I am making use of the Normal Inverse Gaussian distribution in my work to model underlying interest rate implied volatility risk drivers. What is particularly nice about this distribution for my purpose is the fact it is much more parsimonious than other alternatives, and closed under convolution.
That being said, I have not been capable of finding a reasonably "verifiable" quantile function implementation. There does not appear to be one in Excel, in R we have the function
qnig from the package
fBasics that I am unsure about accuracy for, and in MatLab there is this package which mentions having issues with the inverse CDF due to numerical computation.
My question is whether there exists a reasonably accurate quantile function for my purposes. I am coding in C# and attempted to implement my own Normal Inverse Gaussian function, however comparing with R's
qnig I only consistently have around 5 digits of accuracy. I am not even sure if R's implementation is to be trusted as a baseline for many digits of accuracy, however.