feat: add Quant OS A-share baseline

2026-07-26 12:54:04 +08:00
commit 48c5f64bbd
98 changed files with 31874 additions and 0 deletions
@@ -0,0 +1,91 @@
+import unittest
+
+from quant60.factor_risk import (
+    FactorExposureSnapshot,
+    RiskModelError,
+    build_factor_risk_forecast,
+    estimate_factor_returns,
+    factor_stress_loss,
+    portfolio_factor_variance,
+)
+
+
+class FactorRiskTests(unittest.TestCase):
+    def _exposure(self):
+        return FactorExposureSnapshot(
+            as_of="2026-07-24T15:00:00+08:00",
+            exposures={
+                "600000.SH": {"market": 1.0, "style": 1.0},
+                "000001.SZ": {"market": 1.0, "style": 1.0},
+                "300750.SZ": {"market": 1.0, "style": -1.0},
+            },
+        )
+
+    def _forecast(self):
+        return build_factor_risk_forecast(
+            factor_return_history=[
+                {"market": 0.01, "style": 0.02},
+                {"market": -0.01, "style": -0.02},
+                {"market": 0.02, "style": 0.01},
+                {"market": -0.02, "style": -0.01},
+            ],
+            residual_history={
+                "600000.SH": [0.01, -0.01, 0.005],
+                "000001.SZ": [0.01, -0.01, 0.005],
+                "300750.SZ": [0.01, -0.01, 0.005],
+            },
+            shrinkage=0.2,
+        )
+
+    def test_factor_return_fit_and_residuals_are_complete(self):
+        fit = estimate_factor_returns(
+            returns={
+                "600000.SH": 0.03,
+                "000001.SZ": 0.02,
+                "300750.SZ": -0.01,
+            },
+            exposure=self._exposure(),
+        )
+        self.assertEqual(set(fit.factor_returns), {"market", "style"})
+        self.assertEqual(len(fit.residuals), 3)
+
+    def test_correlated_pair_has_more_risk_than_style_diversified_pair(self):
+        exposure = self._exposure()
+        forecast = self._forecast()
+        correlated = portfolio_factor_variance(
+            portfolio_weights={
+                "600000.SH": 0.5,
+                "000001.SZ": 0.5,
+            },
+            exposure=exposure,
+            forecast=forecast,
+        )
+        diversified = portfolio_factor_variance(
+            portfolio_weights={
+                "600000.SH": 0.5,
+                "300750.SZ": 0.5,
+            },
+            exposure=exposure,
+            forecast=forecast,
+        )
+        self.assertGreater(correlated, diversified)
+
+    def test_missing_risk_input_fails_closed(self):
+        with self.assertRaisesRegex(RiskModelError, "missing"):
+            portfolio_factor_variance(
+                portfolio_weights={"000333.SZ": 1.0},
+                exposure=self._exposure(),
+                forecast=self._forecast(),
+            )
+
+    def test_market_down_stress_is_positive_loss(self):
+        loss = factor_stress_loss(
+            portfolio_weights={"600000.SH": 0.5, "300750.SZ": 0.5},
+            exposure=self._exposure(),
+            factor_shocks={"market": -0.10},
+        )
+        self.assertAlmostEqual(loss, 0.10)
+
+
+if __name__ == "__main__":
+    unittest.main()