Method: Quant::Mixins::FisherTransform#fisher_transform

Defined in:
lib/quant/mixins/fisher_transform.rb

#fisher_transform(value) ⇒ Object Also known as: fisher, ft

The absolute value passed must be < 1.0



35
36
37
38
39
40
41
42
 
# File 'lib/quant/mixins/fisher_transform.rb', line 35

def fisher_transform(value)
  raise ArgumentError, "value (#{value}) must be between -1.0 and 1.0" unless value.abs <= 1.0

  result = 0.5 * Math.log((1.0 + value) / (1.0 - value))
  result.nan? ? 0.0 : result
rescue Math::DomainError => e
  raise Math::DomainError, "#{e.message}: cannot take the Log of #{value}: #{(1 + value) / (1 - value)}"
end