Add capital efficiency risk simulation

config/capital-efficiency-policy.json

@@ -0,0 +1,92 @@
+{
+  "$schema": "https://json-schema.org/draft/2020-12/schema",
+  "description": "Simulation-only capital efficiency policy for Chain 138/cW PMM treasury risk modeling. This is not a live leverage or mint/redemption contract configuration.",
+  "version": "1.0.0",
+  "updated": "2026-04-27",
+  "defaults": {
+    "paths": 1000,
+    "epochs": 365,
+    "seed": 138001,
+    "initialCapital": 1000000,
+    "alpha": 0.7,
+    "leverage": 2,
+    "spreadBps": 35,
+    "volumeEfficiency": 2,
+    "pmmK": 0.1,
+    "liquidityTargetUnits": 1000000
+  },
+  "parameterBands": {
+    "alphaBalanced": [0.65, 0.75],
+    "alphaYieldDominant": [0.75, 0.9],
+    "leverageSafe": [1, 1],
+    "leverageTarget": [2, 3],
+    "leverageUnstableAbove": 4,
+    "spreadCompetitiveBps": 10,
+    "spreadTargetBps": [30, 50],
+    "spreadVolumeRiskCeilingBps": 100,
+    "volumeEfficiencyPassive": 1,
+    "volumeEfficiencyActive": [2, 4],
+    "volumeEfficiencyHighlyOptimizedAbove": 5
+  },
+  "treasury": {
+    "yieldRatePerEpoch": 0.00035,
+    "volatilityDragLambda": 0.35,
+    "marketMakingScale": 0.04
+  },
+  "volatilityProcess": {
+    "sigma0": 0.03,
+    "sigmaBar": 0.03,
+    "kappa": 0.08,
+    "eta": 0.01
+  },
+  "pegDynamics": {
+    "p0": 1,
+    "beta": 0.25,
+    "imbalanceStd": 0.01,
+    "arbLiquidityCoefficient": 0.65
+  },
+  "risk": {
+    "minExternalLiquidityPct": 0.2,
+    "maxLtvBps": 6500,
+    "hardMaxLtvBps": 7500,
+    "liquidationLtvBps": 8000,
+    "hardMaxLeverage": 4,
+    "liquidationLossFraction": 0.08,
+    "sigmaCrit": 0.08,
+    "throttleLeverageMultiplier": 0.7,
+    "throttleAlphaMultiplier": 0.9,
+    "throttleSpreadBps": 50,
+    "maxSpreadBps": 100,
+    "circuitBreakerSpreadBps": 100,
+    "pegCircuitBreakerBps": 200,
+    "collateralVolatilityHaircut": 0.5,
+    "bankRunRedemptionFeeBps": 100
+  },
+  "gates": {
+    "maxDeployableLeverage": 3,
+    "maxLiquidationProbability": 0.02,
+    "maxDrawdownP95": 0.25,
+    "maxPegDeviationFrequency": 0.05,
+    "maxExternalLiquidityFloorViolations": 0
+  },
+  "optimizer": {
+    "paths": 250,
+    "maxCandidates": 250,
+    "topN": 10
+  },
+  "liveExecutionGuard": {
+    "status": "simulation_only",
+    "requiresBeforeContractWork": [
+      "smart_contract_audit_engagement",
+      "governance_approval",
+      "risk_dashboard",
+      "operator_runbook",
+      "treasury_liquidity_commitments"
+    ],
+    "auditEngagementEvidence": null,
+    "governanceApprovalEvidence": null,
+    "riskDashboardEvidence": null,
+    "operatorRunbookEvidence": null,
+    "treasuryLiquidityCommitmentEvidence": null
+  }
+}

