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Merged
dcolleoni merged 2 commits into from
Jan 24, 2023
Merged

Current YieldCurve query fix on YcName filter #194

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df71284
fix and test
dcolleoni Jan 24, 2023
672ad98
fix YC query bm and refine locked int month defition + add a tests
dcolleoni Jan 24, 2023
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115 changes: 107 additions & 8 deletions ifrs17/Test/QueriesTest.ipynb
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -571,6 +571,43 @@
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"var args = new Args(\"CH\",2020,12,Periodicity.Monthly,null);",
"\nvar testData = new YieldCurve[] {",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 12, Name = \"A\", Values = new double[]{7.1,7.2,7.3,7.4,7.5,7.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 12, Values = new double[]{0.1,0.2,0.3,0.4,0.5,0.6} }, ",
"\n ",
"\n };",
"\n",
"\n(int year , int month, string yieldCurveName, string valuationApproach) dataNodeTestData = (2020, 12, \"A\", \"BBA\");",
"\nvar activity = await CheckLoadYieldCurveAsync(args, testData, dataNodeTestData, 0.1, 0.1, 7.1);",
"\nactivity"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"var args = new Args(\"CH\",2020,9,Periodicity.Monthly,null);",
"\nvar testData = new YieldCurve[] {",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 12, Name = \"A\", Values = new double[]{7.1,7.2,7.3,7.4,7.5,7.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 12, Values = new double[]{0.1,0.2,0.3,0.4,0.5,0.6} }, ",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 9, Name = \"A\", Values = new double[]{6.1,6.2,6.3,6.4,6.5,6.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 9, Values = new double[]{0.01,0.02,0.03,0.04,0.05,0.06} },",
"\n };",
"\n",
"\n(int year , int month, string yieldCurveName, string valuationApproach) dataNodeTestData = (2020, 1, \"A\", \"BBA\");",
"\nvar activity = await CheckLoadYieldCurveAsync(args, testData, dataNodeTestData, 0.01, 0.01, 6.1);",
"\nactivity"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
Expand Down Expand Up @@ -613,7 +650,7 @@
"\n new YieldCurve{ Currency = \"EUR\", Year = 2016, Month = 3, Name = \"B\", Values = new double[]{7.1,7.2,7.3,7.4,7.5,7.6} }};",
"\n",
"\n(int year , int month, string yieldCurveName, string valuationApproach) dataNodeTestData = (2016, 6, \"A\", \"BBA\");",
"\nvar activity = await CheckLoadYieldCurveAsync(args, testData, dataNodeTestData, 6.1, 0.1, 6.1);",
"\nvar activity = await CheckLoadYieldCurveAsync(args, testData, dataNodeTestData, 9.1, 1.1, 6.1);",
"\nactivity"
],
"metadata": {},
Expand All @@ -634,20 +671,29 @@
"source": [
"var args = new Args(\"CH\",2020,9,Periodicity.Monthly,null);",
"\nvar testData = new YieldCurve[] {new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 12, Name = \"A\", Values = new double[]{11.1,11.2,11.3,11.4,11.5,11.6} }, ",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 12, Values = new double[]{100.1,100.2,100.3,100.4,100.5,100.6} }, ",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 9, Name = \"A\", Values = new double[]{12.1,12.2,12.3,12.4,12.5,12.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 9, Values = new double[]{90.1,90.2,90.3,90.4,90.5,90.6} }, ",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 6, Name = \"A\", Values = new double[]{13.1,13.2,13.3,13.4,13.5,13.