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| """Valuation benchmark: task definitions and ground-truth construction. | |
| Produces the artifacts required for the benchmark tasks T2-T7: | |
| T2 - Company Valuation Accuracy (public company, all observables) | |
| T3 - Financial Statement Generation Quality | |
| T4 - Scenario-Conditioned Forecasting (ground truth only; scenarios | |
| themselves are produced by `generate_scenarios.py`) | |
| T5 - Private Company Valuation (PE simulation, financials + sector only) | |
| T6 - Generator Evaluation (NL description -> XBRL fields) | |
| T7 - Real Estate Valuation | |
| Called from `assemble_benchmark.py` as the final Layer-3 build step. | |
| Lives at the top level of `whatif_bench/` -- a peer of the other | |
| benchmark builders (`assemble_benchmark.py`, `generate_scenarios.py`, | |
| `enrich_benchmark.py`, `build_ontology.py`). NOT under `agents/`: | |
| agents USE the benchmark, they don't BUILD it. | |
| Usage: | |
| from projects.agent_builder.scripts.whatif_bench.build_valuation_tasks import ( | |
| build_valuation_benchmark, | |
| ) | |
| summary = build_valuation_benchmark(granularity="daily") | |
| """ | |
| from __future__ import annotations | |
| import json | |
| import logging | |
| from pathlib import Path | |
| from typing import Any | |
| import numpy as np | |
| import pandas as pd | |
| from . import config | |
| logger = logging.getLogger(__name__) | |
| # Columns that are algebraically equivalent to (or directly reveal) | |
| # market capitalisation. These MUST be excluded from any valuation-task | |
| # input whose target is actual_market_cap, otherwise the task degenerates | |
| # into trivial recovery. Used by Task A (and Task D's broader strip). | |
| # derived_pe = market_cap / earnings | |
| # derived_ev = market_cap + debt - cash | |
| # derived_ev_to_revenue = ev / revenue (reveals mcap) | |
| # derived_ev_to_ebitda = ev / ebitda (reveals mcap) | |
| # derived_pb = market_cap / book_equity | |
| # derived_price_to_book = alias for derived_pb | |
| # derived_fcf_yield = fcf / market_cap | |
| _MARKET_CAP_LEAKAGE_COLS: frozenset[str] = frozenset({ | |
| "derived_market_cap", | |
| "derived_pe", | |
| "derived_ev", | |
| "derived_ev_to_revenue", | |
| "derived_ev_to_ebitda", | |
| "derived_pb", | |
| "derived_price_to_book", | |
| "derived_fcf_yield", | |
| }) | |
| # =================================================================== | |
| # Task A: Company Valuation Ground Truth | |
| # =================================================================== | |
| def _build_task_a( | |
| panel: pd.DataFrame, | |
| company_info: pd.DataFrame, | |
| holdout_tickers: list[str], | |
| output_dir: Path, | |
| ) -> dict[str, Any]: | |
| """Build Task A: estimate intrinsic value of public companies. | |
| For each quarterly boundary × ticker, create: | |
| - input: company description, sector, industry, recent financials | |
| - target: actual market cap (hidden) | |
| """ | |
| # Quarterly boundaries (resample to quarter-end dates) | |
| if "derived_market_cap" not in panel.columns: | |
| logger.warning("derived_market_cap not in panel; skipping Task A") | |
| return {"error": "No market cap data"} | |
| # Use panel data at quarterly frequency | |
| quarterly = panel.copy() | |
| quarterly["date"] = pd.to_datetime(quarterly["date"]) | |
| quarterly["quarter"] = quarterly["date"].dt.to_period("Q") | |
| # Take last observation per ticker × quarter | |
| quarterly = quarterly.sort_values("date").drop_duplicates( | |
| subset=["ticker", "quarter"], keep="last", | |
| ) | |
| # Split: holdout tickers = evaluation, rest = context | |
| eval_mask = quarterly["ticker"].isin(holdout_tickers) | |
| eval_df = quarterly[eval_mask].copy() | |
| if eval_df.empty: | |
| return {"error": "No holdout tickers found in panel"} | |
| # Build inputs (observable data). derived_* columns that are | |
| # algebraic functions of market_cap are excluded -- they would let any | |
| # model recover the target trivially. See _MARKET_CAP_LEAKAGE_COLS | |
| # at the top of this module for the rationale per column. | |
| input_cols = ["ticker", "date", "sector", "industry"] | |
| for c in quarterly.columns: | |
| if c in _MARKET_CAP_LEAKAGE_COLS: | |
| continue | |
| if c.startswith("derived_") or c.startswith("stmt_"): | |
| input_cols.append(c) | |
| input_cols = [c for c in input_cols if c in eval_df.columns] | |
| inputs = eval_df[input_cols].copy() | |
| # Build ground truth (hidden) | |
| gt = eval_df[["ticker", "date", "derived_market_cap"]].copy() | |
| gt = gt.rename(columns={"derived_market_cap": "actual_market_cap"}) | |
| gt = gt.dropna(subset=["actual_market_cap"]) | |
| # Save | |
| inputs.to_parquet(output_dir / "valuation_inputs.parquet", index=False) | |
| gt.to_parquet(output_dir / "valuation_ground_truth.parquet", index=False) | |
