market_screener/tests/bond-scorer.test.ts

import test from 'node:test';
import assert from 'node:assert/strict';
import { BondScorer } from '../server/domains/screener/scorers/BondScorer.js';
import { ScoringConfig } from '../server/domains/shared/scoring/ScoringConfig.js';
import type { BondMetrics } from '../server/domains/shared/types/models.model.js';

const DEFAULT_RULES = {
  gates: ScoringConfig.base.gates.BOND,
  weights: ScoringConfig.base.weights.BOND,
  thresholds: ScoringConfig.base.thresholds.BOND,
};

test('BondScorer', async (t) => {
  await t.test('rejects bond with low credit rating', () => {
    const metrics: BondMetrics = {
      ytm: 5.5,
      duration: 5,
      creditRating: 'BB', // Below BBB (gate is BBB = 7)
      creditRatingNumeric: 5,
    };

    const result = BondScorer.score(metrics, DEFAULT_RULES);
    assert.equal(result.label, '🔴 REJECT');
    assert.ok(result.scoreSummary.includes('Credit'));
  });

  await t.test('accepts bond with BBB credit rating', () => {
    const metrics: BondMetrics = {
      ytm: 5.5,
      duration: 5,
      creditRating: 'BBB',
      creditRatingNumeric: 7,
    };

    const result = BondScorer.score(metrics, DEFAULT_RULES);
    assert.notEqual(result.label, '🔴 REJECT');
  });

  await t.test('accepts bond with A credit rating', () => {
    const metrics: BondMetrics = {
      ytm: 5.5,
      duration: 5,
      creditRating: 'A',
      creditRatingNumeric: 9,
    };

    const result = BondScorer.score(metrics, DEFAULT_RULES);
    assert.notEqual(result.label, '🔴 REJECT');
  });

  await t.test('scores high-yield bond positively', () => {
    const metrics: BondMetrics = {
      ytm: 7.5, // High yield
      duration: 5,
      creditRating: 'A',
      creditRatingNumeric: 9,
    };

    const result = BondScorer.score(metrics, DEFAULT_RULES);
    assert.notEqual(result.label, '🔴 REJECT');
    assert.ok(result.audit?.passedGates);
  });

  await t.test('penalizes long-duration bond', () => {
    const metricsShort: BondMetrics = {
      ytm: 5.5,
      duration: 3, // Short
      creditRating: 'A',
      creditRatingNumeric: 9,
    };

    const metricsLong: BondMetrics = {
      ytm: 5.5,
      duration: 10, // Long
      creditRating: 'A',
      creditRatingNumeric: 9,
    };

    const resultShort = BondScorer.score(metricsShort, DEFAULT_RULES);
    const resultLong = BondScorer.score(metricsLong, DEFAULT_RULES);

    // Both should pass gates
    assert.ok(resultShort.audit?.passedGates);
    assert.ok(resultLong.audit?.passedGates);
  });

  await t.test('handles null/undefined metrics gracefully', () => {
    const metrics: BondMetrics = {
      ytm: null,
      duration: 5,
      creditRating: null,
      creditRatingNumeric: null,
    };

    const result = BondScorer.score(metrics, DEFAULT_RULES);
    // Should not crash
    assert.ok(result);
  });

  await t.test('includes audit trail of gate checks', () => {
    const metrics: BondMetrics = {
      ytm: 5.5,
      duration: 5,
      creditRating: 'BB',
      creditRatingNumeric: 5,
    };

    const result = BondScorer.score(metrics, DEFAULT_RULES);
    assert.ok(result.audit);
    if (!result.audit?.passedGates) {
      assert.ok(Array.isArray(result.audit?.failures));
    }
  });

  await t.test('accepts high-quality bond (AAA rated)', () => {
    const metrics: BondMetrics = {
      ytm: 4.0, // Lower yield (less risk)
      duration: 7,
      creditRating: 'AAA',
      creditRatingNumeric: 10,
    };

    const result = BondScorer.score(metrics, DEFAULT_RULES);
    assert.ok(result.audit?.passedGates);
  });

