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Internal Notes for Reviewers

  • Create graphs from test output using post_process function

@AnilSorathiya AnilSorathiya added enhancement New feature or request internal Not to be externalized in the release notes labels Dec 12, 2024
AnilSorathiya and others added 2 commits December 12, 2024 22:24
…ing' into anilsorathiya/sc-7726/create-graphs-in-the-capital-markets-model
@AnilSorathiya AnilSorathiya added internal Not to be externalized in the release notes and removed enhancement New feature or request internal Not to be externalized in the release notes labels Dec 13, 2024
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great stuff... let me merge mine first and then you should be able to merge main to sync up with those changes

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PR Summary

This pull request introduces several enhancements to the option pricing models in the quickstart_option_pricing_models.ipynb notebook. The key changes include:

  1. Outlier Detection: Added new sections for outlier detection using the Interquartile Range (IQR) method. This includes both bar plot and table representations for the Black-Scholes and Stochastic Volatility models.

  2. Improved Plotting: Replaced the previous plot_results function with a more robust process_results function that utilizes Plotly for creating interactive plots. This change enhances the visualization of test results by adding figures directly to the test results.

  3. Stress Testing Enhancements: Introduced a new function two_parameters_stress_surface_plot to create 3D surface plots for stress testing the sensitivity of model outputs to changes in parameters like rho and theta.

  4. Code Refactoring: Removed redundant plotting code and integrated the new plotting functions into the existing test framework, improving code maintainability and readability.

These changes aim to improve the data validation and visualization capabilities of the option pricing models, providing more insightful analysis and better user experience.

Test Suggestions

  • Verify that the new outlier detection plots and tables are generated correctly for both Black-Scholes and Stochastic Volatility models.
  • Test the interactive Plotly plots to ensure they display correctly and provide the expected interactivity.
  • Check the 3D surface plots for stress testing to ensure they accurately represent the sensitivity of model outputs to parameter changes.
  • Ensure that the refactored code does not break existing functionality and that all tests pass successfully.
  • Validate that the new plotting functions integrate seamlessly with the existing test framework.

@AnilSorathiya AnilSorathiya merged commit 93c833c into main Dec 16, 2024
5 checks passed
@johnwalz97 johnwalz97 deleted the anilsorathiya/sc-7726/create-graphs-in-the-capital-markets-model branch August 20, 2025 17:03
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2 participants