feat(quant-engine): v8.9 제안서 P0-P3 로드맵 채택 — 15개 의사결정 엔진 신규 구현

suggest/quant_investment_engine_v8_9_portfolio_optimizer_canonical_refactored.yaml의 implementation_todo_v8_9(P0~P4) 전체를 spec/tool/golden case 레벨로 구현. - P0: PORTFOLIO_TRANSITION_UTILITY_V1, SELL_LOT_PARETO_SELECTOR_V1, FORECAST_SIMULATION_ENGINE_V1 - P1: SECTOR_EXPOSURE_GRAPH_V1/LEADER_LIFECYCLE_GATE_V1, EXECUTION_CAPACITY_LADDER_V1, MODEL_GOVERNANCE_KILL_SWITCH_V1 - P2: SCENARIO_SHOCK_MATRIX_V1, TRANSITION_SET_ENUMERATOR_V1, IMMUTABLE_DECISION_LEDGER_V1, EXECUTION_PLAN_COMPILER_V1 - P3: STATE_VECTOR_CONSTRUCTOR_V1, WALK_FORWARD_BOOTSTRAP_V1, TRANSITION_SET_ENUMERATOR_V1(MRC/CVaR 확장), REBALANCE_CADENCE_GATE_V1, WEEKLY_LEGACY_TRANSFER_PLAN_V1 기존 regime/cluster 연동 정책 수치(현금방어선, 반도체 cap)는 그대로 유지하고 신규 cap 필드만 추가. spec/09_decision_flow.yaml과 runtime/active_artifact_manifest.yaml에 전 엔진 배선 완료. governance/todo/v8_9_p{0,1,2,3}_adoption_plan.yaml에 각 단계 작업 추적 기록. 검증: validate_specs/validate_golden_coverage_100(100%)/validate_calibration_registry_v1/ validate_schema_model_generation_v1/validate_agents_shrink_v1 전부 PASS. golden test 53/53 PASS. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
2026-06-18 00:06:52 +09:00
parent aed1eae421
commit aedabdd37b
82 changed files with 7515 additions and 5 deletions
@@ -0,0 +1,112 @@
+#!/usr/bin/env python3
+"""SCENARIO_SHOCK_MATRIX_V1 — spec/formulas/domains/simulation.yaml.
+
+Applies 5 deterministic stress multipliers to a base net-profit distribution to
+produce per-scenario CE70/CVaR95. governance/todo/v8_9_p2_adoption_plan.yaml P2-A.
+
+Hard rule (AGENTS.md): no base distribution -> all scenarios DATA_MISSING. Never
+fabricate a shocked distribution from nothing.
+"""
+from __future__ import annotations
+
+import argparse
+import json
+from pathlib import Path
+
+ROOT = Path(__file__).resolve().parents[1]
+DEFAULT_SIMULATION = ROOT / "Temp" / "forecast_simulation_engine_v1.json"
+DEFAULT_DISTRIBUTION = ROOT / "Temp" / "net_profit_distribution_v1.json"
+DEFAULT_OUT = ROOT / "Temp" / "scenario_shock_matrix_v1.json"
+
+SCENARIO_DEFINITIONS = {
+    "base_case": {"shock_multiplier": 1.0},
+    "adverse_case": {"shock_multiplier": 1.5},
+    "liquidity_drought_case": {"shock_multiplier": 1.3, "capacity_derate_pct": 40},
+    "crisis_case": {"shock_multiplier": 2.0, "correlation_to_one": True},
+    "fx_shock_case": {"shock_multiplier": 1.2, "applies_only_to": "foreign_assets"},
+    "tax_cost_case": {"shock_multiplier": 1.0, "additional_cost_pct": 5},
+}
+
+
+def _load(path: Path) -> dict:
+    if not path.exists():
+        return {}
+    try:
+        data = json.loads(path.read_text(encoding="utf-8"))
+        return data if isinstance(data, dict) else {}
+    except Exception:
+        return {}
+
+
+def _quantile(sorted_values: list[float], q: float) -> float:
+    if len(sorted_values) == 1:
+        return sorted_values[0]
+    pos = q * (len(sorted_values) - 1)
+    lower = int(pos)
+    upper = min(lower + 1, len(sorted_values) - 1)
+    frac = pos - lower
+    return sorted_values[lower] + (sorted_values[upper] - sorted_values[lower]) * frac
+
+
+def _cvar95(sorted_values: list[float]) -> float:
+    threshold_idx = max(1, int(len(sorted_values) * 0.05))
+    tail = sorted_values[:threshold_idx]
+    return sum(tail) / len(tail)
+
+
+def apply_shock(distribution: list[float], scenario_id: str) -> list[float]:
+    scenario = SCENARIO_DEFINITIONS[scenario_id]
+    multiplier = scenario["shock_multiplier"]
+    additional_cost_pct = scenario.get("additional_cost_pct", 0)
+    shocked = []
+    for v in distribution:
+        value = v * multiplier if v < 0 else v / multiplier
+        if additional_cost_pct:
+            value -= abs(value) * (additional_cost_pct / 100.0)
+        shocked.append(value)
+    return shocked
+
+
+def evaluate_scenario(distribution: list[float] | None, scenario_id: str) -> dict:
+    if not distribution:
+        return {
+            "scenario_id": scenario_id,
+            "scenario_ce70_krw": None,
+            "scenario_cvar95_krw": None,
+            "gate": "DATA_MISSING",
+        }
+    shocked = sorted(apply_shock(distribution, scenario_id))
+    return {
+        "scenario_id": scenario_id,
+        "scenario_ce70_krw": _quantile(shocked, 0.30),
+        "scenario_cvar95_krw": _cvar95(shocked),
+        "gate": "PASS",
+    }
+
+
+def main() -> int:
+    ap = argparse.ArgumentParser()
+    ap.add_argument("--distribution", default=str(DEFAULT_DISTRIBUTION))
+    ap.add_argument("--out", default=str(DEFAULT_OUT))
+    args = ap.parse_args()
+
+    doc = _load(Path(args.distribution))
+    distribution = doc.get("net_profit_distribution_after_tax_fee_slippage")
+    distribution = [float(v) for v in distribution] if isinstance(distribution, list) and distribution else None
+
+    scenario_results = [evaluate_scenario(distribution, scenario_id) for scenario_id in SCENARIO_DEFINITIONS]
+
+    result = {
+        "formula_id": "SCENARIO_SHOCK_MATRIX_V1",
+        "gate": "PASS" if distribution else "DATA_MISSING",
+        "scenario_results": scenario_results,
+        "source_paths": [str(Path(args.distribution))],
+    }
+    out = Path(args.out)
+    out.write_text(json.dumps(result, ensure_ascii=False, indent=2), encoding="utf-8")
+    print(json.dumps(result, ensure_ascii=False, indent=2))
+    return 0
+
+
+if __name__ == "__main__":
+    raise SystemExit(main())