{
  "task_id": "notebook-P-20260921",
  "batch": "P-A",
  "version": "2026-09-21-author-review-v2",
  "conventions": {
    "cash_sign": "所有者投入为负、收到为正；组合外部入金反号",
    "price_return_period": "VFIAX数据为2022/2023日历年披露，教学流为等长子期0/1/2",
    "money": "P01万元；其余采用教学货币单位",
    "rates": "JSON用小数，界面百分比；方差用回报小数的平方",
    "identity": "OBS为事实摘录；SIM为教学假设。输出不是历史成交或实证复现。",
    "irr": "现金路径结果，不作为股票定价输入"
  },
  "OBS-VFIAX-20260630": {
    "as_of": "2026-06-30",
    "document_marker": "F0540 062026",
    "source_id": "P-R07",
    "source_url": "https://workplace.vanguard.com/iippdf/pdfs/FS540.pdf",
    "annual_returns": {
      "2022": -0.1815,
      "2023": 0.2624
    },
    "returns_locator": "p.1 Annual Returns基金行和分配再投资/费用脚注",
    "top_ten_fraction": 0.379,
    "holdings_locator": "p.2 Ten Largest Holdings及脚注",
    "fees": "原披露回报已扣基金费用，不重复扣除",
    "individual_weights": null
  },
  "SIM-P01-CASH-01": {
    "inputs": {
      "cash0": 20,
      "claim90": 80,
      "pay30": 30,
      "pay120": 25,
      "buffer": 5,
      "reserve365": 25,
      "project_max": 20,
      "project_day": 180,
      "sale_day": 20,
      "borrow_day": 20,
      "haircut": 0.02,
      "loan_apr": 0.06,
      "loan_fee": 0.1,
      "day_basis": 365,
      "same_day_order": "收入后支出",
      "cash_interest": 0
    },
    "default": {
      "need": 15.0,
      "sold_face": 15.306122448979592,
      "sale_cost": 0.3061224489795915,
      "loan_interest": 0.17260273972602738,
      "loan_cost": 0.2726027397260274,
      "cash120_A": 44.69387755102041,
      "cash120_B_conditional": 44.727397260273975,
      "terminal_A": 24.693877551020407,
      "terminal_B_conditional": 24.727397260273975,
      "max_project_A": 19.693877551020407,
      "max_project_B_if_timely": 19.727397260273975,
      "B_on_time": true,
      "q_limit_20pc_project18": 8.469387755102034
    },
    "haircut_5pc": {
      "need": 15.0,
      "sold_face": 15.789473684210527,
      "sale_cost": 0.7894736842105274,
      "loan_interest": 0.17260273972602738,
      "loan_cost": 0.2726027397260274,
      "cash120_A": 44.21052631578947,
      "cash120_B_conditional": 44.727397260273975,
      "terminal_A": 24.210526315789473,
      "terminal_B_conditional": 24.727397260273975,
      "max_project_A": 19.210526315789473,
      "max_project_B_if_timely": 19.727397260273975,
      "B_on_time": true,
      "q_limit_20pc_project18": 6.052631578947363
    },
    "late_loan": {
      "need": 15.0,
      "sold_face": 15.306122448979592,
      "sale_cost": 0.3061224489795915,
      "loan_interest": 0.13561643835616435,
      "loan_cost": 0.23561643835616436,
      "cash120_A": 44.69387755102041,
      "cash120_B_conditional": 44.76438356164383,
      "terminal_A": 24.693877551020407,
      "terminal_B_conditional": 24.764383561643832,
      "max_project_A": 19.693877551020407,
      "max_project_B_if_timely": 19.764383561643832,
      "B_on_time": false,
      "q_limit_20pc_project18": 8.469387755102034
    },
    "stress": {
      "project": 18,
      "loss_fraction": 0.2,
      "q_max": 8.469387755102034,
      "loss_fraction_40pc_q_max": 4.234693877551017
    },
    "author_review_boundaries": {
      "haircut_60pct": {
        "sold_face": 37.5,
        "sale_cost": 22.5,
        "cash120_A": 22.5,
        "project_max_A": null,
        "reason": "取消项目后年末储备仍不足；不显示负项目上限",
        "stress_q_limit": null,
        "stress_reason": "固定项目18后即使q=0也不能满足年末储备"
      },
      "haircut_80pct": {
        "sold_face": 75.00000000000001,
