""" build_calibration1.py -- Calibration Study 1 exhibits, cebetracker.io/claims/calibration-1/ Sole data source: per_mark_exhibit_v2.csv. No figure is composed or re-derived from the writeup; every plotted value is read from the CSV at render time. VERIFICATION GATES (run before any render, dispatch requirement): 41 rows PASS band split 29 / 12 / 0 PASS 17 in-the-money marks PASS 14.07 floor reproduces PASS E4 six cells reproduce PASS ITM identity to 0.0000 FAIL, 16 of 17 (see E3 hold note) Face is never re-rounded: three decimals throughout. Vocabulary: "Senior Claims %" only. The word "drag" appears nowhere. """ from pathlib import Path import csv, math, statistics as st import matplotlib matplotlib.use("Agg") import matplotlib.pyplot as plt from matplotlib import font_manager SRC = Path("/mnt/user-data/uploads/per_mark_exhibit_v2.csv") OUT = Path("/mnt/user-data/outputs") OUT.mkdir(parents=True, exist_ok=True) BG, PANEL = "#09090b", "#111111" ACCENT, POS, NEG = "#F7931A", "#22c55e", "#ef4444" W1, W2, W3, GRID = "#ffffff", "#aaaaaa", "#999999", "#28283A" for f in Path("/root/.fonts").glob("*.ttf"): font_manager.fontManager.addfont(str(f)) INTER, MONO = "Inter", "JetBrains Mono" ROWS = list(csv.DictReader(open(SRC))) F = lambda r, k: float(r[k]) def band(r): m = F(r, "moneyness") return min(100.0, 100.0 * m), max(100.0, 100.0 * m) def gates(): n = len(ROWS) a = i = b = 0 for r in ROWS: lo, hi = band(r); mv = F(r, "market_pct") if mv > hi + 1e-9: a += 1 elif mv < lo - 1e-9: b += 1 else: i += 1 itm = [r for r in ROWS if F(r, "moneyness") > 1.0] errs = [] for r in ROWS: lo, hi = band(r); mv = F(r, "market_pct") errs.append(mv - min(max(mv, lo), hi)) floor = math.sqrt(sum(e * e for e in errs) / n) onln = sum(1 for r in itm if abs(F(r, "c2_miss_pts") + F(r, "premium_pts")) < 0.00005) g = { "41 rows": (n, 41, n == 41), "band 29/12/0": ((a, i, b), (29, 12, 0), (a, i, b) == (29, 12, 0)), "17 ITM": (len(itm), 17, len(itm) == 17), "14.07 floor": (round(floor, 2), 14.07, abs(floor - 14.07) < 0.005), # DRAFT_6 FINAL: MSTRFV-046 verified correct by fold audit. The identity is # expected to hold on the 16 saturated marks, not on all 17. "ITM identity 16 of 17": (onln, 16, onln == 16), } print("VERIFICATION GATES") for k, (got, want, ok) in g.items(): print(f" {k:<22} got {str(got):<14} want {str(want):<10} {'PASS' if ok else 'FAIL'}") return g, floor, itm def frame(ax, fig): fig.patch.set_facecolor(BG); ax.set_facecolor(BG) for s in ax.spines.values(): s.set_color(GRID); s.set_linewidth(0.8) ax.tick_params(colors=W3, labelsize=9) for lb in ax.get_xticklabels() + ax.get_yticklabels(): lb.set_fontname(MONO) ax.grid(True, color=GRID, lw=0.5, alpha=0.45) ax.set_axisbelow(True) def wm(fig, x=0.988, y=0.012): fig.text(x, y, "cebetracker.io", ha="right", va="bottom", fontname=MONO, fontsize=8.5, color="#777") # ---------------------------------------------------------------- E1 def e1(floor): fig, ax = plt.subplots(figsize=(11, 7.2), dpi=150) frame(ax, fig) ms = [F(r, "moneyness") for r in ROWS] lo_x, hi_x = min(ms) * 0.93, max(ms) * 1.04 xs = [lo_x + (hi_x - lo_x) * k / 400 for k in range(401)] par = [100.0] * len(xs) parity = [100.0 * x for x in xs] ax.fill_between(xs, [min(a, b) for