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 6, Values = new double[]{80.1,80.2,80.3,80.4,80.5,80.6} }, ",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 3, Name = \"A\", Values = new double[]{1.1,1.2,1.3,1.4,1.5,1.6} }, ",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2019, Month = 12, Name = \"A\", Values = new double[]{9.1,9.2,9.3,9.4,9.5,9.6} }, ",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 3, Values = new double[]{70.1,70.2,70.3,70.4,70.5,70.6} }, ",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2019, Month = 12, Name = \"A\", Values = new double[]{9.1,9.2,9.3,9.4,9.5,9.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2019, Month = 12, Values = new double[]{60.1,60.2,60.3,60.4,60.5,60.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2019, Month = 9, Name = \"A\", Values = new double[]{10.1,10.2,10.3,10.4,10.5,10.6} }, ",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2019, Month = 6, Name = \"A\", Values = new double[]{2.1,2.2,2.3,2.4,2.5,2.6} }, ",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2019, Month = 3, Name = \"A\", Values = new double[]{7.1,7.2,7.3,7.4,7.5,7.6} }, ",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2019, Month = 9, Values = new double[]{50.1,50.2,50.3,50.4,50.5,50.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2019, Month = 6, Name = \"A\", Values = new double[]{2.1,2.2,2.3,2.4,2.5,2.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2019, Month = 6, Values = new double[]{40.1,40.2,40.3,40.4,40.5,40.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2019, Month = 3, Name = \"A\", Values = new double[]{7.1,7.2,7.3,7.4,7.5,7.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2019, Month = 3, Values = new double[]{30.1,30.2,30.3,30.4,30.5,30.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2018, Month = 6, Name = \"A\", Values = new double[]{3.1,3.2,3.3,3.4,3.5,3.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2018, Month = 6, Values = new double[]{20.1,20.2,20.3,20.4,20.5,20.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2017, Month = 6, Name = \"A\", Values = new double[]{4.1,4.2,4.3,4.4,4.5,4.6} }, ",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2016, Month = 12, Name = \"A\", Values = new double[]{8.1,8.2,8.3,8.4,8.5,8.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2016, Month = 3, Name = \"A\", Values = new double[]{6.1,6.2,6.3,6.4,6.5,6.6} }};",
"\n",
"\n(int year , int month, string yieldCurveName, string valuationApproach) dataNodeTestData = (2016, 6, \"A\", \"BBA\");",
"\nvar activity = await CheckLoadYieldCurveAsync(args, testData, dataNodeTestData, 9.1, 12.1, 8.1);",
"\nvar activity = await CheckLoadYieldCurveAsync(args, testData, dataNodeTestData, 60.1, 90.1, 8.1);",
"\nactivity"
],
"metadata": {},
Expand Down Expand Up @@ -693,14 +739,56 @@
"cell_type": "code",
"source": [
"var args = new Args(\"CH\",2020,9,Periodicity.Monthly,null);",
"\nvar testData = new YieldCurve[] {new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 6, Name = \"B\", Values = new double[]{0.1,0.2,0.3,0.4,0.5,0.6} }, ",
"\nvar testData = new YieldCurve[] {new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 6, Name = \"B\", Values = new double[]{0.1,0.2,0.3,0.4,0.5,0.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 6, Values = new double[]{10.1,10.2,10.3,10.4,10.5,10.6} }, ",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 6, Name = \"B\", Values = new double[]{2.1,2.2,2.3,2.4,2.5,2.6} }, ",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2016, Month = 3, Name = \"C\", Values = new double[]{4.1,4.2,4.3,4.4,4.5,4.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2016, Month = 3, Name = \"B\", Values = new double[]{6.1,6.2,6.3,6.4,6.5,6.6} }};",
"\n",
"\n(int year , int month, string yieldCurveName, string valuationApproach) dataNodeTestData = (2016, 2, \"A\", \"BBA\");",
"\n",