| return { | |
| "n_tickers": gt["ticker"].nunique(), | |
| "n_instances": len(gt), | |
| "date_range": [str(gt["date"].min()), str(gt["date"].max())], | |
| } | |
| # =================================================================== | |
| # Task B: Financial Statement Generation Ground Truth | |
| # =================================================================== | |
| def _build_task_b( | |
| company_info: pd.DataFrame, | |
| holdout_tickers: list[str], | |
| output_dir: Path, | |
| ) -> dict[str, Any]: | |
| """Build Task B: generate plausible financial statements. | |
| For holdout tickers, the latest XBRL filings serve as ground truth. | |
| Input: company profile (sector, industry, size description). | |
| Target: actual XBRL financial statements. | |
| """ | |
| # Load XBRL company tags (latest values) | |
| tags_path = config.XBRL_DIR / "parsed" / "company_tags.parquet" | |
| if not tags_path.exists(): | |
| logger.warning("XBRL company_tags not found; skipping Task B") | |
| return {"error": "No XBRL data"} | |
| tags = pd.read_parquet(tags_path) | |
| holdout_tags = tags[tags["ticker"].isin(holdout_tickers)] | |
| if holdout_tags.empty: | |
| return {"error": "No XBRL tags for holdout tickers"} | |
| # Input: company descriptions | |
| inputs = company_info[company_info["ticker"].isin(holdout_tickers)].copy() | |
| if inputs.empty: | |
| inputs = pd.DataFrame({"ticker": holdout_tickers}) | |
| # Ground truth: XBRL tags (field/value pairs) | |
| gt_rows = [] | |
| for _, row in holdout_tags.iterrows(): | |
| gt_rows.append({ | |
| "ticker": row["ticker"], | |
| "field": row["tag"], | |
| "value": row["value"], | |
| "taxonomy": row.get("taxonomy", ""), | |
| "unit": row.get("unit", ""), | |
| "fiscal_year": row.get("fiscal_year"), | |
| }) | |
| gt = pd.DataFrame(gt_rows) | |
| # Save | |
| inputs.to_parquet(output_dir / "generation_inputs.parquet", index=False) | |
| gt.to_parquet(output_dir / "generation_ground_truth.parquet", index=False) | |
| return { | |
| "n_tickers": gt["ticker"].nunique(), | |
| "n_fields": gt["field"].nunique(), | |
| "n_instances": len(gt), | |
| } | |
| # =================================================================== | |
| # Task C: Scenario-Conditioned Forecasting Ground Truth | |
| # =================================================================== | |
| def _build_task_c( | |
| panel: pd.DataFrame, | |
| scenarios: pd.DataFrame, | |
| output_dir: Path, | |
| ) -> dict[str, Any]: | |
| """Build Task C: forecast financial impact of what-if scenarios. | |
| Extends existing scenarios with actual post-event changes in: | |
| - price return (already in scenarios) | |
| - revenue change (from panel statements) | |
| - market cap change | |
| Vectorised: pre-groups panel by ticker, then uses numpy searchsorted | |
| to avoid O(scenarios × tickers × rows) repeated DataFrame filtering. | |
| """ | |
| if scenarios.empty: | |
| return {"error": "No scenarios"} | |
| panel = panel.copy() | |
| panel["date"] = pd.to_datetime(panel["date"]) | |
| has_mcap = "derived_market_cap" in panel.columns | |
| # Pre-group: store sorted arrays per ticker (avoids repeated filtering) | |
| ticker_arrays: dict[str, dict] = {} | |
| for ticker, grp in panel.groupby("ticker", sort=False): | |
| grp = grp.sort_values("date") | |
| td = { | |
| "dates": grp["date"].values.astype("int64"), | |
| "close": grp["close"].values, | |
| } | |
| if has_mcap: | |
| td["mcap"] = grp["derived_market_cap"].values | |
| ticker_arrays[ticker] = td | |
| # Pre-extract scenario arrays | |
| n_sc = len(scenarios) | |
| sc_ids = scenarios["scenario_id"].values | |
| sc_types = scenarios["event_type"].values if "event_type" in scenarios.columns else [""] * n_sc | |
| sc_event_dates = pd.to_datetime(scenarios["event_date"]).values.astype("int64") | |
| sc_pre_starts = pd.to_datetime( | |
| scenarios.get("pre_window_start", scenarios["event_date"]) | |
| ).values.astype("int64") | |
| sc_post_ends = pd.to_datetime( | |
| scenarios.get("post_window_end", scenarios["event_date"]) | |
| ).values.astype("int64") | |
| gt_rows = [] | |
| for ticker, td in ticker_arrays.items(): | |
| dates = td["dates"] | |
| close = td["close"] | |
| mcap = td.get("mcap") | |
| for i in range(n_sc): | |
| ev_ns = sc_event_dates[i] | |
| pre_ns = sc_pre_starts[i] | |
| post_ns = sc_post_ends[i] | |
| # Pre: last index where pre_start <= date < event_date | |
| pre_lo = np.searchsorted(dates, pre_ns, side="left") | |
| pre_hi = np.searchsorted(dates, ev_ns, side="left") | |
| if pre_hi <= pre_lo: | |
| continue | |
| pre_idx = pre_hi - 1 | |
| # Post: last index where event_date < date <= post_end | |
| post_lo = np.searchsorted(dates, ev_ns, side="right") | |
| post_hi = np.searchsorted(dates, post_ns, side="right") | |
| if post_hi <= post_lo: | |
