[REVIEW]: PDSim: A Shiny App for Polynomial Diffusion Model Simulation and Estimation

[editorialbot]

Submitting author: @peilun-he (Peilun He)
Repository: https://github.com/peilun-he/polynomial-diffusion-model-simulation-and-estimation
Branch with paper.md (empty if default branch):
Version: v2.0
Editor: @samhforbes
Reviewers: @taqtiqa-mark, @bkrayfield
Archive: Pending

Status

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Reviewers and authors:

Please avoid lengthy details of difficulties in the review thread. Instead, please create a new issue in the target repository and link to those issues (especially acceptance-blockers) by leaving comments in the review thread below. (For completists: if the target issue tracker is also on GitHub, linking the review thread in the issue or vice versa will create corresponding breadcrumb trails in the link target.)

Reviewer instructions & questions

@taqtiqa-mark & @bkrayfield, your review will be checklist based. Each of you will have a separate checklist that you should update when carrying out your review.
First of all you need to run this command in a separate comment to create the checklist:

@editorialbot generate my checklist

The reviewer guidelines are available here: https://joss.readthedocs.io/en/latest/reviewer_guidelines.html. Any questions/concerns please let @samhforbes know.

✨ Please start on your review when you are able, and be sure to complete your review in the next six weeks, at the very latest ✨

Checklists

📝 Checklist for @bkrayfield

📝 Checklist for @taqtiqa-mark

[editorialbot]

Hello humans, I'm @editorialbot, a robot that can help you with some common editorial tasks.

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[editorialbot]

Software report:

github.com/AlDanial/cloc v 1.88  T=0.01 s (2021.2 files/s, 163357.3 lines/s)
-------------------------------------------------------------------------------
Language                     files          blank        comment           code
-------------------------------------------------------------------------------
R                               22            148            218           1135
Markdown                         3            100              0            485
TeX                              1              7              0             65
YAML                             1              1              4             18
Rmd                              1             29             47              6
-------------------------------------------------------------------------------
SUM:                            28            285            269           1709
-------------------------------------------------------------------------------


gitinspector failed to run statistical information for the repository

[editorialbot]

Wordcount for paper.md is 1949

[editorialbot]

Reference check summary (note 'MISSING' DOIs are suggestions that need verification):

OK DOIs

- None

MISSING DOIs

- 10.1287/mnsc.46.7.893.12034 may be a valid DOI for title: Short-Term Variations and Long-Term Dynamics in Commodity Prices
- 10.2139/ssrn.2479826 may be a valid DOI for title: Polynomial Diffusions and Applications in Finance
- 10.1137/19m1283264 may be a valid DOI for title: A multifactor polynomial framework for long-term electricity forwards with delivery period
- 10.1109/jproc.2003.823141 may be a valid DOI for title: Unscented filtering and nonlinear estimation

INVALID DOIs

- None

[editorialbot]

👉📄 Download article proof 📄 View article proof on GitHub 📄 👈

[samhforbes]

Hi @taqtiqa-mark, @bkrayfield this is our review thread. Please check the instructions in the initial post about how to generate your checklist, and proceed with the review.
Typically I would encourage you to raise any issues on the software repository directly, and simply link back to here, but if there are any wider points that need discussion you are welcome to do that here.

[bkrayfield]

Review checklist for @bkrayfield

Conflict of interest

• I confirm that I have read the JOSS conflict of interest (COI) policy and that: I have no COIs with reviewing this work or that any perceived COIs have been waived by JOSS for the purpose of this review.

Code of Conduct

• I confirm that I read and will adhere to the JOSS code of conduct.

General checks

• Repository: Is the source code for this software available at the https://github.com/peilun-he/polynomial-diffusion-model-simulation-and-estimation?
• License: Does the repository contain a plain-text LICENSE file with the contents of an OSI approved software license?
• Contribution and authorship: Has the submitting author (@peilun-he) made major contributions to the software? Does the full list of paper authors seem appropriate and complete?
• Substantial scholarly effort: Does this submission meet the scope eligibility described in the JOSS guidelines
• Data sharing: If the paper contains original data, data are accessible to the reviewers. If the paper contains no original data, please check this item.
• Reproducibility: If the paper contains original results, results are entirely reproducible by reviewers. If the paper contains no original results, please check this item.
• Human and animal research: If the paper contains original data research on humans subjects or animals, does it comply with JOSS's human participants research policy and/or animal research policy? If the paper contains no such data, please check this item.