"\nvar activity = await CheckLoadYieldCurveAsync(args, testData, dataNodeTestData, 10.1, 10.1);",
"\nactivity"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"activity.Status.Should().Be(ActivityLogStatus.Failed);",
"\nactivity.Errors.Count().Should().Be(1)"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"var expectedErrorMessage = Get(Error.YieldCurveNotFound, \"EUR\",\"2016\",\"12\",\"Best Estimate\",\"A\");",
"\nvar errorMessage = activity.Errors.First().ToString();",
"\nerrorMessage.Contains(expectedErrorMessage).Should().Be(true)"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"var args = new Args(\"CH\",2016,9,Periodicity.Monthly,null);",
"\nvar testData = new YieldCurve[] {new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 6, Name = \"B\", Values = new double[]{0.1,0.2,0.3,0.4,0.5,0.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2016, Month = 6, Values = new double[]{10.1,10.2,10.3,10.4,10.5,10.6} }, ",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2020, Month = 6, Name = \"B\", Values = new double[]{2.1,2.2,2.3,2.4,2.5,2.6} }, ",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2016, Month = 3, Name = \"C\", Values = new double[]{4.1,4.2,4.3,4.4,4.5,4.6} },",
"\n new YieldCurve{ Currency = \"EUR\", Year = 2016, Month = 3, Name = \"B\", Values = new double[]{6.1,6.2,6.3,6.4,6.5,6.6} }};",
"\n",
"\n(int year , int month, string yieldCurveName, string valuationApproach) dataNodeTestData = (2016, 2, \"A\", \"BBA\");",
"\n",
"\nvar activity = await CheckLoadYieldCurveAsync(args, testData, dataNodeTestData);"
"\nvar activity = await CheckLoadYieldCurveAsync(args, testData, dataNodeTestData, 10.1, 10.1);",
"\nactivity"
],
"metadata": {},
"execution_count": 0,
Expand All @@ -710,7 +798,18 @@
"cell_type": "code",
"source": [
"activity.Status.Should().Be(ActivityLogStatus.Failed);",
"\nactivity.Errors.Select(x => x.ToString().Contains(Get(Error.YieldCurveNotFound)).Should().Be(true));"
"\nactivity.Errors.Count().Should().Be(1)"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"var expectedErrorMessage = Get(Error.YieldCurveNotFound, \"EUR\",\"2016\",\"9\",\"Best Estimate\",\"A\");",
"\nvar errorMessage = activity.Errors.First().ToString();",
"\nerrorMessage.Contains(expectedErrorMessage).Should().Be(true)"
],
"metadata": {},
"execution_count": 0,
Expand Down
5 changes: 3 additions & 2 deletions ifrs17/Utils/Queries.ipynb
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -189,7 +189,8 @@
"\n var lockedInYieldCurveByGoc = new Dictionary<string, YieldCurve>();",
"\n foreach (var dn in dataNodes.Where(x => x.ValuationApproach == ValuationApproaches.BBA))",
"\n {",
"\n var argsNew = args with {Year = dn.Year, Month = MonthInAYear, Scenario = args.Scenario};",
"\n var monthUpperLimit = args.Year == dn.Year ? args.Month : MonthInAYear;",
"\n var argsNew = args with {Year = dn.Year, Month = monthUpperLimit, Scenario = args.Scenario};",
"\n var loadedYc = (await querySource.LoadCurrentParameterAsync<YieldCurve>(argsNew, x => x.Currency, x => x.Currency == dn.ContractualCurrency && x.Name == dn.YieldCurveName));",
"\n ",
"\n if (!loadedYc.TryGetValue(dn.ContractualCurrency, out var lockedYc))",
Expand Down Expand Up @@ -232,7 +233,7 @@
"\n x => x.Currency == key.ContractualCurrency ",
"\n && (key.ValuationApproach == ValuationApproaches.VFA",
"\n ? x.Name == key.YieldCurveName",
"\n : true));",
"\n : x.Name == (string)null));",
"\n ",
"\n if (!loadedYc.TryGetValue(key.ContractualCurrency, out var currentYcDict))",
"\n ApplicationMessage.Log(Error.YieldCurveNotFound, key.ContractualCurrency, args.Year.ToString(), args.Month.ToString(), args.Scenario, key.YieldCurveName);",
Expand Down