feat: add portfolio risk computation contracts

2026-09-01 13:57:03 +08:00
parent d4ee6f005f
commit 8c5af40dad
6 changed files with 3026 additions and 13 deletions
@@ -0,0 +1,129 @@
+{
+  "portfolio_decision": {
+    "computed_at": "2026-01-08T03:01:00Z",
+    "constraint_residuals": {
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+      "net_exposure_max": 0.0,
+      "net_exposure_min": 0.0,
+      "position_count_max": 0.0,
+      "single_asset_max": 0.0,
+      "single_asset_min": 0.0,
+      "turnover_max": 0.0
+    },
+    "constraints": {
+      "gross_exposure_max": 1.0,
+      "net_exposure_max": 1.0,
+      "net_exposure_min": 1.0,
+      "position_count_max": 2,
+      "schema_version": "1.0.0",
+      "single_asset_max": 0.7,
+      "single_asset_min": 0.2,
+      "turnover_max": 0.2
+    },
+    "contract_name": "researchhub.portfolio-decision",
+    "covariance_digest": "sha256:aaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaa",
+    "dataset_snapshot_id": "rhdsv1:sha256:f63a29b4795c63fb7d6b2d3b5544cee9274b633db77c75c63d50a340c0827d57",
+    "decision_id": "rhportfoliodecisionv1:sha256:0e6e5ce2fa08de8006cc392610695a013327fc80645bfa4d7a908ad3f615bebd",
+    "effective_at": "2026-01-08T03:00:00Z",
+    "evidence_digest": "sha256:f3913894d032c389c64eef59058b3cbc694cb9cc14ce9cee2699f0068200b650",
+    "expected_return_digest": "sha256:dddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddddd",
+    "freshness_policy": {
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+      "max_manifest_age_seconds": 3600,
+      "schema_version": "1.0.0"
+    },
+    "gross_exposure": 1.0,
+    "manifest_document_sha256": "fbf54218f770528978f9ccd35577e1ab00877143ea397a576e071e75f0afbab0",
+    "manifest_id": "rhbacktestevidencev1:sha256:681c49cbdfb3e221b273e7bc616602ad80a7ab01206970807ad4294b176ebc75",
+    "model_digest": "sha256:cccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccccc",
+    "model_name": "deterministic_weights",
+    "model_version": "1.0.0",
+    "net_exposure": 1.0,
+    "objective_digest": "sha256:bbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbbb",
+    "objective_name": "long_only_allocation",
+    "objective_version": "1.0.0",
+    "output_digest": "sha256:bd3b964c628c8648322d036e57dd6f444ca287017d1578bab3689d07d32b28ce",
+    "portfolio_asset_set_digest": "sha256:b64e3448a83a5b86466465080361c1a7e1157a27ddccd4b68069cb18caffb74a",
+    "position_count": 2,
+    "prior_weights": {
+      "A": 0.5,
+      "B": 0.5
+    },
+    "receipt": {
+      "algorithm": "bounded_allocation",
+      "algorithm_version": "1.0.0",
+      "computed_at": "2026-01-08T03:01:00Z",
+      "constraint_digest": "sha256:34df0e5c00f503748ff936f9cd415a8947169181f8ca0917bce97dd606e08e94",
+      "implementation_digest": "sha256:ffffffffffffffffffffffffffffffffffffffffffffffffffffffffffffffff",
+      "input_digest": "sha256:ebd8ff957115e1adfd84eafa5cea49470356194d747b64ee5897858f9dd067b7",
+      "iterations": null,
+      "max_constraint_residual": 0.0,
+      "objective_value": null,
+      "output_digest": "sha256:bd3b964c628c8648322d036e57dd6f444ca287017d1578bab3689d07d32b28ce",
+      "parameter_digest": "sha256:0000000000000000000000000000000000000000000000000000000000000000",
+      "schema_version": "1.0.0",
+      "solver_config_digest": null,
+      "solver_name": null,
+      "solver_required": false,
+      "solver_version": null,
+      "status": "completed",
+      "tolerance": 1e-12
+    },
+    "run_id": "rhbacktestrunv1:sha256:5036c771c44a2adade9ea590eee0d8cf824ff8f519fadd8ba424e5d914856386",
+    "run_ref_document_sha256": "6a798adb3e0568aca84ed3e3a285b92d181ec569462fc003952a8c0d8382ae3a",
+    "scenario_digest": "sha256:eeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee",
+    "schema_version": "1.0.0",
+    "source_universe_digest": "sha256:5555555555555555555555555555555555555555555555555555555555555555",
+    "target_id": "portfolio-target:synthetic-v1",
+    "target_weights": {
+      "A": 0.6,
+      "B": 0.4
+    },
+    "turnover_l1": 0.19999999999999996
+  },
+  "risk_assessment": {
+    "assessment_id": "rhriskassessmentv1:sha256:dbc38825cffcf6d95bd0216d22dbba4e0d4a1359ca5924a3ee529b99a7d78b6d",
+    "component_risk": {
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+      "B": 1.4549226783578568
+    },
+    "contract_name": "researchhub.risk-assessment",
+    "covariance_as_of_date": "2026-01-08",
+    "covariance_data_snapshot_id": "rhdsv1:sha256:f63a29b4795c63fb7d6b2d3b5544cee9274b633db77c75c63d50a340c0827d57",
+    "covariance_input_digest": "sha256:aaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaaa",
+    "covariance_snapshot_id": "covariance:synthetic-v1",
+    "dataset_snapshot_id": "rhdsv1:sha256:f63a29b4795c63fb7d6b2d3b5544cee9274b633db77c75c63d50a340c0827d57",
+    "decision_id": "rhportfoliodecisionv1:sha256:0e6e5ce2fa08de8006cc392610695a013327fc80645bfa4d7a908ad3f615bebd",
+    "findings": [],
+    "freshness_policy_digest": "sha256:833f58f4d1056f0450f7369fd4edd70534cc74e9e55cd60f05b2b3d7a2979763",
+    "group_exposure": {
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+      "fixed_income": 1.4549226783578568
+    },
+    "manifest_id": "rhbacktestevidencev1:sha256:681c49cbdfb3e221b273e7bc616602ad80a7ab01206970807ad4294b176ebc75",
+    "marginal_risk": {
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+      "B": 3.637306695894642
+    },
+    "percentage_risk": {
+      "A": 0.49999999999999983,
+      "B": 0.49999999999999994
+    },
+    "periods_per_year": 252,
+    "portfolio_volatility": 2.909845356715714,
+    "portfolio_volatility_limit": 10.0,
+    "qualified": true,
+    "return_frequency": "1d",
+    "risk_budget": {
+      "A": 0.8,
+      "B": 0.8
+    },
+    "risk_model_digest": "sha256:2222222222222222222222222222222222222222222222222222222222222222",
+    "risk_model_name": "euler_volatility",
+    "risk_model_version": "1.0.0",
+    "run_id": "rhbacktestrunv1:sha256:5036c771c44a2adade9ea590eee0d8cf824ff8f519fadd8ba424e5d914856386",
+    "scenario_digest": "sha256:eeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee",
+    "schema_version": "1.0.0",
+    "status": "ready"
+  }
+}