Gallery Casebook¶

This document summarizes the built-in gallery in a longer form than the summary table.

Uniform absolute spread¶

The reference experiment: exact robust bounds for |S2 - S1|.

Configuration¶

x_interval = (1.0, 3.0)
y_interval = (0.0, 4.0)
n = 20
payoff = abs_spread
strike = 0.000000

Exact Results¶

Lower	Upper	Width
0.608724	0.997500	0.388776

Smallest Regularization Level¶

eps	Expected payoff	Bias to upper
0.1	0.953833	-0.043667

Figures¶

Uniform absolute spread exact summary

Uniform absolute spread structural diagnostics

Files¶

Call on spread¶

A directional payoff that emphasizes upside spread scenarios.

Configuration¶

x_interval = (1.0, 3.0)
y_interval = (0.0, 4.0)
n = 16
payoff = call_on_spread
strike = 0.250000

Exact Results¶

Lower	Upper	Width
0.189376	0.384103	0.194727

Smallest Regularization Level¶

eps	Expected payoff	Bias to upper
0.1	0.346851	-0.037252

Figures¶

Call on spread exact summary

Call on spread structural diagnostics

Files¶

Put on spread¶

The directional sibling of the call, useful when downside spread moves matter more.

Configuration¶

x_interval = (1.0, 3.0)
y_interval = (0.0, 4.0)
n = 16
payoff = put_on_spread
strike = 0.250000

Exact Results¶

Lower	Upper	Width
0.439376	0.634103	0.194727

Smallest Regularization Level¶

eps	Expected payoff	Bias to upper
0.1	0.596851	-0.037252

Figures¶

Put on spread exact summary

Put on spread structural diagnostics

Files¶

Quadratic spread¶

A variance-sensitive payoff that rewards larger deviations quadratically.

Configuration¶

x_interval = (1.0, 3.0)
y_interval = (0.0, 4.0)
n = 18
payoff = squared_distance
strike = 0.000000

Exact Results¶

Lower	Upper	Width
0.996914	0.996914	0.000000

Smallest Regularization Level¶

eps	Expected payoff	Bias to upper
0.15	0.996914	+0.000000

Figures¶

Quadratic spread exact summary

Quadratic spread structural diagnostics

Files¶

Centered spread straddle¶

A symmetric payoff on a centered martingale system with wider second-step risk.

Configuration¶

x_interval = (-1.0, 1.0)
y_interval = (-2.0, 2.0)
n = 18
payoff = straddle_on_spread
strike = 0.500000

Exact Results¶

Lower	Upper	Width
0.673894	1.089403	0.415509

Smallest Regularization Level¶

eps	Expected payoff	Bias to upper
0.15	1.028888	-0.060516

Figures¶

Centered spread straddle exact summary

Centered spread straddle structural diagnostics

Files¶

Centered call on spread¶

A centered setup where upward spread moves still matter, but the geometry is more symmetric.

Configuration¶

x_interval = (-1.0, 1.0)
y_interval = (-2.0, 2.0)
n = 18
payoff = call_on_spread
strike = 0.500000

Exact Results¶

Lower	Upper	Width
0.086947	0.294702	0.207755

Smallest Regularization Level¶

eps	Expected payoff	Bias to upper
0.15	0.246243	-0.048459

Figures¶

Centered call on spread exact summary

Centered call on spread structural diagnostics

Files¶

Wide absolute spread¶

The reference absolute-spread experiment with a noticeably wider second marginal and a larger robust interval.

Configuration¶

x_interval = (0.0, 2.0)
y_interval = (-1.5, 3.5)
n = 18
payoff = abs_spread
strike = 0.000000

Exact Results¶

Lower	Upper	Width
0.875361	1.310082	0.434721

Smallest Regularization Level¶

eps	Expected payoff	Bias to upper
0.15	1.248650	-0.061432

Figures¶

Wide absolute spread exact summary

Wide absolute spread structural diagnostics

Files¶

Wide put on spread¶

A downside-oriented payoff on the wider-marginal system, useful for comparison against wide absolute spread.

Configuration¶

x_interval = (0.0, 2.0)
y_interval = (-1.5, 3.5)
n = 18
payoff = put_on_spread
strike = 0.500000

Exact Results¶

Lower	Upper	Width
0.713319	0.938204	0.224885

Smallest Regularization Level¶

eps	Expected payoff	Bias to upper
0.15	0.886793	-0.051411

Figures¶

Wide put on spread exact summary

Wide put on spread structural diagnostics

Files¶

Broad spread straddle¶

A straddle-style payoff on the original supports, highlighting symmetric sensitivity around a nonzero strike.

Configuration¶

x_interval = (1.0, 3.0)
y_interval = (0.0, 4.0)
n = 18
payoff = straddle_on_spread
strike = 0.250000

Exact Results¶

Lower	Upper	Width
0.621678	1.019361	0.397683

Smallest Regularization Level¶

eps	Expected payoff	Bias to upper
0.15	0.958709	-0.060651

Figures¶

Broad spread straddle exact summary

Broad spread straddle structural diagnostics