Variet Agent
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811d6ee843
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feat(macro): comprehensive variable exploration, R²=0.028→0.747
- New: data/macro_analysis.py (15 base × 6 transforms = 116 candidates)
- Top correlations: CORP_AA_LOGR(r=-0.75), credit spread, term spread
- Exhaustive 3-var search (1749 combos), best adj.R²=0.71
- Modified: data/macro_data.py
- Added GOVT_3Y, CORP_AA, CORP_BBB ECOS queries + fallback data
- New: compute_derived_features() for optimal 3 predictors
- Modified: main.py
- Computes derived features + passes combined input to stepwise
- Scenario paths now include derived features for prediction
- Selected 3 variables: CORP_AA_LOGR, CPI_GROWTH, CREDIT_SPREAD_LAG1
- All 8/8 validation tests pass (incl. R² now Pass)
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2026-03-11 06:55:02 +09:00 |
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Variet Agent
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8af743e6f3
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feat(data): parse 3-agency PDF transition matrices to CSV #task-290
- New: data/parse_pdf_matrices.py (KR/NICE/SCI PDF parser)
- KR: text-based parser (space-separated numbers + dashes)
- NICE: text-based parser (clean numeric format)
- SCI: pdfplumber table extraction (column-position-aware)
- WR redistribution, B이하→B mapping, CCC extrapolation from PD patterns
- Modified: data/transition_matrices.py (added source='real' loader)
- Modified: config.yaml (data.transition_source: 'real')
- Modified: main.py (reads transition source from config)
- Output: 112 CSV files (KR/NICE/SCI/AVG × 28 years)
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2026-03-11 01:07:27 +09:00 |
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Variet Agent
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3a9374c61a
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feat: Lifetime PD (50yr) - Belkin & Suchower + Vasicek model
- Belkin & Suchower (1998) credit cycle index (Zt) estimation via WLS
- Vasicek single-factor conditional PD/TM model
- Macro-Zt OLS regression with stepwise variable selection
- 3-scenario (boom/neutral/recession) 50yr PD projection
- Statistical validation suite (ADF, Ljung-Box, R2, ARCH)
- BOK ECOS API integration with fallback data
- Visualization module (7 chart types)
- Detailed theoretical methodology docs/methodology.md
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2026-03-10 21:57:34 +09:00 |
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