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Merged
dcolleoni merged 67 commits into from
Jan 6, 2023
Merged

Yield curve with main tab and format #131

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5e619f6
equality comparer and queries updated
calderinisystemorph Nov 29, 2022
36db29e
data model, importers and importstorage updated
calderinisystemorph Nov 29, 2022
270c126
scenario avalinade for datanodes
calderinisystemorph Nov 30, 2022
ce3298e
scenario test improved
calderinisystemorph Nov 30, 2022
8ba025c
firsts comments resolved
calderinisystemorph Dec 2, 2022
4886ccb
Merge remote-tracking branch 'origin/develop' into Importer_Scenario_…
calderinisystemorph Dec 2, 2022
c43d3f8
all comments resolved
calderinisystemorph Dec 2, 2022
2a55e62
scenario test works
calderinisystemorph Dec 4, 2022
3e54971
estimate type fix
Dec 5, 2022
6b276e2
more scenario tests
Dec 5, 2022
695f270
revert calculation engine notebook
Dec 6, 2022
a3a1a29
improved union of target/default variables
Dec 6, 2022
be3a99d
full union + save zeros for scenarios
Dec 7, 2022
f07a088
scenario tests are green
Dec 7, 2022
ba8b108
Merge remote-tracking branch 'origin/develop' into Importer_Scenario_…
calderinisystemorph Dec 7, 2022
062fe34
fix equality comparer
Dec 7, 2022
e011351
Merge branch 'Importer_Scenario_Cashflow_Actuals' of https://github.c…
Dec 8, 2022
26053ed
best estimate all green
Dec 8, 2022
56c19fb
ifrs variables scenario new benchmark
Dec 8, 2022
2870df2
openings importer cleanups
Dec 8, 2022
09a5c83
first implementation of yield curve importer
calderinisystemorph Dec 8, 2022
8fb42af
fix report benchmark scenario
Dec 12, 2022
04f9055
cleanup
Dec 12, 2022
322085a
preparation before pull develop
Dec 13, 2022
a4c541f
Merge branch 'develop' of https://github.com/Systemorph/IFRS17Calcula…
Dec 13, 2022
6ed2464
scenario for GOC removed
Dec 13, 2022
67d807e
YieldCurves new format added.
calderinisystemorph Dec 13, 2022
f552dac
more readable relaxed query util method
Dec 13, 2022
5c57183
warning triggering multiple calculation
calderinisystemorph Dec 13, 2022
2c987e6
Merge remote-tracking branch 'origin/Importer_Scenario_Cashflow_Actua…
calderinisystemorph Dec 13, 2022
bab0375
Merge remote-tracking branch 'origin/Importer_Scenario_Cashflow_Actua…
calderinisystemorph Dec 13, 2022
c2a779f
cleanup the importer
calderinisystemorph Dec 13, 2022
f486952
comments on warning implemented
calderinisystemorph Dec 13, 2022
d12266d
Merge branch 'Importer_Scenario_Cashflow_Actuals' into Yield_Curve_wi…
calderinisystemorph Dec 13, 2022
e4c08d7
test clean up
calderinisystemorph Dec 13, 2022
236a2b7
fix report variables benchmark
Dec 13, 2022
d1e461d
Merge remote-tracking branch 'origin/Importer_Scenario_Cashflow_Actua…
calderinisystemorph Dec 14, 2022
899b7f9
some comments resolved
calderinisystemorph Dec 14, 2022
eb016f3
Merge remote-tracking branch 'origin/develop' into Importer_Scenario_…
calderinisystemorph Dec 15, 2022
6dfd9e5
validation added
calderinisystemorph Dec 15, 2022
d31353a
new args datamodel, bm with standard digits
calderinisystemorph Dec 16, 2022
2bb6168
Useless Zeros not saved, code cleanup
calderinisystemorph Dec 19, 2022
f67e384
comments on EqualityComparer resolved, BM updated
calderinisystemorph Dec 19, 2022
6f42ff6
Test Improved
calderinisystemorph Dec 19, 2022
6737504
comments resolved
calderinisystemorph Dec 20, 2022
b0aaf09
Merge remote-tracking branch 'origin/develop' into Importer_Scenario_…
calderinisystemorph Dec 20, 2022
dcda8db
Merge branch 'Importer_Scenario_Cashflow_Actuals' into Yield_Curve_wi…
calderinisystemorph Dec 20, 2022
90a04d1
refactoring of Main Parser, all tests green
calderinisystemorph Dec 20, 2022
5d60f21
Merge remote-tracking branch 'origin/develop' into Yield_Curve_with_M…
calderinisystemorph Dec 20, 2022
fae228a
typo fixing
calderinisystemorph Dec 20, 2022
e39cc9b
Merge remote-tracking branch 'origin/develop' into Yield_Curve_with_M…
calderinisystemorph Dec 21, 2022
b9ac247
code improvment and cleanup
calderinisystemorph Dec 21, 2022
603c63b
code cleanup
calderinisystemorph Dec 22, 2022
c803c51
Name property in YieldCurve Implemented
calderinisystemorph Dec 22, 2022
af344a8
bug fix, all test green
