Package Exports

gaussian-analytics

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Readme

gaussian-analytics

JavaScript library for analytical pricings of financial derivatives under (log)normal distribution assumptions.

Usage

Experiment in browser console

As gaussian-analytics.js is published as an ES6 module your have to apply the following trick to play with it in your browser's dev console. First open the dev console (in Firefox press F12) and execute

// dynamically import ES6 module and store it as global variable gauss
import('//unpkg.com/gaussian-analytics').then(m => window.gauss=m);

Afterwards, the global variable gauss will contain the module and you can run call exported functions on it, e.g.

gauss.pdf(0);
// 0.3989422804014327

This should work at least for Firefox and Chrome.

API Documentation

Functions

pdf(x) ⇒: Probability density function (pdf) for a standard normal distribution.
cdf(x) ⇒: Cumulative distribution function (cdf) for a standard normal distribution. Approximation by Zelen, Marvin and Severo, Norman C. (1964), formula 26.2.17.

pdf(x) ⇒

Probability density function (pdf) for a standard normal distribution.

Kind: global function
Returns: density of standard normal distribution

Param	Type	Description
x	`number`	value for which the density is to be calculated

cdf(x) ⇒

Cumulative distribution function (cdf) for a standard normal distribution. Approximation by Zelen, Marvin and Severo, Norman C. (1964), formula 26.2.17.

Kind: global function
Returns: cumulative distribution of standard normal distribution

Param	Type	Description
x	`number`	value for which the cumulative distribution is to be calculated

History

0.2.0 (2020-05-09)

cdf (cumulative distribution function) for a standard normal distribution
test case for relationship between cdf and pdf

0.1.3 (2020-05-09)

extract normalizing constant for improved performance
test pdf example values
set up eslint linting (also on Travis CI)

0.1.2 (2020-05-09)

integrate API doc in README
API doc in README can automatically be updated by running npm run update-docs
set up .npmignore

0.1.1 (2020-05-09)

add first tests
set up CI infrastructure with Travis CI for testing

0.1.0 (2020-05-09)

pdf (probability density function) for a standard normal distribution
First release on npm