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quant_engine/tests/test_risk.py
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"""Risk contribution contracts and validation tests."""
from __future__ import annotations
import numpy as np
import pytest
from quant_engine.risk import component_var, marginal_risk_contribution, risk_contribution
def test_risk_contribution_sums_to_one_for_positive_portfolio_variance() -> None:
weights = np.array([0.5, 0.5])
covariance = np.diag([1.0, 4.0])
result = risk_contribution(weights, covariance)
np.testing.assert_allclose(result, [0.2, 0.8])
assert result.sum() == pytest.approx(1.0)
def test_zero_variance_portfolio_falls_back_to_equal_contribution() -> None:
result = risk_contribution(np.array([0.2, 0.3, 0.5]), np.zeros((3, 3)))
np.testing.assert_allclose(result, np.full(3, 1 / 3))
def test_marginal_and_component_risk_follow_matrix_identities() -> None:
weights = np.array([0.25, 0.75])
covariance = np.array([[0.04, 0.01], [0.01, 0.09]])
marginal = marginal_risk_contribution(weights, covariance)
component = component_var(weights, covariance)
np.testing.assert_allclose(marginal, covariance @ weights)
np.testing.assert_allclose(component, weights * marginal)
assert component.sum() == pytest.approx(weights @ covariance @ weights)
@pytest.mark.parametrize(
"function",
[risk_contribution, marginal_risk_contribution, component_var],
)
def test_risk_functions_reject_covariance_shape_mismatch(function) -> None:
with pytest.raises(ValueError, match="does not match weights length"):
function(np.array([0.5, 0.5]), np.eye(3))
@pytest.mark.parametrize(
"function",
[risk_contribution, marginal_risk_contribution, component_var],
)
def test_risk_functions_reject_empty_portfolio(function) -> None:
with pytest.raises(ValueError, match="at least one asset"):
function(np.array([]), np.empty((0, 0)))