calderinisystemorph Dec 22, 2022
45c1b09
commit to DB only with succeeded import
calderinisystemorph Dec 22, 2022
6e48ebd
Merge branch 'develop' into Yield_Curve_with_Main_tab_and_Format
calderinisystemorph Dec 23, 2022
e53cb94
new yield curves files created
calderinisystemorph Dec 23, 2022
f2c8517
comment resolved
calderinisystemorph Jan 3, 2023
bb7e6d9
some comments resolved
calderinisystemorph Jan 4, 2023
5ef6da9
renames and markdown and use of .Any
dcolleoni Jan 5, 2023
4715003
improve equality comparer
dcolleoni Jan 5, 2023
f78d549
equality comparer
dcolleoni Jan 5, 2023
fead683
yc comparer test
dcolleoni Jan 6, 2023
ab3c287
documentation and clean IHierarchy
dcolleoni Jan 6, 2023
439e726
pv update xlsx files
dcolleoni Jan 6, 2023
255c242
improve doc
dcolleoni Jan 6, 2023
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Binary file modified PresentValueSeries/CF_CH_2021_12.xlsx
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Binary file modified PresentValueSeries/CF_DE_2021_12.xlsx
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Binary file modified PresentValueSeries/CF_DE_2022_12.xlsx
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14 changes: 0 additions & 14 deletions ifrs17-template/Files/Parameters/YieldCurve.csv
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7 changes: 7 additions & 0 deletions ifrs17-template/Files/Parameters/YieldCurve_2019_12.csv
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@@ -0,0 +1,7 @@
@@Main
Year,Month
2019,12
@@YieldCurve
Currency,Values0,Values1,Values2,Values3
CHF,0,0,0.015,0.02
XTSHY,0.85,0.85,0.85,0.85
7 changes: 7 additions & 0 deletions ifrs17-template/Files/Parameters/YieldCurve_2020_1.csv
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@@ -0,0 +1,7 @@
@@Main
Year,Month
2020,12
@@YieldCurve
Currency,Values0,Values1,Values2,Values3
USD,0.002,0.002,0.002,0.002

8 changes: 8 additions & 0 deletions ifrs17-template/Files/Parameters/YieldCurve_2020_12.csv
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@@ -0,0 +1,8 @@
@@Main
Year,Month
2020,1
@@YieldCurve
Currency,Values0,Values1,Values2,Values3
USD,0.002,0.002,0.002,0.002
CHF,0.01,0.02,0.025,0.025

8 changes: 8 additions & 0 deletions ifrs17-template/Files/Parameters/YieldCurve_2020_3.csv
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Original file line number Diff line number Diff line change
@@ -0,0 +1,8 @@
@@Main
Year,Month
2020,3
@@YieldCurve
Currency,Values0,Values1,Values2,Values3
EUR,0.008685495,0.008685495,0.018498471,0.019966839
USD,0.002,0.002,0.002,0.002
GBP,0.01,0.015,0.02,0.02
6 changes: 6 additions & 0 deletions ifrs17-template/Files/Parameters/YieldCurve_2021_12.csv
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Original file line number Diff line number Diff line change
@@ -0,0 +1,6 @@
@@Main
Year,Month
2021,12
@@YieldCurve
Currency,Values0,Values1,Values2,Values3
CHF,0.025,0.025,0.035,0.035
7 changes: 7 additions & 0 deletions ifrs17-template/Files/Parameters/YieldCurve_2021_3.csv
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@@ -0,0 +1,7 @@
@@Main
Year,Month
2021,3
@@YieldCurve
Currency,Values0,Values1,Values2,Values3
USD,0.005,0.005,0.005,0.005
GBP,0.015,0.02,0.02,0.025
6 changes: 6 additions & 0 deletions ifrs17-template/Files/Parameters/YieldCurve_2021_6.csv
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@@ -0,0 +1,6 @@
@@Main
Year,Month
2021,6
@@YieldCurve
Currency,Values0,Values1,Values2,Values3
CHF,0.03,0.03,0.035,0.035
18 changes: 8 additions & 10 deletions ifrs17-template/Initialization/InitSystemorphRefDataToMemory.ipynb
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Expand Up @@ -154,7 +154,14 @@
{
"cell_type": "code",
"source": [
"await Import.FromFile(\"../Files/Parameters/YieldCurve.csv\").WithType<YieldCurve>().WithTarget(DataSource).ExecuteAsync()"
"var log = await Import.FromFile(\"../Files/Parameters/YieldCurve_2019_12.csv\").WithFormat(ImportFormats.YieldCurve).WithTarget(DataSource).ExecuteAsync();",
"\nlog.Merge(await Import.FromFile(\"../Files/Parameters/YieldCurve_2020_1.csv\").WithFormat(ImportFormats.YieldCurve).WithTarget(DataSource).ExecuteAsync());",