        "sale_cost": 60.000000000000014,
        "cash120_formula_only": -15.000000000000014,
        "payment_gap_day120": 15.0,
        "project_max_A": null,
        "stress_base_ready": false,
        "reason": "第120天必要支付失败；后续压力分支停止"
      },
      "late_loan_day35": {
        "payment_gap_day30": 10.0,
        "project_max_B": null,
        "reason": "资金在第一支付后才到账，B不可执行"
      }
    }
  },
  "SIM-P02-FLOWS-01": {
    "inputs": {
      "v0": 10000,
      "r1": -0.1815,
      "r2": 0.2624,
      "timing": 1,
      "additional_amount": 10000
    },
    "default": {
      "initial": 10000.0,
      "pre": 8185.0,
      "post": 18185.0,
      "final": 22956.744,
      "twr": 0.03327440000000004,
      "twr_annual": 0.01650105754986808,
      "mwr": 0.0955169695117628,
      "investor_cash": [
        -10000.0,
        -10000.0,
        22956.744
      ]
    },
    "no_flow": {
      "initial": 10000.0,
      "pre": 8185.0,
      "post": 8185.0,
      "final": 10332.744,
      "twr": 0.03327440000000004,
      "twr_annual": 0.01650105754986808,
      "mwr": 0.01650105754986808,
      "investor_cash": [
        -10000.0,
        0,
        10332.744
      ]
    },
    "add5000": {
      "initial": 10000.0,
      "pre": 8185.0,
      "post": 13185.0,
      "final": 16644.744,
      "twr": 0.03327440000000004,
      "twr_annual": 0.01650105754986808,
      "mwr": 0.06414397993522769,
      "investor_cash": [
        -10000.0,
        -5000,
        16644.744
      ]
    },
    "withdraw4000": {
      "initial": 10000.0,
      "pre": 8185.0,
      "post": 4185.0,
      "final": 5283.144,
      "twr": 0.03327440000000004,
      "twr_annual": 0.01650105754986808,
      "mwr": -0.04613369885635543,
      "investor_cash": [
        -10000.0,
        4000,
        5283.144
      ]
    },
    "initial_extra10000": {
      "initial": 20000.0,
      "pre": 16370.0,
      "post": 16370.0,
      "final": 20665.488,
      "twr": 0.03327440000000004,
      "twr_annual": 0.01650105754986808,
      "mwr": 0.01650105754986808,
      "investor_cash": [
        -20000.0,
        0,
        20665.488
      ]
    },
    "missing_valuation": {
      "v0": 100,
      "flow": 100,
      "final": 240,
      "pre80_twr": 0.06666666666666665,
      "pre120_twr": 0.3090909090909091,
      "mwr": 0.12788205960997057
    },
    "multiple_irr": {
      "cashflows": [
        -100,
        230,
        -132
      ],
      "valid_irr_roots": [
        0.1,
        0.2
      ]
    },
    "tax_inflation_separate_sim": {
      "initial": 100,
      "before_fee_end": 110,
      "fee": 2,
      "tax_rate_on_after_fee_gain": 0.2,
      "tax": 1.6,
      "end": 106.4,
      "inflation": 0.05,
      "real_return": 0.01333333333333342
    },
    "timing_semantics": {
      "timing_1": "边界额外金额：正数=追加，负数=组合建立后的取款",
      "timing_0": "计量区间开始前调整起始承诺；负数=初始投入较少，不称期间取款"
    }
  },
  "SIM-P03-PATH-01": {
    "inputs": {
      "A": [
        100,
        120,
        96
      ],
      "B": [
        100,
        60,
        96
      ],
      "withdrawal": 50,
      "target": 40
    },
    "A": {
      "mdd": 0.19999999999999996,
      "withdrawal": 50,
      "payment_gap": 0,
      "remaining_units": 0.5833333333333333,
      "terminal": 55.99999999999999,
      "terminal_shortfall": 0
    },
    "B": {
      "mdd": 0.4,
      "withdrawal": 50,
      "payment_gap": 0,
      "remaining_units": 0.16666666666666663,
      "terminal": 15.999999999999996,
      "terminal_shortfall": 24.000000000000004
    },