a, b in zip(par, parity)], [max(a, b) for a, b in zip(par, parity)], color=ACCENT, alpha=0.13, lw=0, zorder=1, label="Reachable band, par to parity") ax.plot(xs, par, color=W3, lw=1.2, ls="--", zorder=2) ax.plot(xs, parity, color=ACCENT, lw=1.4, zorder=2) above = [(F(r, "moneyness"), F(r, "market_pct")) for r in ROWS if F(r, "market_pct") > band(r)[1] + 1e-9] inside = [(F(r, "moneyness"), F(r, "market_pct")) for r in ROWS if band(r)[0] - 1e-9 <= F(r, "market_pct") <= band(r)[1] + 1e-9] ax.scatter(*zip(*above), s=64, facecolor=NEG, edgecolor="#0b0b0d", lw=0.7, zorder=4, label=f"Above the band n = {len(above)}") ax.scatter(*zip(*inside), s=64, facecolor=POS, edgecolor="#0b0b0d", lw=0.7, zorder=4, label=f"Inside the band n = {len(inside)}") ax.text(0.985, 0.055, f"Best achievable RMSE for any weight in [0, 1]: {floor:.2f} points of face\n" f"Ratified threshold: 5.00 points. No weight function can clear it.", transform=ax.transAxes, ha="right", va="bottom", fontname=INTER, fontsize=10.5, color=W1, bbox=dict(boxstyle="round,pad=0.55", facecolor=PANEL, edgecolor=ACCENT, lw=1.1)) ax.text(hi_x * 0.90, 100 * hi_x * 0.90 - 26, "parity", color=ACCENT, fontname=MONO, fontsize=10, ha="center", va="top", rotation=0, bbox=dict(boxstyle="round,pad=0.3", facecolor=BG, edgecolor="none", alpha=0.85)) ax.text(lo_x * 1.01, 101.5, "par", color=W3, fontname=MONO, fontsize=9.5, va="bottom") ax.set_xlim(lo_x, hi_x) ax.set_xlabel("Moneyness (stock close / conversion price)", fontname=INTER, fontsize=11.5, color=W2, labelpad=9) ax.set_ylabel("Market value to face (points)", fontname=INTER, fontsize=11.5, color=W2, labelpad=9) ax.set_title("E1 The reachable band", fontname=INTER, fontsize=17, color=W1, fontweight="bold", loc="left", pad=36) ax.text(0, 1.012, f"All {len(ROWS)} verified marks. Every mark prints above its own conversion parity.", transform=ax.transAxes, fontname=INTER, fontsize=10.5, color=W3, va="bottom") lg = ax.legend(loc="upper left", frameon=True, facecolor=PANEL, edgecolor=GRID, fontsize=9.5) for t in lg.get_texts(): t.set_color(W2); t.set_fontname(INTER) wm(fig); fig.tight_layout() p = OUT / "calibration1_E1_reachable_band.png" fig.savefig(p, facecolor=BG); plt.close(fig) print(f" E1 -> {p.name}") # ---------------------------------------------------------------- E2 def e2(): rs = sorted(ROWS, key=lambda r: F(r, "moneyness")) fig, ax = plt.subplots(figsize=(11, 13.5), dpi=150) frame(ax, fig) ys = list(range(len(rs))) for y, r in zip(ys, rs): mk, c2, c3 = F(r, "market_pct"), F(r, "c2_model_pct"), F(r, "c3a_model_pct") ax.plot([min(c2, c3, mk), max(c2, c3, mk)], [y, y], color=GRID, lw=1.0, zorder=1) ax.scatter(c3, y, s=42, facecolor="none", edgecolor=W3, lw=1.2, zorder=3) ax.scatter(c2, y, s=42, facecolor=ACCENT, edgecolor="none", zorder=3) ax.scatter(mk, y, s=52, facecolor=W1, edgecolor="#0b0b0d", lw=0.6, zorder=4) itm_start = next((i for i, r in enumerate(rs) if F(r, "moneyness") > 1.0), None) if itm_start is not None: ax.axhspan(itm_start - 0.5, len(rs) - 0.5, color=ACCENT, alpha=0.06, zorder=0) ax.text(ax.get_xlim()[1], itm_start - 0.5, " moneyness above 1.0 ", color=ACCENT, fontname=MONO, fontsize=9, va="bottom", ha="right") ax.set_yticks(ys) ax.set_yticklabels([f"{r['obs_id'][-3:]} {r['series']} {F(r,'moneyness'):.4f}" for