| continue | |
| post_idx = post_hi - 1 | |
| pre_price = float(close[pre_idx]) | |
| post_price = float(close[post_idx]) | |
| # Exclude penny-stock data points (pre-event price < $0.50): a | |
| # one-cent move at $0.001 produces a 1000% "return" that's | |
| # float noise rather than scenario response. The cutoff matches | |
| # the SEC's penny-stock threshold and removes ~145 of 4.1M rows | |
| # that account for all returns >|10000%|. | |
| if pre_price < 0.50: | |
| continue | |
| price_return = (post_price / pre_price - 1) * 100 | |
| mcap_return = np.nan | |
| if mcap is not None: | |
| pre_m = float(mcap[pre_idx]) | |
| post_m = float(mcap[post_idx]) | |
| if not np.isnan(pre_m) and pre_m > 0: | |
| mcap_return = (post_m / pre_m - 1) * 100 | |
| gt_rows.append({ | |
| "scenario_id": sc_ids[i], | |
| "event_type": sc_types[i], | |
| "event_date": str(pd.Timestamp(ev_ns).date()), | |
| "ticker": ticker, | |
| "actual_return_pct": round(price_return, 3) if not np.isnan(price_return) else None, | |
| "actual_mcap_change_pct": round(mcap_return, 3) if not np.isnan(mcap_return) else None, | |
| "pre_price": round(pre_price, 2), | |
| "post_price": round(post_price, 2), | |
| }) | |
| if not gt_rows: | |
| return {"error": "No scenario × ticker pairs with data"} | |
| gt = pd.DataFrame(gt_rows) | |
| gt.to_parquet(output_dir / "scenario_forecast_ground_truth.parquet", index=False) | |
| return { | |
| "n_scenarios": gt["scenario_id"].nunique(), | |
| "n_tickers": gt["ticker"].nunique(), | |
| "n_instances": len(gt), | |
| "event_types": gt["event_type"].value_counts().to_dict(), | |
| } | |
| # =================================================================== | |
| # Task E: Generator Evaluation (Financial Generation Quality) | |
| # =================================================================== | |
| # Maps Generator output columns to XBRL ground-truth tag names. | |
| # The Generator produces columns like "revenue", "net_income", etc. | |
| # while XBRL ground truth uses US-GAAP tag names like "Revenues", | |
| # "NetIncomeLoss", etc. This mapping bridges the two. | |
| _GENERATOR_TO_XBRL: dict[str, list[str]] = { | |
| "revenue": ["Revenues", "RevenueFromContractWithCustomerExcludingAssessedTax", "SalesRevenueNet"], | |
| "net_income": ["NetIncomeLoss"], | |
| "gross_profit": ["GrossProfit"], | |
| "operating_income": ["OperatingIncomeLoss"], | |
| "total_assets": ["Assets"], | |
| "total_equity": ["StockholdersEquity", "StockholdersEquityIncludingPortionAttributableToNoncontrollingInterest"], | |
| "total_debt": ["LongTermDebt", "LongTermDebtNoncurrent"], | |
| "cash_and_equivalents": ["CashAndCashEquivalentsAtCarryingValue", "CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalents"], | |
| "operating_cash_flow": ["NetCashProvidedByUsedInOperatingActivities"], | |
| "capital_expenditure": ["PaymentsToAcquirePropertyPlantAndEquipment"], | |
| "interest_expense": ["InterestExpense"], | |
| "ebitda": ["EBITDA"], # often not a direct XBRL tag; may need derivation | |
| } | |
| def _build_task_e( | |
| company_info: pd.DataFrame, | |
| holdout_tickers: list[str], | |
| output_dir: Path, | |
| ) -> dict[str, Any]: | |
| """Build Task E: evaluate financial generation quality. | |
| For each holdout ticker, the task is: given only the company's sector, | |
| industry, and a text description → generate plausible financial | |
| statements. Ground truth comes from actual XBRL filings. | |
| This task evaluates the Generator agent's ability to produce realistic | |
| financials for an unseen company, measured by per-field MAPE against | |
| the latest actual filings. | |
| The difference from Task B: Task B evaluates any model's field-level | |
| predictions using raw XBRL tags. Task E specifically provides inputs | |
| in the format the Generator agent expects (company description, sector) | |
| and maps its output columns to XBRL ground truth, so the Generator | |
| agent can be directly evaluated. | |
| """ | |
| # Load XBRL company tags (latest values) | |
| tags_path = config.XBRL_DIR / "parsed" / "company_tags.parquet" | |
| if not tags_path.exists(): | |
| logger.warning("XBRL company_tags not found; skipping Task E") | |
| return {"error": "No XBRL data"} | |
| tags = pd.read_parquet(tags_path) | |
| holdout_tags = tags[tags["ticker"].isin(holdout_tickers)] | |
| if holdout_tags.empty: | |
| return {"error": "No XBRL tags for holdout tickers"} | |
| # Build inputs: company profile in Generator-compatible format | |
| input_rows = [] | |
| for ticker in holdout_tickers: | |
| info_row = company_info[company_info["ticker"] == ticker] | |
| if info_row.empty: | |
| sector = "Unknown" | |
| industry = "Unknown" | |
| description = f"A company with ticker {ticker}" | |
| else: | |
| r = info_row.iloc[0] | |
| sector = str(r.get("sector", "Unknown")) | |