config/scenario-schema.json

@@ -213,6 +213,69 @@
     "seed": {
       "type": "integer",
       "description": "Optional RNG seed for deterministic runs; if omitted, derived from scenario name"
+    },
+    "capitalEfficiency": {
+      "type": "object",
+      "description": "Optional simulation-only treasury/risk Monte Carlo overlay. Does not configure live contracts.",
+      "properties": {
+        "enabled": { "type": "boolean", "default": false },
+        "paths": { "type": "integer", "minimum": 1 },
+        "epochs": { "type": "integer", "minimum": 1 },
+        "seed": { "type": "integer" },
+        "initialCapital": { "type": "number", "minimum": 0 },
+        "alpha": { "type": "number", "minimum": 0, "maximum": 1 },
+        "leverage": { "type": "number", "minimum": 1 },
+        "spreadBps": { "type": "number", "minimum": 0 },
+        "volumeEfficiency": { "type": "number", "minimum": 0 },
+        "pmmK": { "type": "number", "minimum": 0 },
+        "liquidityTargetUnits": { "type": "number", "minimum": 0 },
+        "treasury": { "type": "object" },
+        "volatilityProcess": {
+          "type": "object",
+          "properties": {
+            "sigma0": { "type": "number", "minimum": 0 },
+            "sigmaBar": { "type": "number", "minimum": 0 },
+            "kappa": { "type": "number", "minimum": 0 },
+            "eta": { "type": "number", "minimum": 0 }
+          }
+        },
+        "pegDynamics": {
+          "type": "object",
+          "properties": {
+            "p0": { "type": "number" },
+            "beta": { "type": "number" },
+            "imbalanceStd": { "type": "number", "minimum": 0 },
+            "arbLiquidityCoefficient": { "type": "number", "minimum": 0 }
+          }
+        },
+        "risk": { "type": "object" },
+        "stress": {
+          "type": "object",
+          "properties": {
+            "preset": {
+              "type": "string",
+              "enum": ["crash_40pct_external_asset", "high_vol_sigma_spike", "bank_run_redemption_spike", "bridge_shock"]
+            },
+            "epoch": { "type": "integer", "minimum": 0 },
+            "durationEpochs": { "type": "integer", "minimum": 1 },
+            "externalAssetReturn": { "type": "number" },
+            "sigmaAdd": { "type": "number" },
+            "redemptionFraction": { "type": "number", "minimum": 0 },
+            "imbalanceAdd": { "type": "number" },
+            "events": { "type": "array", "items": { "type": "object" } }
+          }
+        },
+        "optimizer": {
+          "type": "object",
+          "properties": {
+            "enabled": { "type": "boolean", "default": false },
+            "paths": { "type": "integer", "minimum": 1 },
+            "topN": { "type": "integer", "minimum": 1 },
+            "maxCandidates": { "type": "integer", "minimum": 1 },
+            "grid": { "type": "object" }
+          }
+        }
+      }
     }
   }
 }

config/scenarios/bank_run_redemption_spike.json

@@ -0,0 +1,38 @@
+{
+  "scenario": "bank_run_redemption_spike",
+  "graphMode": "design",
+  "topology": "hub",
+  "chainsIncluded": ["1", "56", "137"],
+  "tokensIncluded": ["cWUSDT", "cWUSDC"],
+  "epochBlocks": 300,
+  "epochs": 180,
+  "orderflowModel": {
+    "distribution": "pareto",
+    "volumeMinUnits": 2500,
+    "volumeMaxUnits": 80000,
+    "tradesPerEpoch": 25,
+    "paretoAlpha": 1.8
+  },
+  "oracleModel": "static",
+  "latencyModel": {
+    "finalityBlocksPerChainPair": {},
+    "rhoPerBlockBps": 0.5
+  },
+  "capitalEfficiency": {
+    "enabled": true,
+    "paths": 1000,
+    "epochs": 180,
+    "seed": 138403,
+    "initialCapital": 1000000,
+    "alpha": 0.68,
+    "leverage": 2,
+    "spreadBps": 45,
+    "volumeEfficiency": 2.5,
+    "stress": {
+      "preset": "bank_run_redemption_spike",
+      "epoch": 30,
+      "durationEpochs": 12,
+      "redemptionFraction": 0.25
+    }
+  }
+}

config/scenarios/chain138_deployed_capital_efficiency.json

@@ -0,0 +1,31 @@
+{
+  "scenario": "chain138_deployed_capital_efficiency",
+  "graphMode": "deployed",
+  "topology": "hub",
+  "chainsIncluded": ["138"],
+  "tokensIncluded": ["cUSDT", "cUSDC", "cEURC", "cEURT", "cXAUC", "cXAUT"],
+  "epochBlocks": 300,
+  "epochs": 120,
+  "orderflowModel": {
+    "distribution": "uniform",
+    "volumeMinUnits": 1000,
+    "volumeMaxUnits": 25000,
+    "tradesPerEpoch": 12
+  },
+  "oracleModel": "static",
+  "latencyModel": {
+    "finalityBlocksPerChainPair": {},
+    "rhoPerBlockBps": 0.5
+  },
+  "capitalEfficiency": {
+    "enabled": true,
+    "paths": 500,
+    "epochs": 120,
+    "seed": 138405,
+    "initialCapital": 1000000,
+    "alpha": 0.7,
+    "leverage": 2,
+    "spreadBps": 35,
+    "volumeEfficiency": 2
+  }
+}

config/scenarios/crash_40pct_external_asset.json

@@ -0,0 +1,35 @@
+{
+  "scenario": "crash_40pct_external_asset",
+  "graphMode": "design",
+  "topology": "hub",
+  "chainsIncluded": ["1", "56", "137"],
+  "tokensIncluded": ["cWUSDT", "cWUSDC"],
+  "epochBlocks": 300,
+  "epochs": 180,
+  "orderflowModel": {
+    "distribution": "uniform",
+    "volumeMinUnits": 5000,
+    "volumeMaxUnits": 30000,
+    "tradesPerEpoch": 15
+  },
+  "oracleModel": "static",
+  "latencyModel": {
+    "finalityBlocksPerChainPair": {},
+    "rhoPerBlockBps": 0.5
+  },
+  "capitalEfficiency": {
+    "enabled": true,
+    "paths": 1000,
+    "epochs": 180,
+    "seed": 138401,
+    "initialCapital": 1000000,
+    "alpha": 0.7,
+    "leverage": 2.5,
+    "spreadBps": 40,
+    "volumeEfficiency": 2.5,
+    "stress": {
+      "preset": "crash_40pct_external_asset",
+      "epoch": 30
+    }
+  }
+}