Functionality

• Installation: Does installation proceed as outlined in the documentation?
• Functionality: Have the functional claims of the software been confirmed?
• Performance: If there are any performance claims of the software, have they been confirmed? (If there are no claims, please check off this item.)

Documentation

• A statement of need: Do the authors clearly state what problems the software is designed to solve and who the target audience is?
• Installation instructions: Is there a clearly-stated list of dependencies? Ideally these should be handled with an automated package management solution.
• Example usage: Do the authors include examples of how to use the software (ideally to solve real-world analysis problems).
• Functionality documentation: Is the core functionality of the software documented to a satisfactory level (e.g., API method documentation)?
• Automated tests: Are there automated tests or manual steps described so that the functionality of the software can be verified?
• Community guidelines: Are there clear guidelines for third parties wishing to 1) Contribute to the software 2) Report issues or problems with the software 3) Seek support

Software paper

• Summary: Has a clear description of the high-level functionality and purpose of the software for a diverse, non-specialist audience been provided?
• A statement of need: Does the paper have a section titled 'Statement of need' that clearly states what problems the software is designed to solve, who the target audience is, and its relation to other work?
• State of the field: Do the authors describe how this software compares to other commonly-used packages?
• Quality of writing: Is the paper well written (i.e., it does not require editing for structure, language, or writing quality)?
• References: Is the list of references complete, and is everything cited appropriately that should be cited (e.g., papers, datasets, software)? Do references in the text use the proper citation syntax?

[bkrayfield]

Hello @samhforbes, I completed at least one round of review on the repository. I opened any concerns I had with the software repository directly. It has only been a week since those issues were raised. How long should I wait to see if they are addressed before completing my review?

[bkrayfield]

I have four outstanding issues before I would feel comfortable checking all of the boxes.

peilun-he/PDSim/issues/4
peilun-he/PDSim/issues/5
peilun-he/PDSim/issues/6
peilun-he/PDSim/issues/7

[peilun-he]

Hi @bkrayfield, thank you very much for your comments. I will discuss all these issues with co-authors and get back to you as soon as possible.

[samhforbes]

Hi @peilun-he we look forward to your responses, and thanks for your work reviewing this @bkrayfield
We also look forward to your review @taqtiqa-mark - please let me know if I can help with anything.

[peilun-he]

Hi @bkrayfield Thanks you very much for your feedback to our package. I have made some updates based on it and commented on each issue. Please let me know if you have further concerns.

[samhforbes]

Hi @bkrayfield how do you feel about the revisions made in answer to your comments?

[bkrayfield]

Hello @samhforbes, I have resolved most of the issues. I am still looking over the tests related to issue . I am also waiting on @taqtiqa-mark for issue #4 .

[samhforbes]

Great, thank you both. @taqtiqa-mark I can see you have been active in issues, but please also make sure to complete the checklist here so I can confirm you have signed off when you're done!

[taqtiqa-mark]

Apologies, RL and paid work have intervened. I hope to complete this over the weekend.

[samhforbes]

Just a reminder to see if we can help with anything @taqtiqa-mark @bkrayfield

[bkrayfield]

@samhforbes I am done, and good. I still have an issue open peilun-he/PDSim#4, but I am ready to close if @taqtiqa-mark is good with it.

[samhforbes]

This is all looking really good. @taqtiqa-mark would you mind finishing off your checklist please if you are happy with everything?

[taqtiqa-mark]

Review checklist for @taqtiqa-mark

Conflict of interest

• I confirm that I have read the JOSS conflict of interest (COI) policy and that: I have no COIs with reviewing this work or that any perceived COIs have been waived by JOSS for the purpose of this review.

Code of Conduct

• I confirm that I read and will adhere to the JOSS code of conduct.