| industry = str(r.get("industry", "Unknown")) | |
| employees = r.get("fullTimeEmployees", "") | |
| description = ( | |
| f"A {sector} company in the {industry} industry" | |
| + (f" with approximately {int(employees)} employees" if employees and not pd.isna(employees) else "") | |
| ) | |
| input_rows.append({ | |
| "ticker": ticker, | |
| "sector": sector, | |
| "industry": industry, | |
| "company_description": description, | |
| }) | |
| inputs = pd.DataFrame(input_rows) | |
| # Build ground truth: map XBRL tags to Generator column names | |
| gt_rows = [] | |
| for ticker in holdout_tickers: | |
| tk_tags = holdout_tags[holdout_tags["ticker"] == ticker] | |
| if tk_tags.empty: | |
| continue | |
| for gen_col, xbrl_tags in _GENERATOR_TO_XBRL.items(): | |
| for xbrl_tag in xbrl_tags: | |
| match = tk_tags[tk_tags["tag"] == xbrl_tag] | |
| if not match.empty: | |
| # Take the latest value | |
| latest = match.sort_values("fiscal_year", ascending=False).iloc[0] | |
| gt_rows.append({ | |
| "ticker": ticker, | |
| "generator_field": gen_col, | |
| "xbrl_tag": xbrl_tag, | |
| "value": latest["value"], | |
| "fiscal_year": latest.get("fiscal_year"), | |
| "unit": latest.get("unit", ""), | |
| }) | |
| break # take first matching XBRL tag (priority order) | |
| if not gt_rows: | |
| return {"error": "No matching XBRL tags for Generator fields"} | |
| gt = pd.DataFrame(gt_rows) | |
| # Save | |
| inputs.to_parquet(output_dir / "generator_eval_inputs.parquet", index=False) | |
| gt.to_parquet(output_dir / "generator_eval_ground_truth.parquet", index=False) | |
| logger.info( | |
| "Task E (Generator Eval): %d tickers, %d field-value pairs, %d unique fields", | |
| gt["ticker"].nunique(), len(gt), gt["generator_field"].nunique(), | |
| ) | |
| return { | |
| "n_tickers": gt["ticker"].nunique(), | |
| "n_field_value_pairs": len(gt), | |
| "n_unique_fields": gt["generator_field"].nunique(), | |
| "fields": gt["generator_field"].value_counts().to_dict(), | |
| } | |
| # =================================================================== | |
| # Task F: Real Estate Valuation (Rent/Price Estimation) | |
| # =================================================================== | |
| def _normalise_address(addr: str) -> str: | |
| """Normalise an address string for matching: lowercase, strip whitespace.""" | |
| if not isinstance(addr, str): | |
| return "" | |
| return " ".join(addr.lower().strip().split()) | |
| def _merge_rentals( | |
| props: pd.DataFrame, | |
| rentals: pd.DataFrame, | |
| ) -> pd.DataFrame: | |
| """Merge rental data into properties by normalised address or lat/lon proximity. | |
| For each property row, attempt to find a matching rental listing. | |
| Match strategy: | |
| 1. Exact normalised address match. | |
| 2. Lat/lon proximity (< 0.0005 degrees, roughly 50 m) for unmatched rows | |
| that share the same zip code. | |
| Returns the properties DataFrame with an added ``rent`` column. | |
| """ | |
| # --- Prepare normalised keys --- | |
| props = props.copy() | |
| rentals = rentals.copy() | |
| # Identify the address column in each DataFrame | |
| for col in ("formatted_address", "addressLine1", "addressFull", "address"): | |
| if col in props.columns: | |
| props["_norm_addr"] = props[col].apply(_normalise_address) | |
| break | |
| else: | |
| props["_norm_addr"] = "" | |
| for col in ("formatted_address", "addressLine1", "addressFull", "address"): | |
| if col in rentals.columns: | |
| rentals["_norm_addr"] = rentals[col].apply(_normalise_address) | |
| break | |
| else: | |
| rentals["_norm_addr"] = "" | |
| # Rename the rentals price column to rent | |
| rent_price_col = "price" # rentals.csv uses "price" for monthly rent | |
| if rent_price_col not in rentals.columns: | |
| logger.warning("rentals.csv has no 'price' column; no rent data to merge") | |
| props["rent"] = np.nan | |
| props.drop(columns=["_norm_addr"], inplace=True) | |
| return props | |
| rentals["rent"] = pd.to_numeric(rentals[rent_price_col], errors="coerce") | |
| # De-duplicate rentals: keep first (latest listing) per normalised address | |
| rentals_dedup = ( | |
| rentals[rentals["_norm_addr"] != ""] | |
| .drop_duplicates(subset=["_norm_addr"], keep="first") | |
| ) | |
| # --- Strategy 1: exact normalised address merge --- | |
| rent_lookup = rentals_dedup.set_index("_norm_addr")["rent"] | |
| props["rent"] = props["_norm_addr"].map(rent_lookup) | |
| n_addr_matched = props["rent"].notna().sum() | |
| logger.info("Task F rent merge: %d/%d matched by address", n_addr_matched, len(props)) | |
| # --- Strategy 2: lat/lon proximity for unmatched rows --- | |
| unmatched_mask = props["rent"].isna() | |
| has_coords_props = ( | |
| unmatched_mask | |
| & props.get("latitude", pd.Series(dtype=float)).notna() | |
| & props.get("longitude", pd.Series(dtype=float)).notna() | |
