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A quick and dirty implementation of Excel NORMINV in F# (Esanchez)

A couple of weeks ago I posted an example implementation of Excel NORMINV
function in C#, in there I mentioned that what I actually needed was an F#
version, but I used C# as an stepping stone moving from the C++ version I
originally found. Well, here you have my attempt at implementing NORMINV in
F#:

let probit mu sigma p =

if p < 0. || p > 1. then failwith "The probability p must be greater
than 0 and lower than 1"

elif sigma < 0. then failwith "The standard deviation sigma must be
positive"

elif sigma = 0. then mu

else

let q = p - 0.5

let value =

if abs q <= 0.425 ...

Esanchez

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