black-scholes-model/lib/src/cdf.js

Complete plug and play Black-Scholes-Merton model for option pricing with features including implied volatility and Greeks.

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.cdf = void 0;
const mathjs_1 = require("mathjs");
const cdf = ({ x, mean, vol }) => {
    if (!x) {
        throw new Error('Random variable cannot be empty');
    }
    const u = mean || 0;
    const sig = vol || 1;
    if (sig === 0) {
        return x < u ? 0.0 : 1.0;
    }
    const denom = sig * Math.sqrt(2);
    const vc = x - u;
    const result = 0.5 * (1 + (0, mathjs_1.erf)(vc / denom));
    return result;
};
exports.cdf = cdf;
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