| ) | |
| if has_coords_props.any() and "latitude" in rentals.columns and "longitude" in rentals.columns: | |
| # Build a lookup of rentals by zip for faster spatial matching | |
| zip_col_r = "zip_code" if "zip_code" in rentals.columns else None | |
| zip_col_p = "zip_code" if "zip_code" in props.columns else None | |
| rentals_with_coords = rentals[ | |
| rentals["latitude"].notna() & rentals["longitude"].notna() & rentals["rent"].notna() | |
| ].copy() | |
| if not rentals_with_coords.empty and zip_col_r and zip_col_p: | |
| rental_groups = { | |
| z: grp[["latitude", "longitude", "rent"]].values | |
| for z, grp in rentals_with_coords.groupby(zip_col_r) | |
| } | |
| proximity_threshold = 0.0005 # ~50 m | |
| for idx in props.index[has_coords_props]: | |
| z = props.at[idx, zip_col_p] if zip_col_p else None | |
| if z not in rental_groups: | |
| continue | |
| candidates = rental_groups[z] # shape (N, 3): lat, lon, rent | |
| dlat = candidates[:, 0] - props.at[idx, "latitude"] | |
| dlon = candidates[:, 1] - props.at[idx, "longitude"] | |
| dist = np.sqrt(dlat ** 2 + dlon ** 2) | |
| best = np.argmin(dist) | |
| if dist[best] < proximity_threshold: | |
| props.at[idx, "rent"] = candidates[best, 2] | |
| n_geo_matched = props["rent"].notna().sum() - n_addr_matched | |
| logger.info("Task F rent merge: %d additional matched by lat/lon proximity", n_geo_matched) | |
| props.drop(columns=["_norm_addr"], inplace=True) | |
| return props | |
| def _build_task_f( | |
| output_dir: Path, | |
| ) -> dict[str, Any]: | |
| """Build Task F: evaluate real estate rent and price estimation. | |
| Uses collected RentCast data as ground truth. Loads both | |
| ``properties.csv`` (sale prices) and ``rentals.csv`` (monthly rents), | |
| merges them by normalised address (with lat/lon proximity fallback), | |
| and produces a combined dataset with both ``price`` and ``rent`` | |
| target columns. | |
| For each property the task is: given location (metro), property type, | |
| size (sqft, beds, baths), and year built, predict rent and/or price. | |
| The holdout is a random 30 % of combined properties (seeded). | |
| Training properties serve as the comps database. | |
| """ | |
| properties_path = config.REAL_ESTATE_DIR / "properties.csv" | |
| rentals_path = config.REAL_ESTATE_DIR / "rentals.csv" | |
| if not properties_path.exists() and not rentals_path.exists(): | |
| logger.warning("Neither properties.csv nor rentals.csv found; skipping Task F") | |
| return {"error": "No real estate data"} | |
| # ------------------------------------------------------------------ | |
| # 1. Load and standardise properties (sale price data) | |
| # ------------------------------------------------------------------ | |
| if properties_path.exists(): | |
| props = pd.read_csv(properties_path) | |
| else: | |
| props = pd.DataFrame() | |
| _rename_priority = [ | |
| ("square_footage", "sqft"), | |
| ("squareFootage", "sqft"), | |
| ("propertyType", "property_type"), | |
| ("yearBuilt", "year_built"), | |
| ("last_sale_price", "price"), | |
| ("lastSalePrice", "price"), | |
| ("zipCode", "zip_code"), | |
| ("lotSize", "lot_size"), | |
| # Address: prefer formatted_address > addressLine1 | |
| ("formatted_address", "address"), | |
| ("addressLine1", "address"), | |
| ("addressFull", "address"), | |
| ] | |
| for old_name, new_name in _rename_priority: | |
| if old_name in props.columns and new_name not in props.columns: | |
| props = props.rename(columns={old_name: new_name}) | |
| # Ensure numeric price | |
| if "price" in props.columns: | |
| props["price"] = pd.to_numeric(props["price"], errors="coerce") | |
| # Remove non-positive prices (data errors) | |
| neg_price = props["price"] <= 0 | |
| if neg_price.any(): | |
| logger.info("Task F: removing %d rows with non-positive price", neg_price.sum()) | |
| props = props[~neg_price | props["price"].isna()] | |
| # Deduplicate by address (keep first occurrence) | |
| if "address" in props.columns: | |
| before = len(props) | |
| props = props.drop_duplicates(subset=["address"], keep="first") | |
| deduped = before - len(props) | |
| if deduped > 0: | |
| logger.info("Task F: deduplicated %d rows by address", deduped) | |
| # ------------------------------------------------------------------ | |
| # 2. Load rentals and merge rent into properties | |
| # ------------------------------------------------------------------ | |
| if rentals_path.exists(): | |
| rentals_raw = pd.read_csv(rentals_path) | |
| if not rentals_raw.empty: | |
| # Standardise rental column names the same way | |
| for old_name, new_name in _rename_priority: | |
| if old_name in rentals_raw.columns and new_name not in rentals_raw.columns: | |
| rentals_raw = rentals_raw.rename(columns={old_name: new_name}) | |
| if not props.empty: | |
