Visualization

This page contains documentation for the visualization functionality.

density(pnl, column=None, probability=None)

Function for generating a kernel density estimate plot for a P&L / risk factor simulation.

Parameters:

• pnl (DataFrame) – P&L / risk factor simulation with shape (S, I).

• column (int) – Column number for the instrument / risk factor the plot should be generated for. Default: 0.

• probability (Union[ndarray, dict]) – Probability vector with shape (S,) or a dictionary with two keys each pointing to a np.ndarray with shape (S,). Set to np.ones(S) / S by default.

Return type:

Axes

Returns:

The matplotlib axes containing the plot.

Raises:

• TypeError – If column is not an integer.

• ValueError – If probability is not a np.ndarray with shape (S,) or a dictionary with two keys each refering to a np.ndarray with shape (S,).

• IndexError – If column is greater than the number of columns in pnl.

• ValueError – If probability vector(s) contain any non-positive elements or the sum of all elements is not 1.

joint_density(pnl, columns, probability=None, xlim=None, ylim=None)

Function for generating a joint kernel density estimate plot for a P&L / risk factor simulation.

Parameters:

• pnl (DataFrame) – P&L / risk factor simulation with shape (S, I).

• columns (list[int, int]) – Column number for the instrument / risk factors the plot should be generated for.

• probability (Union[ndarray, dict]) – Probability vector with shape (S,) or a dictionary with two keys each pointing to a np.ndarray with shape (S,). Set to np.ones(S) / S by default.

• xlim (list[float, float]) – Optional list containing the minimum and maximum value for the x-axis. Default: None.

• ylim (list[float, float]) – Optional list containing the minimum and maximum value for the y-axis. Default: None.

Return type:

JointGrid

Returns:

An object managing multiple subplots that correspond to joint and marginal axes for plotting a bivariate relationship or distribution.

Raises:

• TypeError – If columns is not a list of length two containing only integers.

• ValueError – If probability is not an np.ndarray with shape (S,) or a dictionary with two keys each refering to an np.ndarray with shape (S,).

• IndexError – If any column is greater than the number of columns in pnl.

• ValueError – If probability vector(s) contain any non-positive elements or the sum of all elements is not 1.