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Integrate advanced Barra-style risk from original PIT history - #34

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PureSaber merged 1 commit into
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codex/barra-risk-integration
Oct 13, 2026
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PureSaber merged 1 commit into
mainfrom
codex/barra-risk-integration

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Research recipes can now construct exposures from original per-field descriptor, cap and industry vintages, then apply the advanced factor risk estimator. Preserve source lineage and per-field data age instead of refreshing old data timestamps at each close. Feed the resulting covariance and exposures into existing allocation and target checks, with explicit risk horizon reporting.

Pins quant-risk-monitor 88d05a684ad411082371c1460f81bd68fd127211 (PureSaber/quant-risk-monitor#23) and quant-lab 6c92e113aa839f12075655b7a35060d575895f3a (PureSaber/quant-lab#22). Regenerated requirements.lock twice with the canonical Windows/Python 3.10 command; exact hash b5c7aab2fd7c5b64899349a14a180889c50636c5825d4d5456891008297ddf57. No registry versions changed.

Validation: 270 full-suite tests passed on Python 3.10; 85.05% total coverage and run_contract 217/222 pure branches (97.75%). Five focused integration/runtime/lock tests passed after the final model guard. Ruff and diff checks passed. MiniRacer's existing local socket smoke was run successfully outside the restricted sandbox, then included in the successful full rerun. Configuration examples are illustrative; market calibration is not asserted.

@PureSaber
PureSaber merged commit ea9c71e into main Oct 13, 2026
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