Hi Matt,
I agree that nobody needs to memorize N(.) beyond N(-2.33) and N(-1.645); although it's nice to know the other major quantiles; because, just as you suggest, as not all the calculators can find N(.), you will be given a means to retrieve N(Z) for a given Z.
But, the exam has tested the computation of distance to default (i.e., BSM d2 with riskfree rate replaced by asset drift), so to play it safe, I have always recommended understanding d2 and its computation (formula). Not really d1; despite its similarity, d1 has virtually null testability other than its concept as call option delta, so far that i can tell.
So, i'm just recommending understanding the formula of d2 ~= distance to default ~= a special case of a Z that is generated in BSM and Merton's use of BSM.
I do agree: don't worry about the calculation of N(d2) or N(Z).
I hope that makes sense? Thanks,
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