BS模型中用到的CDF函数实现
找到两种常见的实现方式
实现一
#include <cmath>
double phi(double x)
{
// constants
double a1 = 0.254829592;
double a2 = -0.284496736;
double a3 = 1.421413741;
double a4 = -1.453152027;
double a5 = 1.061405429;
double p = 0.3275911;
// Save the sign of x
int sign = 1;
if (x < 0)
sign = -1;
x = fabs(x)/sqrt(2.0);
// A&S formula 7.1.26
double t = 1.0/(1.0 + p*x);
double y = 1.0 - (((((a5*t + a4)*t) + a3)*t + a2)*t + a1)*t*exp(-x*x);
return 0.5*(1.0 + sign*y);
}
实现二(精度更高)
#include <cmath>
double
phi(double x)
{
static const double RT2PI = sqrt(4.0*acos(0.0));
static const double SPLIT = 7.07106781186547;
static const double N0 = 220.206867912376;
static const double N1 = 221.213596169931;
static const double N2 = 112.079291497871;
static const double N3 = 33.912866078383;
static const double N4 = 6.37396220353165;
static const double N5 = 0.700383064443688;
static const double N6 = 3.52624965998911e-02;
static const double M0 = 440.413735824752;
static const double M1 = 793.826512519948;
static const double M2 = 637.333633378831;
static const double M3 = 296.564248779674;
static const double M4 = 86.7807322029461;
static const double M5 = 16.064177579207;
static const double M6 = 1.75566716318264;
static const double M7 = 8.83883476483184e-02;
const double z = fabs(x);
double c = 0.0;
if(z<=37.0)
{
const double e = exp(-z*z/2.0);
if(z<SPLIT)
{
const double n = (((((N6*z + N5)*z + N4)*z + N3)*z + N2)*z + N1)*z + N0;
const double d = ((((((M7*z + M6)*z + M5)*z + M4)*z + M3)*z + M2)*z + M1)*z + M0;
c = e*n/d;
}
else
{
const double f = z + 1.0/(z + 2.0/(z + 3.0/(z + 4.0/(z + 13.0/20.0))));
c = e/(RT2PI*f);
}
}
return x<=0.0 ? c : 1-c;
}