v0.2: hedge-book vs spread-book separability analysis

- pjm/design_models (EN/ZH): new §4.2 — three-layer statement (separable in
  accounting/first-order decisions, correlated in risk, coupled in
  risk-adjusted decisions), with contract-form and settlement-reference
  caveats; hedge book enters the optimizer through the risk term
- china/product_design (EN/ZH): new §2.7 — the argument transfers to MLT
  CfDs, with four deltas: same-settlement-price correlation, bidirectional
  living-book coupling, mandate-band corner solutions, and portfolio-scale
  price-impact as both modeling correction and compliance red line; 两个细则
  as the third P&L stream coupling to the declaration

china/product_design_en.md

@@ -232,6 +232,54 @@ pressure, month-end effects) enter as features of that forecast.
   collusion concern flagged in the DD report §4.5 applies to contract
   markets too).
 
+### 2.7 Separability of contract P&L and spread P&L: what transfers from PJM, and four deltas
+
+The PJM design doc's §4.2 establishes the three-layer statement — hedge and
+spread books are **separable in accounting and first-order decisions,
+correlated in risk, coupled in risk-adjusted decisions**. It transfers to
+China intact, because the MLT layer is likewise a CfD settling against a
+reference price the plant's bid doesn't move — the very structure that lets
+Model D wrap the unchanged inner newsvendor (§2.2's separability note).
+Four features of the Chinese market sharpen its limits:
+
+1. **Tighter correlation — same settlement price.** A PJM hub hedge and a
+   nodal spread book are linked through related-but-distinct prices with a
+   basis buffer between them. A Chinese MLT CfD typically settles against
+   the *same provincial DA price* the declaration clears against: hedge-leg
+   and spread-leg P&L are driven by literally the same random variable.
+2. **Bidirectional decision coupling — both books are alive.** In PJM the
+   hedge predates operations and is revisited ~never, so Layer-3 coupling is
+   a static parameter of the bid optimizer. In China the same team adjusts
+   the contract book monthly/intra-month while declaring daily: the current
+   book conditions the optimal lean, *and* demonstrated spread-model
+   performance (¥/MWh earned on open exposure) rationally feeds back into
+   how much open exposure Model D should leave.
+3. **Mandates truncate the co-optimization.** The coverage band [L_p, U_p]
+   frequently makes the joint optimum a corner solution: hold the mandated
+   minimum, and let the interesting optimization live in curve *shape* and
+   window *timing* rather than total hedge quantity. Separability survives;
+   the interior second-order optimum often doesn't.
+4. **The "you don't move the index" assumption degrades at portfolio
+   scale.** In PJM it is airtight (one plant vs. Western Hub). In a
+   provincial market, a large renewable book optimized in a correlated way
+   can move the provincial clearing price its own CfDs settle against —
+   especially in midday hours where renewables are marginal. For a service
+   provider this is simultaneously a modeling correction (price-impact term
+   at portfolio scale) and a **compliance red line**: bidding patterns that
+   systematically depress the index the fleet's CfDs benefit from are the
+   market-manipulation scenario regulators are actively watching (the
+   Jiangsu AI episode, mirrored). Cross-reference the §2.6 compliance
+   bullet; this deserves standing review, not a one-time check.
+
+One caveat transfers with a twist: PJM's "contract form matters" warning
+(unit-contingent PPAs) maps in China to the **两个细则 assessment layer** —
+a third P&L stream outside the price identity that couples to the
+*declaration* (penalizing forecast error against declared schedule), pulling
+Q_da toward the best forecast even when the spread view says lean. PJM's
+BORD plays the same role but is priced and modest; provincial assessment
+formulas are rule-based and, for smaller plants, occasionally sharp enough
+to dominate the spread signal.
+
 ---
 
 ## 3. Data requirements (Model D specific)

china/product_design_zh.md

@@ -127,6 +127,17 @@ x* = [ β·μ_G ]  +  [ (P_c − E[W]) / (2λ·σ_W²·|H|) ]
 - **跨客户相关性（与模型 C 同样是生存级问题）：** 各客户的最优倾斜方向一致（同为新能源卖方、同一省级基差观点）。分省的合计倾斜敞口——客户账簿中偏离最小方差头寸的总 MWh——是一级风险指标，并须针对"政策重置情景"（区间调整一夜之间重定价整条曲线）做压力测试。
 - **合规：** 谈判支持类输出（公允价值、离场价格）属咨询性质、风险较低；任何形似在同一省份跨客户协同建仓的行为须经法务审查（尽调报告 4.5 节的算法合谋关切同样适用于合同市场）。
 
