rustytorch/demos/rtx-riskflow-demo/src/lib.rs

//! RiskFlow - Real-Time Risk Attribution Engine.
//!
//! This demo showcases real-time portfolio risk analysis with factor attribution.

pub mod attribution;
pub mod risk_model;
pub mod sample_data;
pub mod stress_test;

use riskflow_shared::{Portfolio, RiskAnalysisRequest, RiskAnalysisResult, RiskUpdate};
use thiserror::Error;

use attribution::RiskAttributor;
use risk_model::RiskModel;
use stress_test::StressTester;

/// Errors that can occur during risk analysis.
#[derive(Debug, Error)]
pub enum RiskFlowError {
    /// Empty portfolio.
    #[error("Portfolio is empty")]
    EmptyPortfolio,

    /// Invalid position data.
    #[error("Invalid position data: {0}")]
    InvalidPosition(String),

    /// Risk calculation failed.
    #[error("Risk calculation failed: {0}")]
    CalculationFailed(String),

    /// Insufficient data.
    #[error("Insufficient data for analysis")]
    InsufficientData,
}

/// Main RiskFlow engine.
#[derive(Debug)]
pub struct RiskFlow {
    /// Risk model.
    risk_model: RiskModel,
    /// Risk attributor.
    attributor: RiskAttributor,
    /// Stress tester.
    stress_tester: StressTester,
}

impl Default for RiskFlow {
    fn default() -> Self {
        Self::new()
    }
}

impl RiskFlow {
    /// Create a new RiskFlow engine.
    #[must_use]
    pub fn new() -> Self {
        Self {
            risk_model: RiskModel::new(),
            attributor: RiskAttributor::new(),
            stress_tester: StressTester::new(),
        }
    }

    /// Analyze portfolio risk.
    pub fn analyze(
        &self,
        request: &RiskAnalysisRequest,
    ) -> Result<RiskAnalysisResult, RiskFlowError> {
        // Validate portfolio
        if request.portfolio.positions.is_empty() {
            return Err(RiskFlowError::EmptyPortfolio);
        }

        // Calculate risk metrics
        let metrics = self.risk_model.calculate_metrics(&request.portfolio)?;

        // Calculate factor exposures
        let exposures = self.risk_model.calculate_exposures(&request.portfolio);

        // Calculate risk attribution
        let attribution = self.attributor.attribute(&request.portfolio, &exposures)?;

        // Calculate position-level risk
        let position_risk = self.risk_model.position_risk(&request.portfolio)?;

        // Calculate sector risk
        let sector_risk = self.risk_model.sector_risk(&request.portfolio);

        // Run stress tests
        let stress_tests = self.stress_tester.run_all(&request.portfolio);

        Ok(RiskAnalysisResult {
            portfolio_id: request.portfolio.id.clone(),
            timestamp: request.analysis_date.clone(),
            metrics,
            exposures,
            attribution,
            position_risk,
            sector_risk,
            stress_tests,
        })
    }

    /// Get real-time risk update.
    pub fn get_update(&self, portfolio: &Portfolio) -> Result<RiskUpdate, RiskFlowError> {
        let metrics = self.risk_model.calculate_metrics(portfolio)?;

        // Determine alert level
        let alert_level = if metrics.var_95 > 3.0 {
            2 // Critical
        } else if metrics.var_95 > 2.0 {
            1 // Warning
        } else {
            0 // Normal
        };

        let alert_message = match alert_level {
            2 => Some("VaR exceeds risk limit".to_string()),
            1 => Some("Elevated risk detected".to_string()),
            _ => None,
        };

        Ok(RiskUpdate {
            timestamp: chrono_stub(),
            current_var: metrics.var_95,
            var_change: 0.0, // Would require previous state
            volatility: metrics.volatility,
            vol_change: 0.0,
            alert_level,
            alert_message,
        })
    }

    /// Get the risk model.
    #[must_use]
    pub fn risk_model(&self) -> &RiskModel {
        &self.risk_model
    }
}

/// Simple timestamp stub (no chrono dependency).
fn chrono_stub() -> String {
    "2024-01-15T16:00:00Z".to_string()
}

/// Run the full demo.
pub fn run_demo() -> Result<RiskAnalysisResult, RiskFlowError> {
    let engine = RiskFlow::new();
    let request = sample_data::create_sample_request();
    engine.analyze(&request)
}

#[cfg(test)]
mod tests {
    use super::*;
    use riskflow_shared::get_sample_portfolio;

    #[test]
    fn test_riskflow_creation() {
        let engine = RiskFlow::new();
        assert!(std::mem::size_of_val(&engine) > 0);
    }

    #[test]
    fn test_analyze() {
        let engine = RiskFlow::new();
        let request = RiskAnalysisRequest {
            portfolio: get_sample_portfolio(),
            historical_returns: None,
            benchmark: Some("SPY".to_string()),
            analysis_date: "2024-01-15".to_string(),
            risk_free_rate: 0.04,
        };

        let result = engine.analyze(&request);
        assert!(result.is_ok());

        let analysis = result.unwrap();
        assert!(!analysis.position_risk.is_empty());
        assert!(!analysis.sector_risk.is_empty());
    }

    #[test]
    fn test_empty_portfolio_error() {
        let engine = RiskFlow::new();
        let mut portfolio = get_sample_portfolio();
        portfolio.positions.clear();

        let request = RiskAnalysisRequest {
            portfolio,
            historical_returns: None,
            benchmark: None,
            analysis_date: "2024-01-15".to_string(),
            risk_free_rate: 0.04,
        };

        let result = engine.analyze(&request);
        assert!(matches!(result, Err(RiskFlowError::EmptyPortfolio)));
    }

    #[test]
    fn test_get_update() {
        let engine = RiskFlow::new();
        let portfolio = get_sample_portfolio();

        let result = engine.get_update(&portfolio);
        assert!(result.is_ok());

        let update = result.unwrap();
        assert!(update.current_var > 0.0);
    }

    #[test]
    fn test_run_demo() {
        let result = run_demo();
        assert!(result.is_ok());
    }
}