Merge pull request #16 from primitivefinance/feat/beta-0

fix(nan-infinity): returns infinity rather than nan for pdf and ppf

README.md

@@ -1,5 +1,5 @@
-# primitive-v2-math
+# RMM-Math
 
-Math library for RMM-01
+Math library for RMM-01.
 
 Includes typescript functions for solidity approximations.

package.json

@@ -1,20 +1,21 @@
 {
-  "name": "@primitivefinance/v2-math",
+  "name": "@primitivefinance/rmm-math",
   "author": "Primitive",
   "homepage": "https://primitive.finance",
   "version": "1.2.0",
   "keywords": [
-    "primitive",
-    "v2",
+    "amm",
+    "rmm",
+    "black-scholes",
     "ethereum",
     "math",
-    "black-scholes"
+    "primitive"
   ],
   "license": "GPL-3.0-or-later",
   "main": "dist/index.js",
   "repository": {
     "type": "git",
-    "url": "https://github.com/primitivefinance/primitive-v2-math.git"
+    "url": "https://github.com/primitivefinance/rmm-math.git"
   },
   "files": [
     "dist",
@@ -30,9 +31,7 @@
     "build": "tsdx build",
     "test": "tsdx test",
     "lint": "tsdx lint",
-    "prepare": "tsdx build",
-    "size": "size-limit",
-    "analyze": "size-limit --why"
+    "prepare": "tsdx build"
   },
   "husky": {
     "hooks": {
@@ -45,21 +44,9 @@
     "singleQuote": true,
     "trailingComma": "es5"
   },
-  "size-limit": [
-    {
-      "path": "dist/src.cjs.production.min.js",
-      "limit": "20 KB"
-    },
-    {
-      "path": "dist/src.esm.js",
-      "limit": "20 KB"
-    }
-  ],
   "peerDependencies": {},
   "devDependencies": {
-    "@size-limit/preset-small-lib": "^5.0.1",
     "husky": "^7.0.1",
-    "size-limit": "^5.0.1",
     "tsdx": "^0.14.1",
     "tslib": "^2.3.0",
     "typescript": "^4.3.5"

src/CumulativeNormalDistribution.ts

@@ -24,6 +24,8 @@ export function std_n_pdf(x) {
  * @returns CDF^-1 of x
  */
 export function inverse_std_n_cdf(x) {
+  if (x >= 1) return Infinity
+  if (x <= 0) return -Infinity
   return gaussian(0, 1).ppf(x)
 }
 
@@ -32,7 +34,6 @@ export function inverse_std_n_cdf(x) {
  * @returns CDF(CDF(x)^-1)^-1
  */
 export function quantilePrime(x) {
-  if (x > 1 || x < 0) return NaN
   return gaussian(0, 1).pdf(inverse_std_n_cdf(x)) ** -1
 }
 
@@ -89,7 +90,7 @@ export const LOW_TAIL = 0.025
  * @returns standard normal invervse cumulative distribution (quantile) function of x
  */
 export function getInverseCDFSolidity(p) {
-  if (p >= 1 || p <= 0) return NaN
+  if (p >= 1 || p <= 0) return Infinity
   if (p <= HIGH_TAIL && p >= LOW_TAIL) {
     return centralInverseCDFSolidity(p)
   } else if (p < LOW_TAIL) {
@@ -126,9 +127,6 @@ export function centralInverseCDFSolidity(p) {
  */
 export function tailInverseCDFSolidity(p) {
   const r = Math.sqrt(Math.log(1 / Math.pow(p, 2)))
-  /* const c0 = 16.896201479841517652
-  const c1 = -2.793522347562718412
-  const c2 = -8.731478129786263127 */
   const c3 = -1.000182518730158122
   const c0_D = 16.682320830719986527
   const c1_D = 4.120411523939115059

test/cumulativeNormalDistribution.test.ts

@@ -9,29 +9,40 @@ describe('Stats Math Library', () => {
 
   describe('standard normal probability density function', () => {
     it('moneyness', () => {
-      expect(2).toEqual(2)
+      const x = 0.5
+      expect(math.std_n_pdf(x)).toEqual(0.3520653267642995)
     })
   })
 
   describe('inverse standard normal cdf (quantile)', () => {
-    /* it('return nan for out of bounds value: x > 1', () => {
-      const x = 1.5
-      expect(math.inverse_std_n_cdf(x)).toEqual(NaN)
-    }) */
+    it('return infinity for out of bounds value: x >= 1', () => {
+      const x = 1
+      expect(math.inverse_std_n_cdf(x)).toEqual(Infinity)
+    })
+
+    it('return -infinity for out of bounds value: x <= 0', () => {
+      const x = 0
+      expect(math.inverse_std_n_cdf(x)).toEqual(-Infinity)
+    })
   })
 
   describe('quantilePrime', () => {
-    it('return nan for out of bounds value: x > 1', () => {
-      const x = 1.5
-      expect(math.quantilePrime(x)).toEqual(NaN)
+    it('return infinity for out of bounds value: x >= 1', () => {
+      const x = 1
+      expect(math.quantilePrime(x)).toEqual(Infinity)
+    })
+
+    it('return infinity for out of bounds value: x <= 0', () => {
+      const x = 0
+      expect(math.quantilePrime(x)).toEqual(Infinity)
     })
 
     it('return a number for in bounds number', () => {
-      const x = 1
+      const x = 0.5
       expect(math.quantilePrime(x) > 0).toEqual(!NaN)
     })
     it('return a number for in bounds number', () => {
-      const x = 0
+      const x = 0.5
       expect(math.quantilePrime(x) > 0).toEqual(!NaN)
     })
   })