+### 2.7 合同盈亏与价差盈亏的可分性：从 PJM 迁移的部分与四处差异
+
+PJM 设计文档 4.2 节确立了三层论断——套保账簿与价差账簿 **在会计与一阶决策上可分、在风险上相关、在风险调整决策上耦合** 。该论断原样迁移到中国，因为中长期层同样是对"电站报价撼动不了的参考价"结算的差价合约——这正是模型 D 能包裹住原封不动的内层报童问题的结构基础（见 2.2 节的可分性注记）。中国市场的四个特征使其边界更加尖锐：
+
+1. **相关性更紧——同一结算价格。** PJM 的枢纽套保与节点价差账簿之间隔着"相关但不同"的价格和一层基差缓冲。中国的中长期差价合约通常对 *同一个省级日前价* 结算，而申报也在同一价格上出清：套保腿与价差腿的盈亏由字面上同一个随机变量驱动。
+2. **决策耦合是双向的——两本账同时活着。** 在 PJM，套保先于运营且几乎从不重签，第三层耦合只是竞价优化器的一个静态参数。在中国，同一个团队每月/月内调整合同账簿、每天做申报：当前账簿决定最优倾斜，而价差模型已被验证的表现（在敞口上赚到的 元/MWh）又理性地反馈到模型 D 应留多少敞口。
+3. **强制性签约截断了联合优化。** 比例区间 [L_p, U_p] 常使联合最优解落在角点：持有强制性最低量，让有意思的优化发生在曲线 *形状* 与窗口 *择时* 上，而非套保总量。可分性依然成立；内点的二阶最优解却常常不复存在。
+4. **"你的报价不影响指数"这一假设在组合规模下退化。** 在 PJM 它无懈可击（单个电站对 Western Hub）。在省级市场，一个以相关方式优化的大型新能源组合可能撼动其自身差价合约所结算的省级出清价——尤其在新能源处于边际的午间小时。对服务商而言，这同时是一个建模修正（组合规模下的价格冲击项）与一条 **合规红线** ：以系统性压低"己方机组差价合约受益的指数"为效果的报价模式，正是监管层紧盯的市场操纵情形（江苏 AI 事件的镜像）。与 2.6 节合规条目互为参照；这需要常设审查，而非一次性检查。
+
+有一条注意事项在迁移中变了形：PJM 的"合同形式很重要"警示（按实发结算的 PPA）在中国对应 **"两个细则"考核层** ——一条位于价格恒等式之外的第三盈亏流，它与 *申报* 耦合（按申报计划考核预测偏差），即使价差观点主张倾斜，也会把 Q_da 拉向最优预测。PJM 的 BORD 扮演同样角色但是"价格化"且温和；省级考核公式是"规则化"的，对较小电站有时锋利到盖过价差信号。
+
 ---
 
 ## 三、数据需求（模型 D 专属）

pjm/design_models_en.md

@@ -363,6 +363,58 @@ the day-ahead position.
   also why China's forecasting market became a compliance-procurement market
   with no PJM equivalent.
 
+### 4.2 Hedge book vs. spread book: separability and its limits
+
+Most client plants carry a hedge (VPPA, futures strip, bank hedge). The bid
+optimizer's relationship to that hedge rests on a three-layer statement:
+**separable in accounting and first-order decisions, correlated in risk,
+coupled in second-order (risk-adjusted) decisions.**
+
+**Layer 1 — additive separability (the "yes").** Hourly revenue:
+
+```
+R = Q_da·P_da + (Q_rt − Q_da)·P_rt     (market legs — bid optimizer's domain)
+  + (P_c − P_ref)·Q_c                  (hedge leg — fixed CfD)
+```
+
+The hedge leg contains no daily decision variable: Q_c, P_c were set at
+signing; P_ref is a hub index the plant's bid does not move. Q_da appears
+only in the market legs. Spread alpha therefore adds on top of hedge P&L,
+and each book can be evaluated independently without double-counting. This
+is the license for treating the hedge as a static given throughout §1–3.
+
+**Layer 2 — correlated outcomes (the first "no").** Both legs are driven by
+the same prices: rearranged, the market legs contain Q_da·(P_da − P_rt) and
+the hedge leg contains −P_da (for DA-settled references). On a scarcity day,
+an underscheduled spread position and a short-at-P_c hedge lose *together*.
+Independent decisions, correlated P&L — portfolio risk reporting must treat
+them jointly.
+
+**Layer 3 — risk-adjusted coupling (the second "no").** Separability of
+decisions holds only under expected value. Under mean–variance/CVaR, the
+optimal DA lean depends on the plant's *residual* price exposure after the
+hedge: heavily hedged plants can lean harder on the spread; merchant plants
+should shade conservative because the spread bet stacks on large open price
+risk. **The hedge book enters the bid optimizer through the risk term, not
+the P&L identity** — a required client-onboarding input (hedge volume,
+tenor, settlement point and index).
+
+**Caveats that can break even Layer 1:**
+- *Contract form.* Fixed-volume financial hedges separate cleanly.
+  Unit-contingent / as-generated PPAs set Q_c = Q_rt (hedge leg co-varies
+  with production, though still not with Q_da); physical PPAs with delivery
+  obligations can constrain the bidding problem directly; proxy revenue
+  swaps absorb shape/volume risk and change what remains for the spread
+  book to manage.
+- *Settlement reference.* DA-settled vs RT-settled hedges leave different
+  residual exposures: an RT-settled hedge plus DA scheduling exposes the
+  *hedged* volume to the DA–RT spread too — equivalent to an embedded
+  virtual position, sometimes intended, sometimes an accident. The optimizer
+  must know which it is.
+
+(Chinese-market transfer of this argument, with four deltas: see the China
+product design doc §2.7.)
+
 ---
 
