Macro Economic Model

运行ALM资产负债管理模拟，生成组合收益、现金流报告，并通过Smith-Wilson方法校准EIOPA风险自由收益率曲线进行企业债券定价。。

宏观经济模型 (macro-economic-model)

运行ALM资产负债管理模拟，生成组合收益、现金流报告，并通过Smith-Wilson方法校准EIOPA风险自由收益率曲线进行企业债券定价。

Pipeline

data_collection -> data_storage -> factor_computation -> target_selection -> trading_execution -> visualization

Top Use Cases (13 total)

ALM Portfolio Summary Report Generator (UC-101)

Running a comprehensive Asset-Liability Management (ALM) simulation and visualizing portfolio returns, cash flows, and EIOPA yield curves for a mixed Triggers: ALM simulation, portfolio summary, yield curve visualization

ALM Cash Flow Visualization Dashboard (UC-111)

Creating visual summaries of ALM simulation results including dividend, coupon, liability cash flows, notional returns, and terminal cash flows over t Triggers: cash flow charts, portfolio visualization, ALM reporting

EIOPA Risk-Free Curve Projection and Calibration (UC-102)

Projecting forward interest rates and calibrating the EIOPA risk-free yield curve for long-term insurance liability discounting using Smith-Wilson met Triggers: EIOPA curve, forward rate projection, yield curve calibration

For all 13 use cases, see references/USE_CASES.md.

Execute trigger: When user intent matches intent_router.uc_entries[].positive_terms AND user uses action verb (run/execute/跑/执行/backtest/fetch/collect)

What I'll Ask You

• Target market: A-share (default), HK, or crypto? (US stocks in ZVT are half-baked — stockus_nasdaq_AAPL exists but coverage is thin)
• Data source / provider: eastmoney (free, no account), joinquant (account+paid), baostock (free, good history), akshare, or qmt (broker)?
• Strategy type: MACD golden-cross, MA crossover, volume breakout, fundamental screen, or custom factor?
• Time range: start_timestamp and end_timestamp for backtest period
• Target entity IDs: specific stocks (stock_sh_600000) or index components (SZ1000)?

Semantic Locks (Fatal)

ID	Rule	On Violation
SL-01	Execute sell orders before buy orders in every trading cycle	halt
SL-02	Trading signals MUST use next-bar execution (no look-ahead)	halt
SL-03	Entity IDs MUST follow format entity_type_exchange_code	halt
SL-04	DataFrame index MUST be MultiIndex (entity_id, timestamp)	halt
SL-05	TradingSignal MUST have EXACTLY ONE of: position_pct, order_money, order_amount	halt
SL-06	filter_result column semantics: True=BUY, False=SELL, None/NaN=NO ACTION	halt
SL-07	Transformer MUST run BEFORE Accumulator in factor pipeline	halt
SL-08	MACD parameters locked: fast=12, slow=26, signal=9	halt

Full lock definitions: references/LOCKS.md

Top Anti-Patterns (14 total)

• AP-MACRO-DATA-001: SEC EDGAR Rate Limit Violation
• AP-MACRO-DATA-002: Temporal Knowledge Graph Look-Ahead Bias
• AP-MACRO-DATA-003: Technical Indicator Look-Ahead Bias via Missing Shift

All 14 anti-patterns: references/ANTI_PATTERNS.md

Evidence Quality Notice

[QUALITY NOTICE] This crystal was compiled from blueprint finance-bp-077. Evidence verify ratio = 42.6% and audit fail total = 34. Generated results may have uncaptured requirement gaps. Verify critical decisions against source files (LATEST.yaml / LATEST.jsonl).

Reference Files

File	Contents	When to Load
references/seed.yaml	V6+ 全量权威 (source-of-truth)	有行为/决策争议时必读
references/ANTI_PATTERNS.md	14 条跨项目反模式	开始实现前
references/WISDOM.md	跨项目精华借鉴	架构决策时
references/CONSTRAINTS.md	domain + fatal 约束	规则冲突时
references/USE_CASES.md	全量 KUC-* 业务场景	需要完整示例时
references/LOCKS.md	SL-* + preconditions + hints	生成回测/交易代码前
references/COMPONENTS.md	AST 组件地图（按 module 拆分）	查 API 时

---

Compiled by Doramagic crystal-compilation-v6.1 from finance-bp-077 blueprint at 2026-04-22T13:00:28.955724+00:00. See human_summary.md for non-technical overview.