Function cnd

examples/financial/black_scholes_options.cpp:22–25

Use the relationship between the cumulative normal distribution and the (complementary) error function: https://en.wikipedia.org/wiki/Error_function#Cumulative_distribution_function

// (complementary) error function:
// https://en.wikipedia.org/wiki/Error_function#Cumulative_distribution_function
array cnd(array x) {
    const float sqrt05 = sqrt(0.5f);
    return 0.5f * erfc(-x * sqrt05);
}

static void black_scholes(array& C, array& P, const array& S, const array& X,
                          const array& R, const array& V, const array& T) {