Charts

stochPathSim.viz

Interactive Plotly charts. Every function returns a plotly.graph_objects.Figure.

portfolio_risk_chart

portfolio_risk_chart(risk, labels=None)

Interactive stacked comparison of signed component VaR and ES.

Parameters:

Name	Type	Description	Default
risk	PortfolioRisk	Output of stochPathSim.risk.normal_portfolio_risk.	required
labels	sequence of str	Labels for each asset; defaults to asset_0, asset_1, etc.	None

Returns:

Type	Description
Figure	Grouped bars per asset, retaining signed contributions.

correlation_heatmap

correlation_heatmap(result, on='increments', names=None, title=None)

Correlation between the states of a result.

on="increments" correlates step increments pooled over paths and time (the instantaneous correlation); on="terminal" correlates the terminal values.

density_evolution

density_evolution(result, name=None, kind='heatmap', n_bins=60, n_times=60, title=None)

How the cross-sectional distribution evolves over time.

kind is "heatmap" (time x value), "surface" (3-D density surface) or "animation" (a histogram per time step, played with a slider).

fan

fan(result, name=None, quantiles=(0.01, 0.05, 0.25, 0.75, 0.95, 0.99), title=None)

Fan chart: nested symmetric quantile bands around the median.

path_explorer

path_explorer(result, max_paths=50, title=None)

Explore every state of a result: a dropdown picks the state, a slider the number of paths.

terminal_distribution

terminal_distribution(result, name=None, t=None, bins=80, pdf=None, title=None)

Histogram of values at time t (default: the horizon), with an optional analytic density.

pdf is a callable evaluated on a grid of values and overlaid as a line.

curve_fit_check

curve_fit_check(result, curve, title=None)

Monte Carlo discount factors (with a 95% band) against the initial curve P(0, t).

result must contain a discount state, as every short-rate model does.

short_rate_fan

short_rate_fan(result, quantiles=(0.01, 0.05, 0.25, 0.75, 0.95, 0.99), title=None)

Fan chart of the simulated short rate.

backtest_dashboard

backtest_dashboard(pit, realised=None, bands=None, level=0.99, times=None, title=None)

Three-panel risk-factor backtest.

1. histogram of PIT values against the uniform density;
2. QQ plot of sorted PIT values against uniform quantiles;
3. exceedance timeline: realised values against the simulated bands ((lower, upper) arrays), or PIT values against 1 - level / level thresholds when no bands are given.

exposure_dashboard

exposure_dashboard(profile, title=None)

EE, ENE, PFE and Effective EE of an :class:~stochPathSim.risk.ExposureProfile, with EPE marked.

var_plot

var_plot(pnl, level=0.99, bins=80, title=None)

P&L histogram with historical VaR and Expected Shortfall marked (losses are positive).

set_theme

set_theme(style='light')

Use the light or dark stochPathSim theme for every figure the package creates.

Returns the name of the Plotly template now in use.

template

template()

Name of the Plotly template currently used by stochPathSim figures.

attribution

Plotly risk-contribution charts for normal portfolio VaR and ES.

portfolio_risk_chart

portfolio_risk_chart(risk, labels=None)

Interactive stacked comparison of signed component VaR and ES.

Parameters:

Name	Type	Description	Default
risk	PortfolioRisk	Output of stochPathSim.risk.normal_portfolio_risk.	required
labels	sequence of str	Labels for each asset; defaults to asset_0, asset_1, etc.	None

Returns:

Type	Description
Figure	Grouped bars per asset, retaining signed contributions.

paths

Interactive charts of simulated paths and their distributions.

paths

paths(result, name=None, n_paths=30, quantiles=(0.01, 0.99), show_mean=True, title=None)

Sample paths with the mean and a quantile band.

Traces: the quantile band (2 traces, if quantiles), one trace per sample path, and the mean.

fan

fan(result, name=None, quantiles=(0.01, 0.05, 0.25, 0.75, 0.95, 0.99), title=None)

Fan chart: nested symmetric quantile bands around the median.

path_explorer

path_explorer(result, max_paths=50, title=None)

Explore every state of a result: a dropdown picks the state, a slider the number of paths.

terminal_distribution

terminal_distribution(result, name=None, t=None, bins=80, pdf=None, title=None)

Histogram of values at time t (default: the horizon), with an optional analytic density.

pdf is a callable evaluated on a grid of values and overlaid as a line.

density_evolution

density_evolution(result, name=None, kind='heatmap', n_bins=60, n_times=60, title=None)

How the cross-sectional distribution evolves over time.

kind is "heatmap" (time x value), "surface" (3-D density surface) or "animation" (a histogram per time step, played with a slider).

correlation_heatmap

correlation_heatmap(result, on='increments', names=None, title=None)

Correlation between the states of a result.

on="increments" correlates step increments pooled over paths and time (the instantaneous correlation); on="terminal" correlates the terminal values.

rates

Interactive charts for interest-rate models.

curve_fit_check

curve_fit_check(result, curve, title=None)

Monte Carlo discount factors (with a 95% band) against the initial curve P(0, t).

result must contain a discount state, as every short-rate model does.

short_rate_fan

short_rate_fan(result, quantiles=(0.01, 0.05, 0.25, 0.75, 0.95, 0.99), title=None)

Fan chart of the simulated short rate.

risk

Interactive risk dashboards: exposure, backtests and VaR.

exposure_dashboard

exposure_dashboard(profile, title=None)

EE, ENE, PFE and Effective EE of an :class:~stochPathSim.risk.ExposureProfile, with EPE marked.

backtest_dashboard

backtest_dashboard(pit, realised=None, bands=None, level=0.99, times=None, title=None)

Three-panel risk-factor backtest.

1. histogram of PIT values against the uniform density;
2. QQ plot of sorted PIT values against uniform quantiles;
3. exceedance timeline: realised values against the simulated bands ((lower, upper) arrays), or PIT values against 1 - level / level thresholds when no bands are given.

var_plot

var_plot(pnl, level=0.99, bins=80, title=None)

P&L histogram with historical VaR and Expected Shortfall marked (losses are positive).

theme

The stochPathSim Plotly theme.

set_theme

set_theme(style='light')

Use the light or dark stochPathSim theme for every figure the package creates.

Returns the name of the Plotly template now in use.

template

template()

Name of the Plotly template currently used by stochPathSim figures.

rgba

rgba(hex_color, alpha)

#RRGGBB to an rgba(...) string.

new_figure

new_figure(title=None, xaxis=None, yaxis=None)

An empty figure with the stochPathSim theme applied.