kjh2064
aedabdd37b
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>
48 lines
1.6 KiB
Python
48 lines
1.6 KiB
Python
"""Golden tests for SCENARIO_SHOCK_MATRIX_V1 (governance/todo/v8_9_p2_adoption_plan.yaml P2-A).
|
|
|
|
Maps to v8.9 proposal golden case V89_010 (candidate_good_portfolio_bad: a positive
|
|
point estimate can still be a bad portfolio decision once stress scenarios are applied).
|
|
"""
|
|
from __future__ import annotations
|
|
|
|
import importlib.util
|
|
from pathlib import Path
|
|
|
|
ROOT = Path(__file__).resolve().parents[3]
|
|
MODULE_PATH = ROOT / "tools" / "build_scenario_shock_matrix_v1.py"
|
|
|
|
|
|
def _load_module():
|
|
spec = importlib.util.spec_from_file_location("build_scenario_shock_matrix_v1", MODULE_PATH)
|
|
module = importlib.util.module_from_spec(spec)
|
|
assert spec.loader is not None
|
|
spec.loader.exec_module(module)
|
|
return module
|
|
|
|
|
|
def test_v89_010_crisis_case_worse_than_base_case() -> None:
|
|
mod = _load_module()
|
|
distribution = [float(i * 1000) for i in range(-50, 50)]
|
|
base = mod.evaluate_scenario(distribution, "base_case")
|
|
crisis = mod.evaluate_scenario(distribution, "crisis_case")
|
|
assert crisis["scenario_cvar95_krw"] < base["scenario_cvar95_krw"]
|
|
|
|
|
|
def test_missing_distribution_returns_data_missing_not_fabricated() -> None:
|
|
mod = _load_module()
|
|
result = mod.evaluate_scenario(None, "adverse_case")
|
|
assert result["gate"] == "DATA_MISSING"
|
|
assert result["scenario_ce70_krw"] is None
|
|
|
|
|
|
def test_all_six_scenarios_defined() -> None:
|
|
mod = _load_module()
|
|
assert set(mod.SCENARIO_DEFINITIONS.keys()) == {
|
|
"base_case",
|
|
"adverse_case",
|
|
"liquidity_drought_case",
|
|
"crisis_case",
|
|
"fx_shock_case",
|
|
"tax_cost_case",
|
|
}
|