes the Hart approximation of the standard normal CDF.
    #[must_use]
    fn norm_cdf(self) -> Self;
}

/// Implementation for f64
impl NormCDF for f64 {
    fn norm_cdf(self) -> Self {
        let one = 1.0;
        let l = self.abs();
        let k = one / l.mul_add(0.231_641_9, one);
        let poly = (k * 1.330_274_429 - 1.821_255_978)
            .mul_add(k, 1.781_477_937)
            .mul_add(k, -0.356_563_782)
            .mul_add(k, 0.319_381_530)
            * k;
        let pdf = (-(l * l) * 0.5).exp() * 0.398_942_280_401_432_7;
        let w = one - pdf * poly;

        if self < 0.0 {
            one - w
        } else {
            w
        }
    }
}

/// Implementation for `ADReal`
impl NormCDF for ADReal {
    fn norm_cdf(self) -> Self {
        let one: Self = 1.0.into();
        let l = self.abs();
        let k: Self = (one / (one + l.clone() * 0.231_641_9)).into();
        let poly: Self =
            (((((k * 1.330_274_429 - 1.821_255_978) * k + 1.781_477_937) * k - 0.356_563_782) * k
                + 0.319_381_530)
                * k)
                .into();
        let pdf: Self = ((-(l.clone() * l) * 0.5).exp() * 0.398_942_280_401_432_7).into();
        let w: Self = (one - pdf * poly).into();

        if self.value() < 0.0 {
            (one - w).into()
        } else {
            w
        }
    }
}