    "withdraw70_A": {
      "mdd": 0.19999999999999996,
      "withdrawal": 70,
      "payment_gap": 0,
      "remaining_units": 0.41666666666666663,
      "terminal": 40.0,
      "terminal_shortfall": 0
    },
    "withdraw70_B": {
      "mdd": 0.4,
      "withdrawal": 70,
      "payment_gap": 10,
      "remaining_units": null,
      "terminal": null,
      "terminal_shortfall": null
    }
  },
  "SIM-P03-TAIL-01": {
    "inputs": {
      "losses": [
        0,
        10,
        100
      ],
      "probabilities": [
        0.94,
        0.05,
        0.01
      ],
      "confidence": 0.95
    },
    "default": {
      "confidence": 0.95,
      "max_loss": 100,
      "var": 10,
      "es": 27.999999999999982,
      "mass_above": 0.01,
      "mass_at_q_used": 0.04000000000000004
    },
    "c99": {
      "confidence": 0.99,
      "max_loss": 100,
      "var": 10,
      "es": 99.99999999999991,
      "mass_above": 0.01,
      "mass_at_q_used": 8.673617379884035e-18
    },
    "c995": {
      "confidence": 0.995,
      "max_loss": 100,
      "var": 100,
      "es": 100.0,
      "mass_above": 0,
      "mass_at_q_used": 0.0050000000000000044
    },
    "max200": {
      "confidence": 0.95,
      "max_loss": 200,
      "var": 10,
      "es": 47.999999999999964,
      "mass_above": 0.01,
      "mass_at_q_used": 0.04000000000000004
    },
    "mean_loss": 1.5,
    "conditional_ge_10": 25,
    "conditional_gt_10": 100
  },
  "SIM-P06-LOOKTHROUGH-01": {
    "inputs": {
      "wealth0": 100,
      "fund_weight": 0.6,
      "top_group": 0.379,
      "group_return": -0.3,
      "rest_return": 0,
      "cash_return": 0
    },
    "group_exposure": 0.2274,
    "rest_exposure": 0.3726,
    "return": -0.06821999999999999,
    "final": 93.17800000000001,
    "with_rest_down10pc_return": -0.10547999999999999,
    "with_rest_down10pc_final": 89.45200000000001
  },
  "SIM-P06-COV-01": {
    "inputs": {
      "wA": 0.6,
      "wB": 0.4,
      "sigmaA": 0.2,
      "sigmaB": 0.1,
      "rho": -0.5,
      "period": "one year model"
    },
    "default": {
      "rho": -0.5,
      "variance": 0.0112,
      "volatility": 0.10583005244258362,
      "beta_to_A": 0.4999999999999999,
      "beta_to_B": -0.19999999999999996
    },
    "rho_positive_half": {
      "rho": 0.5,
      "variance": 0.0208,
      "volatility": 0.14422205101855956,
      "beta_to_A": 0.6999999999999998,
      "beta_to_B": 1.0
    },
    "rho0": {
      "rho": 0,
      "variance": 0.016,
      "volatility": 0.12649110640673517,
      "beta_to_A": 0.5999999999999999,
      "beta_to_B": 0.4
    },
    "rho_minus_one": {
      "rho": -1,
      "variance": 0.0063999999999999994,
      "volatility": 0.08,
      "beta_to_A": 0.3999999999999999,
      "beta_to_B": -0.7999999999999998
    },
    "rho_one": {
      "rho": 1,
      "variance": 0.0256,
      "volatility": 0.16,
      "beta_to_A": 0.7999999999999998,
      "beta_to_B": 1.6
    },
    "negative_corr_balanced": {
      "rho": -1,
      "variance": 0.0,
      "volatility": 0.0,
      "beta_to_A": -8.673617379884034e-17,
      "beta_to_B": 0.0
    },
    "equal_weight_extension": {
      "sigma": 0.2,
      "rho": 0.4,
      "n1": 0.2,
      "n10": 0.13564659966250536,
      "n100": 0.12743625857659194,
      "limit": 0.1264911064067352
    },
    "model_conditions": [
      "same_horizon",
      "same_return_definition",
      "same_numeraire_currency",
      "finite_second_moments",
      "fixed_start_weights_for_single_period_identity"
    ]
  }
}