General checks

• Repository: Is the source code for this software available at the https://github.com/peilun-he/polynomial-diffusion-model-simulation-and-estimation?
• License: Does the repository contain a plain-text LICENSE or COPYING file with the contents of an OSI approved software license?
• Contribution and authorship: Has the submitting author (@peilun-he) made major contributions to the software? Does the full list of paper authors seem appropriate and complete?
• Substantial scholarly effort: Does this submission meet the scope eligibility described in the JOSS guidelines
• Data sharing: If the paper contains original data, data are accessible to the reviewers. If the paper contains no original data, please check this item.
• Reproducibility: If the paper contains original results, results are entirely reproducible by reviewers. If the paper contains no original results, please check this item.
• Human and animal research: If the paper contains original data research on humans subjects or animals, does it comply with JOSS's human participants research policy and/or animal research policy? If the paper contains no such data, please check this item.

Functionality

• Installation: Does installation proceed as outlined in the documentation?
• Functionality: Have the functional claims of the software been confirmed?
• Performance: If there are any performance claims of the software, have they been confirmed? (If there are no claims, please check off this item.)

Documentation

• A statement of need: Do the authors clearly state what problems the software is designed to solve and who the target audience is?
• Installation instructions: Is there a clearly-stated list of dependencies? Ideally these should be handled with an automated package management solution.
• Example usage: Do the authors include examples of how to use the software (ideally to solve real-world analysis problems).
• Functionality documentation: Is the core functionality of the software documented to a satisfactory level (e.g., API method documentation)?
• Automated tests: Are there automated tests or manual steps described so that the functionality of the software can be verified?
• Community guidelines: Are there clear guidelines for third parties wishing to 1) Contribute to the software 2) Report issues or problems with the software 3) Seek support

Software paper

• Summary: Has a clear description of the high-level functionality and purpose of the software for a diverse, non-specialist audience been provided?
• A statement of need: Does the paper have a section titled 'Statement of need' that clearly states what problems the software is designed to solve, who the target audience is, and its relation to other work?
• State of the field: Do the authors describe how this software compares to other commonly-used packages?
• Quality of writing: Is the paper well written (i.e., it does not require editing for structure, language, or writing quality)?
• References: Is the list of references complete, and is everything cited appropriately that should be cited (e.g., papers, datasets, software)? Do references in the text use the proper citation syntax?

[taqtiqa-mark]

Currently blocking issues for me are:

• Conceptual errors peilun-he/PDSim#11
• No-arbitrage specification: Schwartz-Smith peilun-he/PDSim#12
• README.md: Polynomial diffusion model peilun-he/PDSim#13
• Tests peilun-he/PDSim#14
• README.md: References peilun-he/PDSim#15

Of these only issue 14 may require non-trivial effort to resolve. The rest I expect can be resolved without much effort.

[peilun-he]

@taqtiqa-mark I have solved some of these issues. I will discuss all others with co-authors and get back to you as soon as possible. Thank you for your comments and wish you have a happy new year!

[samhforbes]

Hi @peilun-he how is this progressing?

[peilun-he]

@samhforbes Only a few issues are left. I'm still working on them and I expected they can be solved by the end of this week.

[samhforbes]

Hi @peilun-he I hope you had a nice break. I'm just checking in to see how is this progressing?

[peilun-he]

Hi @samhforbes Hope you had a good holiday too. We have 5 issues left now. I'm working on a new version which should be able to solve all of them. This version will be done this week.

[samhforbes]

Hi @peilun-he I just want to check in here - am I right in thinking from the issues raised that we should expect an update about unit testing and docker containers or alternative around the end of April?

[taqtiqa-mark]

@samhforbes , from my PoV I'd expect all issues to be addressed. I'm particularly concerned about the inability or reluctance to reproduce some figures from one of the original papers - of course it is possible the original paper is incorrect. However, I have directed the authors to one existing replication of one of the figures at issue, so I am doubtful that will be the case. Hopefully we find out.

[taqtiqa-mark]

Blocking issues are:

• Needs better usage documentation peilun-he/PDSim#4
• Container based install instructions peilun-he/PDSim#10
• Tests peilun-he/PDSim#14
• Simulated vs estimated contract plot peilun-he/PDSim#21
• Nuisance parameters peilun-he/PDSim#23

[peilun-he]

Hi @samhforbes , yes we are working on a new version about unit testing, docker installation, and the two requried figures. Also we will be making some changes to the UI to incorporate the unit testing, which will take some time. All these should be done by the end of April and hopefully this version will solve all issues. Sorry for the delay.

[samhforbes]

Noted, thank you both!

[peilun-he]

Dear @taqtiqa-mark, we will have a completed version of all requestd items by May 10th - just to let you know it is progressing.