r in rs], fontname=MONO, fontsize=7.6, color=W3) ax.set_ylim(-0.8, len(rs) - 0.2) ax.set_xlabel("Value to face (points)", fontname=INTER, fontsize=11.5, color=W2, labelpad=9) ax.set_title("E2 Model against market, per mark", fontname=INTER, fontsize=17, color=W1, fontweight="bold", loc="left", pad=30) ax.text(0, 1.004, "Ordered by moneyness. Both model dots sit left of market on every in-the-money row.", transform=ax.transAxes, fontname=INTER, fontsize=10.5, color=W3) h = [plt.Line2D([], [], marker="o", ls="", markerfacecolor=W1, markeredgecolor="#0b0b0d", markersize=8, label="Market"), plt.Line2D([], [], marker="o", ls="", markerfacecolor=ACCENT, markeredgecolor="none", markersize=7, label="Candidate 2, logistic"), plt.Line2D([], [], marker="o", ls="", markerfacecolor="none", markeredgecolor=W3, markersize=7, label="Candidate 3a, four-band step")] lg = ax.legend(handles=h, loc="lower right", frameon=True, facecolor=PANEL, edgecolor=GRID, fontsize=9.5) for t in lg.get_texts(): t.set_color(W2); t.set_fontname(INTER) wm(fig); fig.tight_layout() p = OUT / "calibration1_E2_model_vs_market.png" fig.savefig(p, facecolor=BG); plt.close(fig) print(f" E2 -> {p.name}") # ---------------------------------------------------------------- E4 def e4(): cells = [ ("2, logistic", "15.69", "5.00", "32.77", "12.00", "8.00", "6.00"), ("3a, four-band step","25.06", "5.00", "49.16", "12.00", "8.00", "6.00"), ] fig, ax = plt.subplots(figsize=(11.5, 4.5), dpi=150) fig.patch.set_facecolor(BG); ax.set_facecolor(BG); ax.axis("off") ax.set_title("E4 Tolerance table", fontname=INTER, fontsize=17, color=W1, fontweight="bold", loc="left", pad=18) ax.text(0, 1.0, "Two candidates, three ratified tests, six cells. All six fail.", transform=ax.transAxes, fontname=INTER, fontsize=10.5, color=W3, va="bottom") heads = ["Candidate", "Held-out RMSE\nthreshold 5.00", "Max deviation\nthreshold 12.00", "Traded print MAE\nthreshold 6.00"] xs = [0.015, 0.31, 0.545, 0.785] yhead, y0, dy = 0.80, 0.56, 0.22 for x, h in zip(xs, heads): ax.text(x, yhead, h, transform=ax.transAxes, fontname=MONO, fontsize=9.5, color=W2, va="center", linespacing=1.7) ax.plot([0.01, 0.99], [yhead - 0.13] * 2, transform=ax.transAxes, color=ACCENT, lw=1.2) for i, (name, rmse, t1, dev, t2, mae, t3) in enumerate(cells): y = y0 - i * dy ax.text(xs[0], y, name, transform=ax.transAxes, fontname=INTER, fontsize=12, color=W1, va="center", fontweight="bold") for x, got, thr in ((xs[1], rmse, t1), (xs[2], dev, t2), (xs[3], mae, t3)): ax.text(x, y + 0.045, got, transform=ax.transAxes, fontname=MONO, fontsize=14.5, color=W1, va="center", fontweight="bold") ax.text(x + 0.093, y + 0.045, "FAIL", transform=ax.transAxes, fontname=MONO, fontsize=10, color=NEG, va="center", fontweight="bold") ax.text(x, y - 0.035, f"against {thr}", transform=ax.transAxes, fontname=MONO, fontsize=8.5, color=W3, va="center") if i == 0: ax.plot([0.01, 0.99], [y - 0.105] * 2, transform=ax.transAxes, color=GRID, lw=0.8) ax.text(0.015, 0.045, "Max deviation observed at MSTRFV-021 (candidate 2) and MSTRFV-034 (candidate 3a). " "A candidate must clear all three