various things to try to improve TTFX (#138)

* remove Distributions to try to improve TTFX

* remove unused import

* fix referenced module to make JET happy

Project.toml

@@ -8,15 +8,14 @@ AccessibleOptimization = "d88a00a0-4a21-4fe4-a515-e2123c37b885"
 Accessors = "7d9f7c33-5ae7-4f3b-8dc6-eff91059b697"
 BSplineKit = "093aae92-e908-43d7-9660-e50ee39d5a0a"
 Dates = "ade2ca70-3891-5945-98fb-dc099432e06a"
-Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 FinanceCore = "b9b1ffdd-6612-4b69-8227-7663be06e089"
 IntervalSets = "8197267c-284f-5f27-9208-e0e47529a953"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
 Optimization = "7f7a1694-90dd-40f0-9382-eb1efda571ba"
 OptimizationMetaheuristics = "3aafef2f-86ae-4776-b337-85a36adf0b55"
-OptimizationOptimJL = "36348300-93cb-4f02-beb5-3c3902f8871e"
 PrecompileTools = "aea7be01-6a6a-4083-8856-8a6e6704d82a"
 Reexport = "189a3867-3050-52da-a836-e630ba90ab69"
+SpecialFunctions = "276daf66-3868-5448-9aa4-cd146d93841b"
 StaticArrays = "90137ffa-7385-5640-81b9-e52037218182"
 Transducers = "28d57a85-8fef-5791-bfe6-a80928e7c999"
 UnicodePlots = "b8865327-cd53-5732-bb35-84acbb429228"
@@ -25,30 +24,23 @@ UnicodePlots = "b8865327-cd53-5732-bb35-84acbb429228"
 MakieCore = "20f20a25-4f0e-4fdf-b5d1-57303727442b"
 
 [extensions]
-# name of extension to the left
-# extension dependencies required to load the extension to the right
-# use a list for multiple extension dependencies
 FinanceModelsMakieCoreExt = "MakieCore"
 
 [compat]
-julia = "1.9" #Bsplinekit 0.16 is 1.8 or above and AccessibleOptimization's deps is 1.9
-FinanceCore = "^2"
+AccessibleOptimization = "^0.1.1"
+Accessors = "^0.1"
 BSplineKit = "^0.16"
+FinanceCore = "^2"
 IntervalSets = "^0.7"
-Transducers = "^0.4"
 MakieCore = "0.6"
 Optimization = "^3.15"
 OptimizationMetaheuristics = "^0.1.2"
-OptimizationOptimJL = "^0.1.9"
-Distributions = "^0.25"
-AccessibleOptimization = "^0.1.1"
-Accessors = "^0.1"
 PrecompileTools = "^1.1"
 Reexport = "^1.2"
 StaticArrays = "^1.6"
+Transducers = "^0.4"
 UnicodePlots = "^3.6"
-
-
+julia = "1.9"
 
 [extras]
 ActuaryUtilities = "bdd23359-8b1c-4f88-b89b-d11982a786f4"

src/FinanceModels.jl

@@ -4,7 +4,6 @@ import Dates
 using Reexport
 @reexport using FinanceCore
 using FinanceCore: present_value, discount, accumulation
-using OptimizationOptimJL
 using OptimizationMetaheuristics
 using StaticArrays
 using IntervalSets
@@ -15,7 +14,7 @@ using Transducers
 import BSplineKit
 import UnicodePlots
 using Transducers: @next, complete, __foldl__, asfoldable
-import Distributions
+import SpecialFunctions
 
 
 

src/model/Yield.jl

@@ -6,7 +6,7 @@ import ..BSplineKit
 import UnicodePlots
 import ..Bond: coupon_times
 
-using FinanceCore: Continuous, Periodic, discount, accumulation, AbstractContract
+using ..FinanceCore: Continuous, Periodic, discount, accumulation, AbstractContract
 
 export discount, zero, forward, par, pv
 

src/utils.jl

@@ -1,4 +1,11 @@
-N(x) = Distributions.cdf(Distributions.Normal(), x)
+# all we need is cumulative normal, so avoid Distributions.jl dependency 
+# https://www.johndcook.com/blog/cpp_phi/
+
+function ϕ(x)
+    return 0.5 * SpecialFunctions.erfc(-x * √(0.5))
+end
+
+N(x) = ϕ(x)
 
 function d1(S, K, τ, r, σ, q)
     return (log(S / K) + (r - q + σ^2 / 2) * τ) / (σ * √(τ))

test/misc.jl

@@ -7,4 +7,27 @@
     rates = convert.(DecFP.Dec64, [0.01, 0.01, 0.03, 0.05, 0.07, 0.16, 0.35, 0.92, 1.40, 1.74, 2.31, 2.41] ./ 100)
     y = fit(Spline.Linear(), CMTYield.(rates, mats), Fit.Bootstrap())
     @test y isa FinanceModels.Yield.AbstractYieldModel
+end
+
+@testset "Normal CDF" begin
+    # https://www.johndcook.com/blog/cpp_phi/
+
+    x = [
+        -3,
+        -1,
+        0.0,
+        0.5,
+        2.1
+    ]
+    target = [
+        0.00134989803163,
+        0.158655253931,
+        0.5,
+        0.691462461274,
+        0.982135579437
+    ]
+    @testset "confirm accuracy" for i in 1:5
+        @test isapprox(FinanceModels.ϕ(x[i]), target[i], atol=1e-12)
+    end
+
 end