Validation Toolbox for Pricers

A practical toolkit: unit tests, golden regressions, finite differences, sanity checks, and reproducibility checks.

Explanation

Unit tests pin down payoff logic and edge cases such as zero notional, zero time-to-maturity, and extreme strikes.

Golden regression tests fix representative trades, market snapshots, and model configurations with locked outputs.

Finite-difference checks compare analytic Greeks to numerical approximations, catching sign errors and missing terms.

Sanity checks enforce basic economics such as monotonicity, sign constraints, and no-arbitrage bounds.

Reproducibility checks ensure the same snapshot, model, and code version produce the same outputs over time.

validationtestsregressionsanityreproducibility

Interactive visualisation

Validation toolbox for pricers

Pick failure modes. See which validation tools catch them.

Select failure modes

Selected coverage

100%

This is not a maturity model. It is a practical checklist: each tool catches a specific class of failure.

Golden regressions

Reference trades + fixed snapshots. Any deviation beyond tolerance forces an explicit decision.

What it catches (from your selection)