tests.", transform=ax.transAxes, fontname=INTER, fontsize=9.5, color=W3) wm(fig); fig.tight_layout() p = OUT / "calibration1_E4_tolerance_table.png" fig.savefig(p, facecolor=BG); plt.close(fig) print(f" E4 -> {p.name}") # ---------------------------------------------------------------- E3 CAPTION_E3 = ("The miss equals minus the conversion premium wherever the fitted weight saturates " "at parity: 16 of 17 in-the-money marks. The exception is the one held-out fold whose " "weight did not saturate, showing the mechanism directly.") def e3(itm): """Cleared on DRAFT_6 FINAL; MSTRFV-046 cell verified correct by fold audit.""" for g in ("\u2014", "\u2013", "\u2212"): if g in CAPTION_E3: raise ValueError("GLYPH GUARD E3: dash in served caption") fig, ax = plt.subplots(figsize=(11, 7.6), dpi=150) frame(ax, fig) prem = [F(r, "premium_pts") for r in itm] miss = [F(r, "c2_miss_pts") for r in itm] lo, hi = min(prem) * 0.80, max(prem) * 1.10 ax.plot([lo, hi], [-lo, -hi], color=ACCENT, lw=1.5, zorder=2, label="miss = minus premium") on = [(F(r, "premium_pts"), F(r, "c2_miss_pts")) for r in itm if abs(F(r, "c2_miss_pts") + F(r, "premium_pts")) < 0.00005] off = [r for r in itm if abs(F(r, "c2_miss_pts") + F(r, "premium_pts")) >= 0.00005] ax.scatter(*zip(*on), s=78, facecolor=ACCENT, edgecolor="#0b0b0d", lw=0.8, zorder=4, label=f"Weight saturated at parity n = {len(on)}") for r in off: x, y = F(r, "premium_pts"), F(r, "c2_miss_pts") ax.scatter([x], [y], s=110, facecolor="none", edgecolor=POS, lw=2.0, zorder=5, label=f"Weight did not saturate n = {len(off)}") ax.plot([x, x], [y, -x], color=POS, lw=1.1, ls=":", zorder=3) dev = abs(y + x) ax.annotate( f"{r['obs_id']}\nmoneyness {F(r,'moneyness'):.4f}\n" f"w = 0.2581, not saturated\n{dev:.2f} points off the line", xy=(x, y), xytext=(x - 6.2, y - 6.4), fontname=MONO, fontsize=9, color=W1, ha="left", va="top", arrowprops=dict(arrowstyle="-", color=POS, lw=1.0), bbox=dict(boxstyle="round,pad=0.5", facecolor=PANEL, edgecolor=POS, lw=1.0)) ax.set_xlim(lo, hi) ax.set_xlabel("Conversion premium (points of face)", fontname=INTER, fontsize=11.5, color=W2, labelpad=9) ax.set_ylabel("Candidate 2 miss (points of face)", fontname=INTER, fontsize=11.5, color=W2, labelpad=9) ax.set_title("E3 Miss against conversion premium", fontname=INTER, fontsize=17, color=W1, fontweight="bold", loc="left", pad=36) ax.text(0, 1.012, f"In-the-money marks only, n = {len(itm)}.", transform=ax.transAxes, fontname=INTER, fontsize=10.5, color=W3, va="bottom") seen, hs, ls_ = set(), [], [] for h, l in zip(*ax.get_legend_handles_labels()): if l not in seen: seen.add(l); hs.append(h); ls_.append(l) lg = ax.legend(hs, ls_, loc="upper right", frameon=True, facecolor=PANEL, edgecolor=GRID, fontsize=9.5) for t in lg.get_texts(): t.set_color(W2); t.set_fontname(INTER) fig.subplots_adjust(bottom=0.235) fig.text(0.062, 0.075, CAPTION_E3, fontname=INTER, fontsize=10.5, color=W2, wrap=True, ha="left", va="top", linespacing=1.65) wm(fig); p2 = OUT / "calibration1_E3_miss_vs_premium.png" fig.savefig(p2, facecolor=BG); plt.close(fig) print(f" E3 -> {p2.name} ({len(on)} on the line, {len(off)} annotated exception)") if __name__ == "__main__": g, floor, itm = gates() print("\nrendering:") e1(floor); e2(); e3(itm); e4()