rustytorch/demos/rtx-portfolio-demo/src/constraints.rs

//! Portfolio constraint validation and enforcement

use crate::{Asset, PortfolioConstraints, PortfolioError, Result};

/// Validate portfolio weights against constraints
pub fn validate_weights(
    weights: &[f64],
    assets: &[Asset],
    constraints: &PortfolioConstraints,
) -> Result<()> {
    if weights.len() != assets.len() {
        return Err(PortfolioError::InvalidConfig(
            "Number of weights must match number of assets".to_string(),
        ));
    }

    validate_sum(weights)?;
    validate_bounds(weights, constraints)?;
    validate_long_only(weights, constraints)?;
    validate_sector_limits(weights, assets, constraints)?;

    Ok(())
}

/// Validate that weights sum to 1.0
fn validate_sum(weights: &[f64]) -> Result<()> {
    let sum: f64 = weights.iter().sum();
    if (sum - 1.0).abs() > 1e-6 {
        return Err(PortfolioError::ConstraintViolation(format!(
            "Weights must sum to 1.0, got {sum}"
        )));
    }
    Ok(())
}

/// Validate weight bounds
fn validate_bounds(weights: &[f64], constraints: &PortfolioConstraints) -> Result<()> {
    for (i, &weight) in weights.iter().enumerate() {
        if weight < constraints.min_weight - 1e-6 {
            return Err(PortfolioError::ConstraintViolation(format!(
                "Weight {i} ({weight}) below minimum ({})",
                constraints.min_weight
            )));
        }
        if weight > constraints.max_weight + 1e-6 {
            return Err(PortfolioError::ConstraintViolation(format!(
                "Weight {i} ({weight}) above maximum ({})",
                constraints.max_weight
            )));
        }
    }
    Ok(())
}

/// Validate long-only constraint
fn validate_long_only(weights: &[f64], constraints: &PortfolioConstraints) -> Result<()> {
    if constraints.long_only {
        for (i, &weight) in weights.iter().enumerate() {
            if weight < -1e-6 {
                return Err(PortfolioError::ConstraintViolation(format!(
                    "Negative weight {i} ({weight}) violates long-only constraint"
                )));
            }
        }
    }
    Ok(())
}

/// Validate sector exposure limits
fn validate_sector_limits(
    weights: &[f64],
    assets: &[Asset],
    constraints: &PortfolioConstraints,
) -> Result<()> {
    for sector_limit in &constraints.sector_limits {
        let mut sector_exposure = 0.0;
        for (i, asset) in assets.iter().enumerate() {
            if let Some(sector) = &asset.sector
                && sector == &sector_limit.sector
            {
                sector_exposure += weights[i];
            }
        }

        if sector_exposure > sector_limit.max_weight + 1e-6 {
            return Err(PortfolioError::ConstraintViolation(format!(
                "Sector '{}' exposure ({sector_exposure}) exceeds limit ({})",
                sector_limit.sector, sector_limit.max_weight
            )));
        }
    }
    Ok(())
}

/// Project weights to satisfy constraints (simple heuristic)
pub fn project_to_constraints(
    weights: &mut [f64],
    _assets: &[Asset],
    constraints: &PortfolioConstraints,
) -> Result<()> {
    if constraints.long_only {
        for weight in weights.iter_mut() {
            *weight = weight.max(constraints.min_weight);
        }
    }

    for weight in weights.iter_mut() {
        *weight = weight.clamp(constraints.min_weight, constraints.max_weight);
    }

    let sum: f64 = weights.iter().sum();
    if sum > 0.0 {
        for weight in weights.iter_mut() {
            *weight /= sum;
        }
    }