"\nlog.Merge(await Import.FromFile(\"../Files/Parameters/YieldCurve_2020_3.csv\").WithFormat(ImportFormats.YieldCurve).WithTarget(DataSource).ExecuteAsync());",
"\nlog.Merge(await Import.FromFile(\"../Files/Parameters/YieldCurve_2020_12.csv\").WithFormat(ImportFormats.YieldCurve).WithTarget(DataSource).ExecuteAsync());",
"\nlog.Merge(await Import.FromFile(\"../Files/Parameters/YieldCurve_2021_3.csv\").WithFormat(ImportFormats.YieldCurve).WithTarget(DataSource).ExecuteAsync());",
"\nlog.Merge(await Import.FromFile(\"../Files/Parameters/YieldCurve_2021_6.csv\").WithFormat(ImportFormats.YieldCurve).WithTarget(DataSource).ExecuteAsync());",
"\nlog.Merge(await Import.FromFile(\"../Files/Parameters/YieldCurve_2021_12.csv\").WithFormat(ImportFormats.YieldCurve).WithTarget(DataSource).ExecuteAsync());",
"\nlog"
],
"metadata": {},
"execution_count": 0,
Expand Down Expand Up @@ -204,15 +211,6 @@
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
""
],
"metadata": {},
"execution_count": 0,
"outputs": []
}
]
}
9 changes: 8 additions & 1 deletion ifrs17-template/Initialization/InitSystemorphToDatabase.ipynb
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Expand Up @@ -123,7 +123,14 @@
{
"cell_type": "code",
"source": [
"await Import.FromFile(\"../Files/Parameters/YieldCurve.csv\").WithType<YieldCurve>().WithTarget(DataSource).ExecuteAsync()"
"var log = await Import.FromFile(\"../Files/Parameters/YieldCurve_2019_12.csv\").WithFormat(ImportFormats.YieldCurve).WithTarget(DataSource).ExecuteAsync();",
"\nlog.Merge(await Import.FromFile(\"../Files/Parameters/YieldCurve_2020_1.csv\").WithFormat(ImportFormats.YieldCurve).WithTarget(DataSource).ExecuteAsync());",
"\nlog.Merge(await Import.FromFile(\"../Files/Parameters/YieldCurve_2020_3.csv\").WithFormat(ImportFormats.YieldCurve).WithTarget(DataSource).ExecuteAsync());",
"\nlog.Merge(await Import.FromFile(\"../Files/Parameters/YieldCurve_2020_12.csv\").WithFormat(ImportFormats.YieldCurve).WithTarget(DataSource).ExecuteAsync());",
"\nlog.Merge(await Import.FromFile(\"../Files/Parameters/YieldCurve_2021_3.csv\").WithFormat(ImportFormats.YieldCurve).WithTarget(DataSource).ExecuteAsync());",
"\nlog.Merge(await Import.FromFile(\"../Files/Parameters/YieldCurve_2021_6.csv\").WithFormat(ImportFormats.YieldCurve).WithTarget(DataSource).ExecuteAsync());",
"\nlog.Merge(await Import.FromFile(\"../Files/Parameters/YieldCurve_2021_12.csv\").WithFormat(ImportFormats.YieldCurve).WithTarget(DataSource).ExecuteAsync());",
"\nlog"
],
"metadata": {},
"execution_count": 0,
Expand Down
10 changes: 10 additions & 0 deletions ifrs17/Constants/Consts.ipynb
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Expand Up @@ -63,6 +63,15 @@
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"public const double YieldCurvePrecision = 1E-8;"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
Expand Down Expand Up @@ -198,6 +207,7 @@
"\n public const string Opening = nameof(Opening); // Importer for Opening Balances (BOP Inforce of CSM/LC)",
"\n public const string SimpleValue = nameof(SimpleValue); // Importer for Simple Values (pre-calculated direct import)",
"\n",
"\n public const string YieldCurve = nameof(YieldCurve); // Importer for Yield Curve",
"\n public const string DataNode = nameof(DataNode); // Importer for Data Node",
"\n public const string DataNodeState = nameof(DataNodeState); // Importer for Data Node State",
"\n public const string DataNodeParameter = nameof(DataNodeParameter); // Importer for Data Node Parameters",
Expand Down
25 changes: 0 additions & 25 deletions ifrs17/DataModel/DataStructure.ipynb
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Expand Up @@ -189,31 +189,6 @@
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
"The interface IHierarchy is used for modelling dimensions which have an hierarchical structure, such as [Amount Type](#amount-type)."
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"public interface IHierarchy",
"\n{",
"\n public string Name { get; init; }",
"\n ",
"\n public string Parent { get; init; }",
"\n ",
"\n public string Child { get; init; }",
"\n}"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
Expand Down
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