config/scenarios/high_vol_sigma_spike.json

@@ -0,0 +1,37 @@
+{
+  "scenario": "high_vol_sigma_spike",
+  "graphMode": "design",
+  "topology": "hub",
+  "chainsIncluded": ["1", "56", "137"],
+  "tokensIncluded": ["cWUSDT", "cWUSDC"],
+  "epochBlocks": 300,
+  "epochs": 180,
+  "orderflowModel": {
+    "distribution": "lognormal",
+    "volumeMinUnits": 1000,
+    "volumeMaxUnits": 60000,
+    "tradesPerEpoch": 20
+  },
+  "oracleModel": "static",
+  "latencyModel": {
+    "finalityBlocksPerChainPair": {},
+    "rhoPerBlockBps": 0.5
+  },
+  "capitalEfficiency": {
+    "enabled": true,
+    "paths": 1000,
+    "epochs": 180,
+    "seed": 138402,
+    "initialCapital": 1000000,
+    "alpha": 0.72,
+    "leverage": 2.5,
+    "spreadBps": 40,
+    "volumeEfficiency": 3,
+    "stress": {
+      "preset": "high_vol_sigma_spike",
+      "epoch": 30,
+      "durationEpochs": 36,
+      "sigmaAdd": 0.08
+    }
+  }
+}

config/scenarios/leverage_sweep_1x_to_4x.json

@@ -0,0 +1,43 @@
+{
+  "scenario": "leverage_sweep_1x_to_4x",
+  "graphMode": "design",
+  "topology": "hub",
+  "chainsIncluded": ["1", "56", "137"],
+  "tokensIncluded": ["cWUSDT", "cWUSDC"],
+  "epochBlocks": 300,
+  "epochs": 180,
+  "orderflowModel": {
+    "distribution": "uniform",
+    "volumeMinUnits": 5000,
+    "volumeMaxUnits": 30000,
+    "tradesPerEpoch": 15
+  },
+  "oracleModel": "static",
+  "latencyModel": {
+    "finalityBlocksPerChainPair": {},
+    "rhoPerBlockBps": 0.5
+  },
+  "capitalEfficiency": {
+    "enabled": true,
+    "paths": 1000,
+    "epochs": 180,
+    "seed": 138404,
+    "initialCapital": 1000000,
+    "alpha": 0.7,
+    "leverage": 2,
+    "spreadBps": 40,
+    "volumeEfficiency": 2.5,
+    "optimizer": {
+      "enabled": true,
+      "paths": 250,
+      "topN": 12,
+      "grid": {
+        "alpha": [0.65, 0.7, 0.75, 0.8],
+        "leverage": [1, 2, 2.5, 3, 3.5, 4],
+        "spreadBps": [30, 40, 50],
+        "pmmK": [0.1, 0.15],
+        "liquidityTargetUnits": [500000, 1000000]
+      }
+    }
+  }
+}

config/scorecard-schema.json

@@ -169,6 +169,36 @@
           }
         }
       }
-    }
+    },
+    "capital_efficiency_enabled": {
+      "type": "boolean",
+      "description": "True when the simulation-only capital efficiency Monte Carlo overlay was run"
+    },
+    "capital_efficiency_paths": { "type": "integer", "minimum": 1 },
+    "capital_efficiency_epochs": { "type": "integer", "minimum": 1 },
+    "initial_capital": { "type": "number", "minimum": 0 },
+    "alpha": { "type": "number", "minimum": 0, "maximum": 1 },
+    "leverage": { "type": "number", "minimum": 1 },
+    "spread_bps": { "type": "number", "minimum": 0 },
+    "volume_efficiency": { "type": "number", "minimum": 0 },
+    "pmm_k": { "type": "number", "minimum": 0 },
+    "liquidity_target_units": { "type": "number", "minimum": 0 },
+    "roi_mean": { "type": "number" },
+    "roi_p05": { "type": "number" },
+    "roi_p95": { "type": "number" },
+    "pnl_distribution": {
+      "type": "object",
+      "properties": {
+        "p05": { "type": "number" },
+        "p50": { "type": "number" },
+        "p95": { "type": "number" }
+      }
+    },
+    "max_drawdown_p95": { "type": "number", "minimum": 0 },
+    "liquidation_probability": { "type": "number", "minimum": 0, "maximum": 1 },
+    "peg_deviation_frequency": { "type": "number", "minimum": 0, "maximum": 1 },
+    "external_liquidity_floor_violations": { "type": "integer", "minimum": 0 },
+    "volatility_throttle_events": { "type": "integer", "minimum": 0 },
+    "spread_adjustment_events": { "type": "integer", "minimum": 0 }
   }
 }