[REVIEW]: greeks: Sensitivities of Prices of Financial Options and Implied Volatilities

[editorialbot]

Submitting author: @ahudde (Anselm Hudde)
Repository: https://github.com/ahudde/greeks
Branch with paper.md (empty if default branch):
Version: greeks_1.4.0
Editor: @csoneson
Reviewers: @lrnv, @bahung
Archive: 10.5281/zenodo.10806607

Status

Status badge code:

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Markdown: [![status](https://joss.theoj.org/papers/61ae139acab91fdb0664b33a23e43c93/status.svg)](https://joss.theoj.org/papers/61ae139acab91fdb0664b33a23e43c93)

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

@lrnv & @bahung, 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 @csoneson 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 @lrnv

📝 Checklist for @bahung

[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=0.04 s (1123.5 files/s, 122619.2 lines/s)
-------------------------------------------------------------------------------
Language                     files          blank        comment           code
-------------------------------------------------------------------------------
R                               20            523            440           2314
C++                             13             54            345            348
Markdown                         3             69              0            200
YAML                             4             20              9            107
TeX                              1              8              0             51
Rmd                              1             21             71              4
-------------------------------------------------------------------------------
SUM:                            42            695            865           3024
-------------------------------------------------------------------------------


gitinspector failed to run statistical information for the repository

[editorialbot]

Wordcount for paper.md is 483

[editorialbot]

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

OK DOIs

- 10.1007/s11009-023-10014-5 is OK

MISSING DOIs

- 10.1007/978-1-4419-9230-7_2 may be a valid DOI for title: Options, futures, and other derivatives

INVALID DOIs

- None

[csoneson]

👋🏻 @ahudde, @lrnv, @bahung - this is the review thread for the submission. All of our communications will happen here from now on.

Please check the post at the top of the issue for instructions on how to generate your own review checklist. As you go over the submission, please check any items that you feel have been satisfied. There are also links to the JOSS reviewer guidelines.

The JOSS review is different from most other journals. Our goal is to work with the authors to help them meet our criteria instead of merely passing judgment on the submission. As such, the reviewers are encouraged to submit issues directly in the software repository. If you do so, please mention this thread so that a link is created (and I can keep an eye on what is happening). Please also feel free to comment and ask questions in this thread. It is often easier to post comments/questions/suggestions as you come across them instead of waiting until you've reviewed the entire package.

Please feel free to ping me (@csoneson) if you have any questions or concerns. Thanks!

[editorialbot]

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

[lrnv]

Review checklist for @lrnv

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/ahudde/greeks?
• 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 (@ahudde) 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?

[bahung]

Review checklist for @bahung

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/ahudde/greeks?
• 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 (@ahudde) 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?

[bahung]

@ahudde could you please update the LICENSE that complies with the contents of an OSI approved software license?

[ahudde]

Dear @bahung thank you very much, I have changed the license to MIT license.

[lrnv]

@ahudde, @csoneson,

Basically, I found the package and the paper accompanying it both very well written! The amount of work put into this package is impressive. I have taken a bit of time to go through the checklist. A few boxes are still unchecked because I asked for some changes:

• [idea] Make vignettes from tests ahudde/greeks#2
• [readme] Guidelines for contribution.  ahudde/greeks#3
• [docs] Link to CRAN and vignettes in the readme. ahudde/greeks#4
• [docs] Lacking content, description of context and references ahudde/greeks#5
• [docs] Exemple in the docs of Greeks ahudde/greeks#6
• [docs] Internal references of your docs ahudde/greeks#7
• [vignette] Picture too big ahudde/greeks#8
• [docs] BS or Jump difusion model ?  ahudde/greeks#9
• [paper abstract] Small details. ahudde/greeks#10
• [paper] Standard refs seems lacking a bit. ahudde/greeks#11
• [paper] Expand first paragraph ahudde/greeks#12
• [paper] Stop bragging about your shiny app ahudde/greeks#13
• [internals] File greeks/src /BS_European_Greek_cpp.cpp ? ahudde/greeks#14
• [test coverage] Add test coverage tool ahudde/greeks#15
• [releases] GitHub<-> Cran inconsistency ahudde/greeks#16
• [tests] Increase test coverage ahudde/greeks#17

Most important are the lack of contributing guidelines, the lack of test coverage, and the fact that the documentation is a bit scarse (no descriptions of functions, a few missing examples, no references). But nothing that cannot be solved !