| props = _merge_rentals(props, rentals_raw) | |
| else: | |
| # No properties file -- use rentals as the base | |
| props = rentals_raw.copy() | |
| props["rent"] = pd.to_numeric(props.get("price", pd.Series(dtype=float)), errors="coerce") | |
| props["price"] = np.nan # no sale price available | |
| # Append rental-only rows (addresses not already in props) | |
| if not props.empty and "address" in props.columns: | |
| existing_addrs = set(props["address"].apply(_normalise_address)) | |
| if "address" in rentals_raw.columns: | |
| rentals_raw["_norm_addr"] = rentals_raw["address"].apply(_normalise_address) | |
| new_rentals = rentals_raw[~rentals_raw["_norm_addr"].isin(existing_addrs)].copy() | |
| new_rentals.drop(columns=["_norm_addr"], inplace=True) | |
| if not new_rentals.empty: | |
| new_rentals["rent"] = pd.to_numeric( | |
| new_rentals.get("price", pd.Series(dtype=float)), errors="coerce", | |
| ) | |
| # Avoid column clash: rentals "price" is rent, not sale price | |
| if "price" in new_rentals.columns: | |
| new_rentals = new_rentals.drop(columns=["price"]) | |
| new_rentals["price"] = np.nan # no sale price for rental-only rows | |
| props = pd.concat([props, new_rentals], ignore_index=True) | |
| logger.info("Task F: appended %d rental-only rows", len(new_rentals)) | |
| else: | |
| # No rentals file -- price-only (existing behaviour) | |
| props["rent"] = np.nan | |
| if props.empty: | |
| return {"error": "Empty real estate data after merge"} | |
| # Ensure rent column exists | |
| if "rent" not in props.columns: | |
| props["rent"] = np.nan | |
| # ------------------------------------------------------------------ | |
| # 3. Filter to properties with at least one target (rent or price) | |
| # ------------------------------------------------------------------ | |
| props = props.dropna(subset=["price", "rent"], how="all") | |
| if len(props) < 10: | |
| return {"error": f"Too few properties with rent/price data ({len(props)})"} | |
| # ------------------------------------------------------------------ | |
| # 3b. Per-property TIME-AXIS features | |
| # ------------------------------------------------------------------ | |
| # Each property in the RentCast snapshot carries a `last_sale_date` | |
| # (when it last changed hands). This timestamp is the per-property | |
| # historical observation that gives T7 a time axis even though the | |
| # train/test split itself is geographic (by address). Methods can use | |
| # `last_sale_date` and `years_since_last_sale` as features alongside | |
| # static attributes. | |
| SCRAPE_DATE = pd.Timestamp("2026-04-11", tz="UTC") | |
| if "last_sale_date" in props.columns: | |
| props["last_sale_date"] = pd.to_datetime( | |
| props["last_sale_date"], errors="coerce", utc=True, | |
| ) | |
| props["years_since_last_sale"] = ( | |
| (SCRAPE_DATE - props["last_sale_date"]).dt.total_seconds() / (365.25 * 86400) | |
| ) | |
| # ------------------------------------------------------------------ | |
| # 4. Address-holdout 70/30 split (seeded). T7 is a static valuation | |
| # task -- the OOD signal is across properties, not across time -- | |
| # so the train/test cutoff is geographic. The time axis lives in | |
| # the per-property features added in step 3b. | |
| # ------------------------------------------------------------------ | |
| rng = np.random.RandomState(config.BENCHMARK_SEED) | |
| holdout_mask = rng.random(len(props)) < 0.3 | |
| train_props = props[~holdout_mask].copy() | |
| test_props = props[holdout_mask].copy() | |
| # ------------------------------------------------------------------ | |
| # 5. Build inputs and ground truth | |
| # ------------------------------------------------------------------ | |
| input_candidates = [ | |
| "address", "city", "state", "zip_code", | |
| "property_type", "bedrooms", "bathrooms", "sqft", | |
| "lotSize", "lot_size", "year_built", "county", | |
| "latitude", "longitude", | |
| # Per-property time-axis features (Option B: time-aware features | |
| # alongside the static attributes; address-holdout split): | |
| "last_sale_date", "years_since_last_sale", | |
| ] | |
| input_cols = [c for c in input_candidates if c in test_props.columns] | |
| inputs = test_props[input_cols].copy() | |
| # Ground truth: address + both targets | |
| gt_cols = [] | |
| if "address" in test_props.columns: | |
| gt_cols.append("address") | |
| gt_cols.extend(["price", "rent"]) | |
| gt = test_props[gt_cols].copy() | |
| # ------------------------------------------------------------------ | |
| # 6. Save | |
| # ------------------------------------------------------------------ | |
| train_props.to_parquet(output_dir / "re_train_properties.parquet", index=False) | |
| inputs.to_parquet(output_dir / "re_eval_inputs.parquet", index=False) | |
| gt.to_parquet(output_dir / "re_eval_ground_truth.parquet", index=False) | |
