examples: Magnuszewski 2025 table notebook + pre-arXiv submission changes in figures (+adding pandas as dependency for PyMPDATA-examples) (#563)

Co-authored-by: pawel <[email protected]>

Author: slayoo

docs/bibliography.json

@@ -193,5 +193,12 @@
     ],
     "label": "Capiński and Zastawniak 2012 (Cambridge University Press)",
     "title": "Numerical Methods in Finance with C++"
+  },
+  "https://doi.org/10.1111/j.1467-9965.1996.tb00111.x": {
+    "usages": [
+      "examples/PyMPDATA_examples/Magnuszewski_et_al_2025/barraquand_data.py"
+    ],
+    "label": "Barraquand & Pudet 1996 (Math. Financ. 6)",
+    "title": "Pricing of American path‐dependent contingent claims"
   }
 }

examples/PyMPDATA_examples/Magnuszewski_et_al_2025/asian_option.py

@@ -37,9 +37,10 @@ def put(x):
 
 
 class Simulation:
-    def __init__(self, settings, *, nx, ny, nt, options, variant="call"):
+    def __init__(self, settings, *, nx, ny, nt, options, variant="call", eps=1e-10):
         self.nx = nx
         self.nt = nt
+        self.eps = eps
         self.settings = settings
         self.ny = ny
         self.dt = settings.T / self.nt
@@ -59,7 +60,7 @@ def __init__(self, settings, *, nx, ny, nt, options, variant="call"):
             self.l2 > 2
         ), f"Lambda squared should be more than 2 for stability {self.l2}"
         self.payoff = settings.payoff(A=self.A, da=self.dy, variant=variant)
-        stepper = Stepper(options=options, n_dims=2)
+        stepper = Stepper(options=options, n_dims=2, n_threads=1)  # TODO #570
         x_dim_advector = np.full(
             (self.nx + 1, self.ny),
             courant_number_x,
@@ -96,8 +97,8 @@ def a_dim_advector(self):
     @property
     def boundary_conditions(self):
         return (
-            Extrapolated(OUTER),
-            Extrapolated(INNER),
+            Extrapolated(OUTER, eps=self.eps),
+            Extrapolated(INNER, eps=self.eps),
         )
 
     def step(self, nt=1):

examples/PyMPDATA_examples/Magnuszewski_et_al_2025/barraquand_data.py

@@ -0,0 +1,33 @@
+# table 6 from [Barraquand and Pudet 1994](https://doi.org/10.1111/j.1467-9965.1996.tb00111.x)
+headers = ["sigma", "T", "K", "call_price", "put_price"]
+
+# 0.1,0.25,95,6.132,0.013
+# 0.1,0.25,100,1.869,0.626
+# 0.1,0.25,105,0.151,3.785
+# 0.1,0.5,95,7.248,0.046
+# 0.1,0.5,100,3.1,0.655
+# 0.1,0.5,105,0.727,3.039
+# 0.1,1,95,9.313,0.084
+# 0.1,1,100,5.279,0.577
+# 0.1,1,105,2.313,2.137
+# 0.2,0.25,95,6.5,0.379
+# 0.2,0.25,100,2.96,1.716
+# 0.2,0.25,105,0.966,4.598
+# 0.4,0.25,95,8.151,2.025
+# 0.4,0.25,100,5.218,3.970
+# 0.4,0.25,105,3.106,6.735
+# 0.2,0.5,95,7.793,0.731
+# 0.2,1,95,10.336,1.099
+# 0.4,1,95,13.825,4.550
+# 0.4,0.5,95,10.425,3.215
+
+table = """
+0.2,0.5,100,4.548,2.102
+0.2,0.5,105,2.241,4.552
+0.2,1,100,7.079,2.369
+0.2,1,105,4.539,4.356
+0.4,0.5,100,7.650,5.197
+0.4,0.5,105,5.444,7.748
+0.4,1,100,11.213,6.465
+0.4,1,105,8.989,8.767
+"""

examples/PyMPDATA_examples/Magnuszewski_et_al_2025/common.py

@@ -0,0 +1,18 @@
+from PyMPDATA import Options
+
+OPTIONS = {
+    "UPWIND": Options(
+        n_iters=1,
+        non_zero_mu_coeff=True,
+    ),
+    "MPDATA (2 it.)": Options(
+        n_iters=2,
+        nonoscillatory=True,
+        non_zero_mu_coeff=True,
+    ),
+    "MPDATA (4 it.)": Options(
+        n_iters=4,
+        nonoscillatory=True,
+        non_zero_mu_coeff=True,
+    ),
+}