@ahudde: Do not be afraid by the number of tickets, most of them are quite minor ! You may come to discuss on each of these tickets if you need more details to solve them or if you feel like I am not being fair.

[ahudde]

Dear @lrnv,
Thank you very much for taking the time to help me improve the package greeks. I will start working on the issues and come back to you, if I have questions.

[bahung]

Hi @ahudde, posted a new issue regarding your paper ahudde/greeks#18 (comment)
Please address them so that I can clear Software Paper checklist above, thanks!

[csoneson]

Hi all - I wanted to check in how things are going here.
@bahung, it looks like the issue you mention above has been closed, are you able to continue your review?

[csoneson]

Ping @bahung

@bahung, it looks like the issue you mention above has been closed, are you able to continue your review?

[bahung]

Hi @csoneson, the issue has not been solved yet.

We had new discussion, and follow-up issue

[ahudde]

Dear @bahung, @csoneson,

I split up the Issue into several issues, and I will work on them. I think that this will make it easier. @bahung: Please let me know if you feel something went missing in the process.

[csoneson]

👋🏻 Happy New Year!
@ahudde - I just wanted to check in how things are progressing in terms of addressing the outstanding issues raised by the reviewers. Let us know if you have questions.

[ahudde]

Dear @csoneson,
Thank you very much, I wish a you happy new year, too! Unfortunately, I couldn't work much on this packages the last few weeks, but I will go on resolving the issues. If I have questions, I will let you know.

[csoneson]

@ahudde - thanks for the update! Please keep us posted (I just want to make sure that the review doesn't stall and that the submission is actively worked on).

[csoneson]

👋🏻 @ahudde - just wanted to check in here. As mentioned, we want to make sure that submissions are actively worked on (also to respect the reviewers' time commitment), so it would be great if you could provide an estimate of when you think you can have a revised version addressing the comments above. Thanks!

[ahudde]

Dear @csoneson - thank you very much for your inquiry. I appreciate the reviewers and your time very much and plan to address the issues in 2-3 weeks. I'm very thankfull for you understanding!

[csoneson]

That's great, thank you @ahudde!

[ahudde]

@editorialbot generate pdf

[ahudde]

@csoneson Thank you very much!

[editorialbot]

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

[ahudde]

Dear @csoneson,
Thank you very much for you patience, and sorry for the inconveniences. I think the pull-request openjournals/joss-papers#5117 is deleted because I recompiled the pdf. Do I have to publish a new release now, or does it suffice if you recommend-accept again?

Yours, Anselm

[csoneson]

Hm, I see - let me run the recommend-accept again and we'll see if that solves it

[csoneson]

@editorialbot recommend-accept

[editorialbot]

Attempting dry run of processing paper acceptance...

[editorialbot]

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

OK DOIs

- 10.1007/s11009-023-10014-5 is OK
- 10.1287/mnsc.48.8.1086.166 is OK
- 10.1080/14697688.2018.1562196 is OK
- 10.1002/(SICI)1096-9934(199910)19:7<845::AID-FUT6>3.0.CO;2-D is OK

MISSING DOIs

- No DOI given, and none found for title: derivmkts: Functions and R Code to Accompany Deriv...
- No DOI given, and none found for title: OptionPricing: Option Pricing with Efficient Simul...
- No DOI given, and none found for title: RQuantLib: R Interface to the ’QuantLib’ Library
- No DOI given, and none found for title: Fidgit: An ungodly union of GitHub and Figshare
- No DOI given, and none found for title: QuantLib - a free/open-source library for quantita...
- 10.1007/978-1-4419-9230-7_2 may be a valid DOI for title: Options, futures, and other derivatives

INVALID DOIs

- None

[editorialbot]

👋 @openjournals/sbcs-eics, this paper is ready to be accepted and published.

Check final proof 👉📄 Download article

If the paper PDF and the deposit XML files look good in openjournals/joss-papers#5124, then you can now move forward with accepting the submission by compiling again with the command @editorialbot accept

[ahudde]

@csoneson Great, thanks!

[editorialbot]

I'm sorry @ahudde, I'm afraid I can't do that. That's something only eics are allowed to do.

[ahudde]

Dear @csoneson,
Do you know who is now in charge for finally accepting this paper with @editorialbot accept?

Yours, Anselm

[csoneson]

That is the topic Associate Editor in Chief. They are informed and will take care of it, please be patient.

