fix(examples): shrink simulation grids (#385, #386) by joaquinbejar · Pull Request #392 · joaquinbejar/OptionStratLib

joaquinbejar · 2026-04-20T05:53:27Z

Summary

Example binaries that previously timed out in the runner used a minute-level grid (10 080 steps × 100 simulations, 43 200 for the chain walker) that was fine as a benchmark but blew past the 25 s debug-mode budget.

Drop to an hourly grid with a tenth of the simulation count — every code path (Simulate trait, random-walk-of-OptionChain, position simulator, Heston / custom / Brownian walk params) is still exercised end-to-end, just on a proportionate dataset.

Affected binaries:

`examples_simulation::long_call_strategy_simulation`
`examples_simulation::short_put_strategy_simulation`
`examples_simulation::position_simulator`
`examples_simulation::strategy_simulator`
`examples_simulation::random_walk_chain`

Also:

Cut `examples_volatility::test` brute-force scan from 1 000 000 to 10 000 iterations (demo, not local benchmark).
Apply cargo-fmt to `examples_chain::async_chain_ops` after its tempdir rewrite in examples: chain examples async_chain_ops and creator fail with file I/O error #388.

Closes #385 and #386 (fast-path for every failing / timing-out example caught by the runner).

Test plan

Every listed example binary runs in `debug` mode under ~5–10 s with exit code 0.
`cargo build --all-features` / `cargo clippy --all-targets --all-features -- -D warnings` / `cargo fmt --all --check` clean.
`cargo test --lib --all-features` — 3760 passed, 0 failed.

…de (#385, #386) The simulation-heavy demo binaries used a minute-level grid (10 080 steps × 100 simulations, 43 200 steps for the chain walker) that was fine as a benchmark but blew past the example-runner's 25 s debug-mode budget. Drop to an hourly grid with a tenth of the simulation count — the code paths (Simulate trait, random-walk-of-OptionChain, position simulator) are exercised end-to-end, just on a proportionate dataset. Affected binaries: - examples_simulation::long_call_strategy_simulation - examples_simulation::short_put_strategy_simulation - examples_simulation::position_simulator - examples_simulation::strategy_simulator - examples_simulation::random_walk_chain Also cut the `examples_volatility::test` brute-force scan from 1 000 000 to 10 000 iterations; the example is meant to demo the Black-Scholes error landscape, not to run a local benchmark. And apply cargo-fmt to `examples_chain::async_chain_ops` after its tempdir rewrite in #388. Closes #385 and #386 (fast-path for every failing/timing-out example caught by the runner).

Copilot

Pull request overview

Reduces runtime of several example binaries so they complete within CI’s debug-mode time budget, while still exercising the same end-to-end simulation/volatility code paths.

Changes:

Shrink simulation grids in examples_simulation (minute → hour resolution, fewer sims/steps).
Reduce brute-force iteration count in examples_volatility::test (1,000,000 → 10,000).
Apply cargo fmt-style formatting to examples_chain::async_chain_ops.

Reviewed changes

Copilot reviewed 7 out of 7 changed files in this pull request and generated 5 comments.

Show a summary per file

File	Description
examples/examples_volatility/src/bin/test.rs	Lowers demo loop iterations to avoid timeouts.
examples/examples_simulation/src/bin/strategy_simulator.rs	Uses hourly grid and smaller simulator size for faster runs.
examples/examples_simulation/src/bin/short_put_strategy_simulation.rs	Reduces simulation count/steps and switches to hourly grid.
examples/examples_simulation/src/bin/random_walk_chain.rs	Reduces walk length and switches to hourly grid.
examples/examples_simulation/src/bin/position_simulator.rs	Uses hourly grid and smaller simulator size for faster runs.
examples/examples_simulation/src/bin/long_call_strategy_simulation.rs	Reduces simulation count/steps and switches to hourly grid.
examples/examples_chain/src/bin/async_chain_ops.rs	Formatting-only changes to logging output.

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Copilot · 2026-04-20T05:58:09Z

    let days = pos_or_panic!(7.0);
-    let dt = convert_time_frame(Positive::ONE / days, &TimeFrame::Minute, &TimeFrame::Day);
-    let volatility_dt = volatility_for_dt(iv, dt, TimeFrame::Minute, TimeFrame::Day)?;
+    let dt = convert_time_frame(Positive::ONE / days, &TimeFrame::Hour, &TimeFrame::Day);


dt is being computed as Positive::ONE / days converted from hours to days, which makes the per-step time increment depend on the total horizon (for 7 days this yields 1/(7*24) day ≈ 8.6 minutes). Since Xstep advances by 1 hour and n_steps = 7*24, dt should represent a 1-hour step (e.g., convert 1 hour to days or years) so the stochastic process scale matches the grid/expiration.

Suggested change

let dt = convert_time_frame(Positive::ONE / days, &TimeFrame::Hour, &TimeFrame::Day);

let dt = convert_time_frame(Positive::ONE, &TimeFrame::Hour, &TimeFrame::Day);

Copilot · 2026-04-20T05:58:09Z

    let days = pos_or_panic!(7.0);
-    let dt = convert_time_frame(Positive::ONE / days, &TimeFrame::Minute, &TimeFrame::Day);
-    let volatility_dt = volatility_for_dt(iv, dt, TimeFrame::Minute, TimeFrame::Day)?;
+    let dt = convert_time_frame(Positive::ONE / days, &TimeFrame::Hour, &TimeFrame::Day);


dt is computed as (1/days) hours converted to days, which yields a step size smaller than 1 hour (e.g., for 7 days: 1/168 day). Because Xstep uses a 1-hour TimeFrame::Hour step and n_steps = 7*24, the random-walk dt should reflect a single 1-hour increment (convert 1 hour to the chosen base unit) to keep the diffusion scaling consistent with the grid.