| n_price = gt["price"].notna().sum() | |
| n_rent = gt["rent"].notna().sum() | |
| n_both = (gt["price"].notna() & gt["rent"].notna()).sum() | |
| logger.info( | |
| "Task F (RE Eval): %d train, %d test; price=%d, rent=%d, both=%d", | |
| len(train_props), len(test_props), n_price, n_rent, n_both, | |
| ) | |
| return { | |
| "n_train": len(train_props), | |
| "n_test": len(test_props), | |
| "n_price": int(n_price), | |
| "n_rent": int(n_rent), | |
| "n_both": int(n_both), | |
| "target_cols": ["price", "rent"], | |
| "input_cols": input_cols, | |
| } | |
| # =================================================================== | |
| # Task D: Private Company Valuation (PE Simulation) | |
| # =================================================================== | |
| # Columns derived from market price — must be stripped for private-company | |
| # simulation because a PE analyst would not have access to market data. | |
| _PRICE_DERIVED_COLS = { | |
| "derived_market_cap", "derived_pe", "derived_ev", "derived_ev_to_revenue", | |
| "derived_ev_to_ebitda", "derived_fcf_yield", "derived_pb", | |
| "derived_price_to_book", "derived_debt_to_equity", | |
| "close", "open", "high", "low", "volume", "adj_close", | |
| "shares_outstanding", | |
| } | |
| def _build_task_d( | |
| panel: pd.DataFrame, | |
| company_info: pd.DataFrame, | |
| holdout_tickers: list[str], | |
| output_dir: Path, | |
| ) -> dict[str, Any]: | |
| """Build Task D: value an unseen company as if it were private. | |
| Simulates the PE use case: the model trains on public companies where | |
| all data (including market price) is available, but at test time it | |
| receives ONLY what a PE analyst would have — financial statements, | |
| sector, and industry. All price-derived columns are stripped from | |
| the test inputs. | |
| Same holdout tickers and ground truth as Task A, different input | |
| columns. | |
| """ | |
| if "derived_market_cap" not in panel.columns: | |
| logger.warning("derived_market_cap not in panel; skipping Task D") | |
| return {"error": "No market cap data"} | |
| # Use panel data at quarterly frequency | |
| quarterly = panel.copy() | |
| quarterly["date"] = pd.to_datetime(quarterly["date"]) | |
| quarterly["quarter"] = quarterly["date"].dt.to_period("Q") | |
| # Take last observation per ticker × quarter | |
| quarterly = quarterly.sort_values("date").drop_duplicates( | |
| subset=["ticker", "quarter"], keep="last", | |
| ) | |
| # Split: holdout tickers = evaluation | |
| eval_mask = quarterly["ticker"].isin(holdout_tickers) | |
| eval_df = quarterly[eval_mask].copy() | |
| if eval_df.empty: | |
| return {"error": "No holdout tickers found in panel"} | |
| # Build inputs — ONLY what a PE analyst would have (no market data) | |
| input_cols = ["ticker", "date", "sector", "industry"] | |
| for c in quarterly.columns: | |
| if c.startswith("stmt_"): | |
| input_cols.append(c) | |
| # Include non-price-derived fundamentals (e.g. derived_effective_tax_rate, | |
| # derived_cost_of_debt, derived_beta, derived_wacc are computable from | |
| # financial statements + macro data without market price — but beta and | |
| # wacc require stock returns, so strip them too for a clean PE simulation) | |
| input_cols = [c for c in input_cols if c in eval_df.columns | |
| and c not in _PRICE_DERIVED_COLS] | |
| inputs = eval_df[input_cols].copy() | |
| # Ground truth — same as Task A | |
| gt = eval_df[["ticker", "date", "derived_market_cap"]].copy() | |
| gt = gt.rename(columns={"derived_market_cap": "actual_market_cap"}) | |
| gt = gt.dropna(subset=["actual_market_cap"]) | |
| # Save | |
| inputs.to_parquet(output_dir / "private_valuation_inputs.parquet", index=False) | |
| gt.to_parquet(output_dir / "private_valuation_ground_truth.parquet", index=False) | |
| logger.info( | |
| "Task D (Private Valuation): %d tickers, %d instances, %d input cols (no price data)", | |
| gt["ticker"].nunique(), len(gt), len(input_cols), | |
| ) | |
| return { | |
| "n_tickers": gt["ticker"].nunique(), | |
| "n_instances": len(gt), | |
| "n_input_cols": len(input_cols), | |
| "input_cols": input_cols, | |
| "date_range": [str(gt["date"].min()), str(gt["date"].max())], | |
| } | |
| # =================================================================== | |
| # Main entry point | |
| # =================================================================== | |
| def build_valuation_benchmark( | |
| granularity: str = "daily", | |
| ) -> dict[str, Any]: | |
| """Build all valuation benchmark artifacts for a given granularity. | |
| Reads from existing processed panel and benchmark data. | |
| Writes to ``benchmark/{granularity}/``. | |
| Returns summary dict with per-task statistics. | |
| """ | |
| bench_dir = config.get_benchmark_dir(granularity) | |