[ahudde]

@csoneson Great, thanks!

[oliviaguest]

@editorialbot recommend-accept

[editorialbot]

Attempting dry run of processing paper acceptance...

[editorialbot]

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

OK DOIs

- 10.1007/s11009-023-10014-5 is OK
- 10.1287/mnsc.48.8.1086.166 is OK
- 10.1080/14697688.2018.1562196 is OK
- 10.1002/(SICI)1096-9934(199910)19:7<845::AID-FUT6>3.0.CO;2-D is OK

MISSING DOIs

- No DOI given, and none found for title: derivmkts: Functions and R Code to Accompany Deriv...
- No DOI given, and none found for title: OptionPricing: Option Pricing with Efficient Simul...
- No DOI given, and none found for title: RQuantLib: R Interface to the ’QuantLib’ Library
- No DOI given, and none found for title: Fidgit: An ungodly union of GitHub and Figshare
- No DOI given, and none found for title: QuantLib - a free/open-source library for quantita...
- 10.1007/978-1-4419-9230-7_2 may be a valid DOI for title: Options, futures, and other derivatives

INVALID DOIs

- None

[oliviaguest]

@ahudde are those DOIs OK?

[editorialbot]

👋 @openjournals/sbcs-eics, this paper is ready to be accepted and published.

Check final proof 👉📄 Download article

If the paper PDF and the deposit XML files look good in openjournals/joss-papers#5136, then you can now move forward with accepting the submission by compiling again with the command @editorialbot accept

[ahudde]

Dear @oliviaguest,
I double-checked all DOIs. Options, futures, and other derivatives does indeed not have a DOI.

[oliviaguest]

@editorialbot accept

[editorialbot]

Doing it live! Attempting automated processing of paper acceptance...

[editorialbot]

Ensure proper citation by uploading a plain text CITATION.cff file to the default branch of your repository.

If using GitHub, a Cite this repository menu will appear in the About section, containing both APA and BibTeX formats. When exported to Zotero using a browser plugin, Zotero will automatically create an entry using the information contained in the .cff file.

You can copy the contents for your CITATION.cff file here:

CITATION.cff

cff-version: "1.2.0"
authors:
- family-names: Hudde
  given-names: Anselm
  orcid: "https://orcid.org/0000-0002-5652-2815"
doi: 10.5281/zenodo.10806607
message: If you use this software, please cite our article in the
  Journal of Open Source Software.
preferred-citation:
  authors:
  - family-names: Hudde
    given-names: Anselm
    orcid: "https://orcid.org/0000-0002-5652-2815"
  date-published: 2024-03-19
  doi: 10.21105/joss.05987
  issn: 2475-9066
  issue: 95
  journal: Journal of Open Source Software
  publisher:
    name: Open Journals
  start: 5987
  title: "greeks: Sensitivities of Prices of Financial Options and
    Implied Volatilities"
  type: article
  url: "https://joss.theoj.org/papers/10.21105/joss.05987"
  volume: 9
title: "greeks: Sensitivities of Prices of Financial Options and Implied
  Volatilities"

If the repository is not hosted on GitHub, a .cff file can still be uploaded to set your preferred citation. Users will be able to manually copy and paste the citation.

Find more information on .cff files here and here.

[editorialbot]

🐘🐘🐘 👉 Toot for this paper 👈 🐘🐘🐘

[editorialbot]

🚨🚨🚨 THIS IS NOT A DRILL, YOU HAVE JUST ACCEPTED A PAPER INTO JOSS! 🚨🚨🚨

Here's what you must now do:

0. Check final PDF and Crossref metadata that was deposited 👉 Creating pull request for 10.21105.joss.05987 joss-papers#5150
1. Wait five minutes, then verify that the paper DOI resolves https://doi.org/10.21105/joss.05987
2. If everything looks good, then close this review issue.
3. Party like you just published a paper! 🎉🌈🦄💃👻🤘

Any issues? Notify your editorial technical team...

[oliviaguest]

Huge thanks to the reviewers, @lrnv, @bahung, and editor, @csoneson! ✨ JOSS appreciates your work and effort. ✨ Also, big congratulations to the authors: @ahudde! 🥳 🍾

[editorialbot]

🎉🎉🎉 Congratulations on your paper acceptance! 🎉🎉🎉

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</a>

reStructuredText:
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   :target: https://doi.org/10.21105/joss.05987

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