    Ok(())
}

#[cfg(test)]
mod tests {
    use super::*;
    use crate::SectorLimit;

    fn create_test_assets() -> Vec<Asset> {
        vec![
            Asset {
                ticker: "TECH1".to_string(),
                name: "Tech Stock 1".to_string(),
                asset_class: "equity".to_string(),
                sector: Some("Technology".to_string()),
                expected_return: 0.12,
                volatility: 0.20,
            },
            Asset {
                ticker: "TECH2".to_string(),
                name: "Tech Stock 2".to_string(),
                asset_class: "equity".to_string(),
                sector: Some("Technology".to_string()),
                expected_return: 0.14,
                volatility: 0.25,
            },
            Asset {
                ticker: "HEALTHCARE".to_string(),
                name: "Healthcare Stock".to_string(),
                asset_class: "equity".to_string(),
                sector: Some("Healthcare".to_string()),
                expected_return: 0.10,
                volatility: 0.18,
            },
        ]
    }

    #[test]
    fn test_validate_sum() {
        let valid_weights = vec![0.5, 0.3, 0.2];
        assert!(validate_sum(&valid_weights).is_ok());

        let invalid_weights = vec![0.5, 0.3, 0.1];
        assert!(validate_sum(&invalid_weights).is_err());
    }

    #[test]
    fn test_validate_bounds() {
        let constraints = PortfolioConstraints {
            min_weight: 0.1,
            max_weight: 0.6,
            ..Default::default()
        };

        let valid_weights = vec![0.4, 0.3, 0.3];
        assert!(validate_bounds(&valid_weights, &constraints).is_ok());

        let too_low = vec![0.05, 0.45, 0.5];
        assert!(validate_bounds(&too_low, &constraints).is_err());

        let too_high = vec![0.7, 0.2, 0.1];
        assert!(validate_bounds(&too_high, &constraints).is_err());
    }

    #[test]
    fn test_validate_long_only() {
        let long_only_constraints = PortfolioConstraints {
            long_only: true,
            ..Default::default()
        };

        let valid_weights = vec![0.5, 0.3, 0.2];
        assert!(validate_long_only(&valid_weights, &long_only_constraints).is_ok());

        let negative_weights = vec![0.6, -0.1, 0.5];
        assert!(validate_long_only(&negative_weights, &long_only_constraints).is_err());

        let short_allowed_constraints = PortfolioConstraints {
            long_only: false,
            ..Default::default()
        };
        assert!(validate_long_only(&negative_weights, &short_allowed_constraints).is_ok());
    }

    #[test]
    fn test_validate_sector_limits() {
        let assets = create_test_assets();
        let mut constraints = PortfolioConstraints::default();
        constraints.sector_limits.push(SectorLimit {
            sector: "Technology".to_string(),
            max_weight: 0.5,
        });

        let valid_weights = vec![0.3, 0.2, 0.5];
        assert!(validate_sector_limits(&valid_weights, &assets, &constraints).is_ok());

        let exceeds_limit = vec![0.4, 0.3, 0.3];
        assert!(validate_sector_limits(&exceeds_limit, &assets, &constraints).is_err());
    }

    #[test]
    fn test_validate_weights_success() {
        let assets = create_test_assets();
        let constraints = PortfolioConstraints::default();
        let weights = vec![0.4, 0.3, 0.3];

        assert!(validate_weights(&weights, &assets, &constraints).is_ok());
    }

    #[test]
    fn test_validate_weights_dimension_mismatch() {
        let assets = create_test_assets();
        let constraints = PortfolioConstraints::default();
        let weights = vec![0.5, 0.5];

        assert!(validate_weights(&weights, &assets, &constraints).is_err());
    }

    #[test]
    fn test_project_to_constraints() {
        let assets = create_test_assets();
        let constraints = PortfolioConstraints {
            long_only: true,
            min_weight: 0.1,
            max_weight: 0.5,
            ..Default::default()
        };

        let mut weights = vec![0.7, -0.1, 0.4];
        project_to_constraints(&mut weights, &assets, &constraints).unwrap();

        assert!(weights.iter().all(|&w| w >= 0.0));
        assert!(weights.iter().all(|&w| w <= 0.5));
        let sum: f64 = weights.iter().sum();
        assert!((sum - 1.0).abs() < 1e-6);
    }
}