new example: Asian option pricing using 2D PDE (Pawel Magnuszewski's MSc project draft, to be submitted to arXiv soon)

[pawelmagnu]

No description provided.

[pawelmagnu]

@slayoo can we merge?

[slayoo]

@slayoo can we merge?

@pawelmagnu, at minimum, I suggest we address the following here before merging:

• notebook: add at least minimal explanation (text narrative) of what is happening inside
• notebook: fix advector field plotting (currently left/bottom cell-wall advectors are plotted at cell centers)
• notebook: remove plotting logic from the run_numeric_and_mc simulation function
• notebook: CI-conditionally introduce lower-resolution simulation settings to speed CI execution (currently it takes 320s to run the notebook)
• tests: add a smoke test (e.g., checking for match against MC)
• docs: add an entry to example gallery
• MC: remove the os.environ["NUMBA_OPT"] = "3" setting (it is set in CI scripts, and no one expects such thing to happen on import)
• MC: add a reference from where the code originates
• asian_option.py: address instead of disabling pylint hints: too-few-public-methods, too-many-lines, global-statement, abstract-method
• asian_option.py: move the MPDATA settings to the notebook
• asian_option.py: remove default argument values and pass S_min/S_max from calling scope instead of hardcoding
• asian_option.py: if we want to commit the American and European MPDATA solution code, let's at least create a separate notebook that uses it (e.g., Fig 1 version with euro and amer MPDATA solution as a supplementary figure) - currently this code is never run on CI, hence no guarantee it is even runnable
• asian_option.py: since we are now always using Extrapolated bc, we can move it to the base class
• re-enable all CI checks temporarily disabled for CI speed-up

last but not least, let's make the code below (notebook) a two-liner!

history = [simulation.solver.advectee.get().copy()]
for i in range(nt//2):
    simulation.step()
history.append(simulation.solver.advectee.get().copy())
for i in range(nt//2):
    simulation.step()
history.append(simulation.solver.advectee.get().copy())

[pawelmagnu]

notebook: CI-conditionally introduce lower-resolution simulation settings to speed CI execution (currently it takes 320s to run the notebook)

It already is a lower-resolution version

tests: add a smoke test (e.g., checking for match against MC)

we do not aim for match with MC as this notebook is only a PoC, further tests will be in future notebooks and PRs

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 91.85%. Comparing base (4d99b5f) to head (df0071e).

Additional details and impacted files

@@           Coverage Diff           @@
##             main     #543   +/-   ##
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  Coverage   91.85%   91.85%           
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  Files          30       30           
  Lines        1485     1485           
=======================================
  Hits         1364     1364           
  Misses        121      121           

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