Suggested change

let dt = convert_time_frame(Positive::ONE / days, &TimeFrame::Hour, &TimeFrame::Day);

let dt = convert_time_frame(Positive::ONE, &TimeFrame::Hour, &TimeFrame::Day);

Copilot · 2026-04-20T05:58:09Z

+    let dt = convert_time_frame(Positive::ONE / days, &TimeFrame::Hour, &TimeFrame::Day);

    // Adjust volatility for the specific dt in the random walk
-    let volatility_dt =
-        volatility_for_dt(implied_volatility, dt, TimeFrame::Minute, TimeFrame::Day)?;
+    let volatility_dt = volatility_for_dt(implied_volatility, dt, TimeFrame::Hour, TimeFrame::Day)?;



dt is derived from Positive::ONE / days in hours, which makes the per-step time increment depend on the total horizon (7 days -> 1/168 day). With Xstep advancing by 1 hour and n_steps = 7*24, dt should represent a single 1-hour step (convert 1 hour to the base unit) so the simulated volatility/drift scale matches the hourly grid.

Copilot · 2026-04-20T05:58:10Z

    // Create WalkParams for the Simulator
    let walker = Box::new(Walker);
-    let dt = convert_time_frame(Positive::ONE / days, &TimeFrame::Minute, &TimeFrame::Day);
+    let dt = convert_time_frame(Positive::ONE / days, &TimeFrame::Hour, &TimeFrame::Day);


dt is computed as (1/days) hours converted to days, which makes each step smaller than 1 hour (7 days -> 1/168 day). Since the walk grid is hourly (Xstep uses TimeFrame::Hour with step size 1 and n_steps = 7*24), dt should reflect a 1-hour increment (converted to the chosen base unit) so diffusion scaling matches the grid/expiration.

Suggested change

let dt = convert_time_frame(Positive::ONE / days, &TimeFrame::Hour, &TimeFrame::Day);

let dt = convert_time_frame(Positive::ONE, &TimeFrame::Hour, &TimeFrame::Day);

Copilot · 2026-04-20T05:58:10Z

        },
        walk_type: WalkType::GeometricBrownian {
-            dt: convert_time_frame(Positive::ONE / days, &TimeFrame::Minute, &TimeFrame::Day),
+            dt: convert_time_frame(Positive::ONE / days, &TimeFrame::Hour, &TimeFrame::Day),


dt is currently computed as (1/days) hours converted to days (for 2 days -> 1/48 day = 0.5 hour), but Xstep advances by 1 hour and n_steps = 2*24. dt should represent the per-step increment (1 hour converted to the base unit) so the random walk’s volatility scaling matches the stated 1-hour grid.

Suggested change

dt: convert_time_frame(Positive::ONE / days, &TimeFrame::Hour, &TimeFrame::Day),

dt: convert_time_frame(Positive::ONE, &TimeFrame::Hour, &TimeFrame::Day),

Bump version to `0.16.3` and document the example-runtime fixes that landed in #392. Tag + GitHub release + `make publish` follow immediately after merge.

codecov · 2026-04-20T06:02:34Z

Codecov Report

✅ All modified and coverable lines are covered by tests.
see 2 files with indirect coverage changes

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* release(0.16.3): bump + CHANGELOG for #385/#386 example-grid fixes Bump version to `0.16.3` and document the example-runtime fixes that landed in #392. Tag + GitHub release + `make publish` follow immediately after merge. * feat(logging): replace `println!` with `tracing::info!` in unified_pricing example - Added `setup_logger` to initialize logging. - Replaced all `println!` calls with `info!` for structured logging. * feat(logging): replace `println!` with `tracing::info!` in delta_neutral and async_chain_ops - Added `setup_logger` to initialize logging in `async_chain_ops`. - Replaced all `println!` calls with `info!` to ensure structured logging consistency. * feat(logging): replace `println!` with `tracing::{info, error}` in async_ohlcv example - Added `setup_logger` to initialize structured logging. - Replaced all `println!` calls with `info!` and `error!` where appropriate for logging consistency. * feat(logging): integrate `tracing` in cliquet_example for structured logging - Added `setup_logger` to enable structured logging. - Replaced `println!` and `eprintln!` calls with `tracing::{info, error}` for consistency. * feat(logging): replace `println!` with `tracing::info!` across examples and metrics - Updated code to use `tracing::info!` for structured logging consistency. - Replaced `println!` calls in `volatility_smile`, `implied_volatility`, `risk_reversal`, and other affected modules. - Ensures uniform logging practices across all examples and libraries.

joaquinbejar requested a review from Copilot April 20, 2026 05:54

Copilot started reviewing on behalf of joaquinbejar April 20, 2026 05:54 View session

joaquinbejar merged commit d9b0587 into main Apr 20, 2026
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joaquinbejar mentioned this pull request Apr 20, 2026

release(0.16.3): bump + CHANGELOG for #385/#386 #393

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fix(examples): shrink simulation grids (#385, #386)#392

fix(examples): shrink simulation grids (#385, #386)#392
joaquinbejar merged 1 commit into
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issue-385-386-example-fixes

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	let dt = convert_time_frame(Positive::ONE / days, &TimeFrame::Hour, &TimeFrame::Day);
	let dt = convert_time_frame(Positive::ONE, &TimeFrame::Hour, &TimeFrame::Day);

	dt: convert_time_frame(Positive::ONE / days, &TimeFrame::Hour, &TimeFrame::Day),
	dt: convert_time_frame(Positive::ONE, &TimeFrame::Hour, &TimeFrame::Day),

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joaquinbejar commented Apr 20, 2026

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