| bench_dir.mkdir(parents=True, exist_ok=True) | |
| # Load existing data | |
| proc_dir = config.get_processed_dir(granularity) | |
| panel_path = proc_dir / "panel.parquet" | |
| if not panel_path.exists(): | |
| # Try CSV fallback | |
| panel_path = proc_dir / "panel.csv" | |
| if not panel_path.exists(): | |
| return {"error": f"No panel data at {proc_dir}"} | |
| panel = pd.read_parquet(panel_path) if panel_path.suffix == ".parquet" else pd.read_csv(panel_path) | |
| # Company info | |
| info_path = config.FUNDAMENTALS_DIR / "company_info.csv" | |
| company_info = pd.read_csv(info_path) if info_path.exists() else pd.DataFrame() | |
| # Scenarios | |
| scenarios_path = bench_dir / "scenarios.parquet" | |
| scenarios = pd.read_parquet(scenarios_path) if scenarios_path.exists() else pd.DataFrame() | |
| # Holdout tickers (random subset, seeded for reproducibility) | |
| all_tickers = sorted(panel["ticker"].unique().tolist()) | |
| rng = np.random.RandomState(config.BENCHMARK_SEED) | |
| n_holdout = max(1, int(len(all_tickers) * config.VALUATION_HOLDOUT_RATIO)) | |
| holdout_tickers = rng.choice(all_tickers, size=n_holdout, replace=False).tolist() | |
| logger.info( | |
| "Building valuation benchmark: %d total tickers, %d holdout", | |
| len(all_tickers), len(holdout_tickers), | |
| ) | |
| # Build each task | |
| summary: dict[str, Any] = { | |
| "granularity": granularity, | |
| "n_tickers_total": len(all_tickers), | |
| "n_holdout": len(holdout_tickers), | |
| "holdout_tickers": holdout_tickers, | |
| } | |
| summary["task_a"] = _build_task_a(panel, company_info, holdout_tickers, bench_dir) | |
| summary["task_b"] = _build_task_b(company_info, holdout_tickers, bench_dir) | |
| summary["task_c"] = _build_task_c(panel, scenarios, bench_dir) | |
| summary["task_d"] = _build_task_d(panel, company_info, holdout_tickers, bench_dir) | |
| summary["task_e"] = _build_task_e(company_info, holdout_tickers, bench_dir) | |
| summary["task_f"] = _build_task_f(bench_dir) | |
| # Task definition JSON | |
| task_def = { | |
| "benchmark_name": "whatif_valuation_v1", | |
| "tasks": { | |
| "A_valuation_accuracy": { | |
| "description": "Estimate intrinsic equity value of public companies", | |
| "input": "valuation_inputs.parquet", | |
| "ground_truth": "valuation_ground_truth.parquet", | |
| "metrics": ["MAPE", "median_APE", "rank_correlation", "directional_accuracy"], | |
| "primary_metric": "MAPE", | |
| "target_col": "actual_market_cap", | |
| }, | |
| "B_statement_generation": { | |
| "description": "Generate plausible financial statements from company description", | |
| "input": "generation_inputs.parquet", | |
| "ground_truth": "generation_ground_truth.parquet", | |
| "metrics": ["per_field_MAPE", "balance_equation_accuracy", "ontology_compliance"], | |
| "primary_metric": "per_field_MAPE", | |
| }, | |
| "C_scenario_forecast": { | |
| "description": "Forecast financial impact of what-if scenarios", | |
| "input": "scenarios.parquet", | |
| "ground_truth": "scenario_forecast_ground_truth.parquet", | |
| "metrics": ["return_MAE", "directional_accuracy", "CI_calibration"], | |
| "primary_metric": "return_MAE", | |
| }, | |
| "D_private_valuation": { | |
| "description": "Value an unseen company using only financials + sector (PE simulation)", | |
| "input": "private_valuation_inputs.parquet", | |
| "ground_truth": "private_valuation_ground_truth.parquet", | |
| "metrics": ["MAPE", "median_APE", "rank_correlation", "directional_accuracy"], | |
| "primary_metric": "median_APE", | |
| "target_col": "actual_market_cap", | |
| "note": "Same holdout tickers as Task A but all price-derived columns stripped from inputs", | |
| }, | |
| "E_generator_evaluation": { | |
| "description": "Generate financial statements for unseen companies and compare to actual XBRL filings", | |
| "input": "generator_eval_inputs.parquet", | |
| "ground_truth": "generator_eval_ground_truth.parquet", | |
| "metrics": ["per_field_MAPE", "balance_equation_accuracy"], | |
| "primary_metric": "per_field_MAPE", | |
| "note": "Evaluates the Generator agent's output against actual company financials", | |
| }, | |
| "F_real_estate_valuation": { | |
| "description": "Estimate rent and price for unseen properties given location and features", | |
| "input": "re_eval_inputs.parquet", | |
| "ground_truth": "re_eval_ground_truth.parquet", | |
| "train_data": "re_train_properties.parquet", | |
| "metrics": ["rent_MAPE", "price_MAPE"], | |
| "primary_metric": "rent_MAPE", | |
| "note": "70/30 random split of RentCast properties; train set serves as comps database", | |
| }, | |
| }, | |
| "holdout_tickers": holdout_tickers, | |
| } | |
| (bench_dir / "valuation_tasks.json").write_text( | |
| json.dumps(task_def, indent=2, default=str), | |
| ) | |
| logger.info("Valuation benchmark complete: %s", summary) | |
| return summary | |