 ## 5. Data and operational infrastructure (shared foundations)

pjm/design_models_zh.md

@@ -217,6 +217,29 @@ S_node = S_system（枢纽/电能分量） + S_congestion（节点的日前–
 - **注意。** PJM 的补偿成本分摊规则经历过反复诉讼与改革（成本科目、偏差定义、间歇性资源豁免、轧差规则）。结算模块必须从现行费率表拉取参数，绝不能凭记忆。"BORD 类"是对这一 *类别* 的简称： **事后、基于成本因果、针对日前对实时偏差的费用。**
 - **对照（服务于中国业务）。** 中国的"两个细则"通过 *行政绩效考核* 实现偏差约束——按监管设定的预测精度/计划执行阈值罚分，与当日系统实际平衡成本基本无关。PJM 给外部性定价（对可预测的随机 *价格* 优化偏差）；中国给作业打分（对固定的 *规则手册* 优化预测）。这也是中国功率预测市场成为合规采购市场、而 PJM 从未产生同等强制需求渠道的原因。
 
+### 4.2 套保账簿与价差账簿：可分性及其边界
+
+多数客户电站带有套保（虚拟 PPA、期货组合、银行对冲）。竞价优化器与套保的关系建立在一个三层论断之上： **在会计与一阶决策上可分，在风险上相关，在二阶（风险调整）决策上耦合。**
+
+**第一层——加性可分（"是"的部分）。** 每小时收入：
+
+```
+R = Q_da·P_da + (Q_rt − Q_da)·P_rt     （市场两腿——竞价优化器的领地）
+  + (P_c − P_ref)·Q_c                  （套保腿——固定差价合约）
+```
+
+套保腿不含任何每日决策变量：Q_c、P_c 在签约时已定；P_ref 是电站报价撼动不了的枢纽指数。Q_da 只出现在市场腿中。因此价差阿尔法叠加在套保盈亏之上，两本账可独立考核、互不重复计算。这正是第一至三节把套保当作静态给定条件的依据。
+
+**第二层——结果相关（第一个"否"）。** 两腿由同一组价格驱动：整理后，市场腿含 Q_da·(P_da − P_rt)，套保腿（按日前指数结算）含 −P_da。在稀缺日，欠申报的价差头寸与"以 P_c 做空"的套保会 *一起* 亏损。决策独立、盈亏相关——组合风险报告必须合并看待。
+
+**第三层——风险调整下的耦合（第二个"否"）。** 决策可分只在期望值意义下成立。在均值–方差/CVaR 目标下，最优的日前倾斜取决于电站套保之后的 *剩余* 价格敞口：重度套保的电站可以更大胆地押价差；纯市场化电站应保守收敛，因为价差赌注叠加在巨大的裸露价格风险之上。 **套保账簿通过风险项而非盈亏恒等式进入竞价优化器** ——这是客户接入时的必填输入（套保电量、期限、结算点与结算指数）。
+
+**可能击穿第一层的注意事项：**
+- *合同形式。* 固定电量的金融套保干净可分。 **按实发结算（unit-contingent）的 PPA** 使 Q_c = Q_rt（套保腿随出力波动，但仍不随 Q_da）；带实物交割义务的 PPA 会直接约束竞价问题；代理收入互换吸收了形状/电量风险，改变了留给价差账簿管理的剩余风险。
+- *结算参考价。* 按日前还是按实时结算的套保留下不同的剩余敞口：实时结算的套保叠加日前申报，会让 *已套保* 的电量也暴露于日前–实时价差——等价于一个内嵌的虚拟头寸，有时是刻意为之，有时是意外。优化器必须分辨是哪一种。
+
+（该论证向中国市场的迁移及四处差异：见中国产品设计文档 2.7 节。）
+
 ---
 
 ## 五、数据与运营基础设施（共享地基）