  await t.test('scores spread relative to risk-free rate', () => {
    const metricsWideSpread: BondMetrics = {
      ytm: 7.5, // Wide spread from ~4.5% risk-free
      duration: 5,
      creditRating: 'BBB',
      creditRatingNumeric: 7,
    };

    const metricsTightSpread: BondMetrics = {
      ytm: 4.8, // Tight spread
      duration: 5,
      creditRating: 'BBB',
      creditRatingNumeric: 7,
    };

    const resultWide = BondScorer.score(metricsWideSpread, DEFAULT_RULES);
    const resultTight = BondScorer.score(metricsTightSpread, DEFAULT_RULES);

    // Both should pass gates
    assert.ok(resultWide.audit?.passedGates);
    assert.ok(resultTight.audit?.passedGates);
  });

  await t.test('rejects bond with very long duration', () => {
    const metrics: BondMetrics = {
      ytm: 5.5,
      duration: 20, // Much longer than default gate
      creditRating: 'A',
      creditRatingNumeric: 9,
    };

    const result = BondScorer.score(metrics, DEFAULT_RULES);
    // May fail duration gate if threshold is enforced
    assert.ok(result);
  });

  await t.test('handles extreme yield scenarios', () => {
    const metricsVeryHigh: BondMetrics = {
      ytm: 15.0, // Very high (distressed)
      duration: 5,
      creditRating: 'B',
      creditRatingNumeric: 4,
    };

    const metricsVeryLow: BondMetrics = {
      ytm: 2.0, // Very low (low risk)
      duration: 5,
      creditRating: 'AAA',
      creditRatingNumeric: 10,
    };

    const resultHigh = BondScorer.score(metricsVeryHigh, DEFAULT_RULES);
    const resultLow = BondScorer.score(metricsVeryLow, DEFAULT_RULES);

    // High yield bond likely fails credit gate
    assert.ok(resultHigh);
    // Low yield AAA bond should pass
    assert.ok(resultLow.audit?.passedGates);
  });

  await t.test('scores based on credit rating thresholds', () => {
    const metricsJustAboveGate: BondMetrics = {
      ytm: 5.5,
      duration: 5,
      creditRating: 'BBB',
      creditRatingNumeric: 7, // Exactly at gate
    };

    const metricsWellAboveGate: BondMetrics = {
      ytm: 5.5,
      duration: 5,
      creditRating: 'AA',
      creditRatingNumeric: 9, // Well above gate
    };

    const resultAt = BondScorer.score(metricsJustAboveGate, DEFAULT_RULES);
    const resultAbove = BondScorer.score(metricsWellAboveGate, DEFAULT_RULES);

    // Both should pass
    assert.ok(resultAt.audit?.passedGates);
    assert.ok(resultAbove.audit?.passedGates);
  });

  await t.test('handles negative YTM (unlikely but possible)', () => {
    const metrics: BondMetrics = {
      ytm: -0.5, // Negative yield (Swiss bonds in past)
      duration: 2,
      creditRating: 'AAA',
      creditRatingNumeric: 10,
    };

    const result = BondScorer.score(metrics, DEFAULT_RULES);
    // Should handle gracefully
    assert.ok(result);
  });

  await t.test('investment-grade bond scores well', () => {
    const metrics: BondMetrics = {
      ytm: 5.0,
      duration: 5,
      creditRating: 'A',
      creditRatingNumeric: 8,
    };

    const result = BondScorer.score(metrics, DEFAULT_RULES);
    assert.notEqual(result.label, '🔴 REJECT');
    assert.ok(result.audit?.passedGates);
  });

  await t.test('speculative-grade bond rejected', () => {
    const metrics: BondMetrics = {
      ytm: 8.5,
      duration: 5,
      creditRating: 'CCC',
      creditRatingNumeric: 3,
    };

    const result = BondScorer.score(metrics, DEFAULT_RULES);
    assert.equal(result.label, '🔴 REJECT');
  });
});