static double Phi(double x)
{
// constants
double a1 = 0.254829592;
double a2 = -0.284496736;
double a3 = 1.421413741;
double a4 = -1.453152027;
double a5 = 1.061405429;
double p = 0.3275911;
// Save the sign of x
int sign = 1;
if (x < 0)
sign = -1;
x = Math.Abs(x) / Math.Sqrt(2.0);
// A&S refers to Handbook of Mathematical Functions by Abramowitz and Stegun.
// See Stand-alone error function for details of the algorithm.
// http://www.johndcook.com/blog/2009/01/19/stand-alone-error-function-erf/
// A&S formula 7.1.26
double t = 1.0 / (1.0 + p * x);
double y = 1.0 - (((((a5 * t + a4) * t) + a3) * t + a2) * t + a1) * t * Math.Exp(-x * x);
return 0.5 * (1.0 + sign * y);
}
