Cashflow Interpolation

ifrs17-template/Test/Data/DataNodeParameter_InvalidDataNode.csv

@@ -3,9 +3,9 @@ ReportingNode,Year,Month
 CH,2020,12
 
 @@SingleDataNodeParameter
-DataNode,PremiumAllocation
-DT1.1,0.9
-DataNodeInvalid0,0.85
+DataNode,PremiumAllocation,CashFlowPeriodicity,InterpolationMethod
+DT1.1,0.9,Monthly,Uniform
+DataNodeInvalid0,0.85,Monthly,Uniform
 
 @@InterDataNodeParameter
 DataNode,LinkedDataNode,ReinsuranceCoverage

ifrs17-template/Test/Data/DataNodeParameter_InvalidParameters.csv

@@ -0,0 +1,17 @@
+@@Main
+ReportingNode,Year,Month
+CH,2020,12
+
+@@SingleDataNodeParameter
+DataNode,PremiumAllocation,CashFlowPeriodicity,InterpolationMethod
+DT1.1,0.9,Monthly,InvalidEntry
+DT1.2,0.85,InvalidEntry,Uniform
+DT1.3,0.9,,Uniform
+DT1.4,0.85,Monthly,
+DT1.5,0.9,Yearly,
+
+@@InterDataNodeParameter
+DataNode,LinkedDataNode,ReinsuranceCoverage
+DTR1.1,DT1.1,1
+DTR1.2,DT1.2,1
+DTR1.3,DT1.3,1

ifrs17-template/Test/Data/DataNodeParameter_MissingNonRequiredColumns.csv

@@ -0,0 +1,16 @@
+@@Main
+ReportingNode,Year,Month
+CH,2020,12
+
+@@SingleDataNodeParameter
+DataNode,PremiumAllocation
+DT1.1,0.9
+DT1.2,0.85
+DT1.3,0.9
+DT1.4,0.85
+
+@@InterDataNodeParameter
+DataNode,LinkedDataNode,ReinsuranceCoverage
+DTR1.1,DT1.1,1
+DTR1.2,DT1.2,1
+DTR1.3,DT1.3,1

ifrs17-template/Test/MapTemplateAndImportTest.ipynb

@@ -124,6 +124,42 @@
             "execution_count": 0,
             "outputs": []
         },
+        {
+            "cell_type": "markdown",
+            "source": [
+                "# Test Data Node Parameter"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "var singleParam = (await DataSource.Query<SingleDataNodeParameter>().Where(x => x.DataNode == \"DT1.1\").ToArrayAsync()).Single();"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "singleParam.CashFlowPeriodicity.Should().Be((CashFlowPeriodicity)default);"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "singleParam.InterpolationMethod.Should().Be((InterpolationMethod)default);"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
         {
             "cell_type": "markdown",
             "source": [
@@ -397,7 +433,10 @@
                 "\n                     nameof(PartitionByReportingNodeAndPeriod.Month),",
                 "\n                     nameof(PartitionByReportingNodeAndPeriod.Scenario)};",
                 "\nvar singleDataNodeParamCols = new[]{nameof(DataNode),",
-                "\n                                    nameof(SingleDataNodeParameter.PremiumAllocation)};",
+                "\n                                    nameof(SingleDataNodeParameter.PremiumAllocation),",
+                "\n                                    nameof(SingleDataNodeParameter.CashFlowPeriodicity),",
+                "\n                                    nameof(SingleDataNodeParameter.InterpolationMethod),",
+                "\n                                    };",
                 "\nvar interDataNodeParamCols = new[]{nameof(DataNodeParameter.DataNode),",
                 "\n                                   nameof(InterDataNodeParameter.LinkedDataNode),",
                 "\n                                   nameof(InterDataNodeParameter.ReinsuranceCoverage)};",
@@ -546,6 +585,7 @@
                 "\n{",
                 "\n   Activity.Start();",
                 "\n   var log = await Import.FromFile(inputFileName).WithFormat(ImportFormats.DataNodeParameter).WithTarget(workspace).ExecuteAsync();",
+                "\n   log.Errors.Count().Should().Be(errorBms.Count());",
                 "\n   errorBms.Intersect(log.Errors.Select(x => x.ToString().Substring(0,x.ToString().Length-2).Substring(40)).ToArray()).Count().Should().Be(errorBms.Count());",
                 "\n   return Activity.Finish();",
                 "\n}"
@@ -616,7 +656,53 @@
             "source": [
                 "var inputFileName = \"Data/DataNodeParameter_InvalidReinsCov.csv\";",
                 "\nvar errorsBm = new List<string>(){Get(Error.ReinsuranceCoverageDataNode, \"DT1.1\",\"DT1.1\")};",
-                "\nvar activity = await CheckErrors(inputFileName, errorsBm, ws3);",
+                "\nvar activity = await CheckErrors(inputFileName, errorsBm, ws3);"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "var ws4 = Workspace.CreateNew();",
+                "\nws4.InitializeFrom(DataSource);"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "var inputFileName = \"Data/DataNodeParameter_MissingNonRequiredColumns.csv\";",
+                "\nvar errorsBm = new List<string>(){};",
+                "\nvar activity = await CheckErrors(inputFileName, errorsBm, ws4);",
+                "\nactivity"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "var ws5 = Workspace.CreateNew();",
+                "\nws5.InitializeFrom(DataSource);"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "var inputFileName = \"Data/DataNodeParameter_InvalidParameters.csv\";",
+                "\nvar errorsBm = new List<string>(){Get(Error.InvalidInterpolationMethod, \"DT1.1\"), ",
+                "\n                                  Get(Error.InvalidCashFlowPeriodicity, \"DT1.2\"),",
+                "\n                                  Get(Error.InvalidCashFlowPeriodicity, \"DT1.3\"),",
+                "\n                                  Get(Error.InvalidInterpolationMethod, \"DT1.5\")};",
+                "\nvar activity = await CheckErrors(inputFileName, errorsBm, ws5);",
                 "\nactivity"
             ],
             "metadata": {},

ifrs17/Constants/Enums.ipynb

@@ -206,6 +206,42 @@
             "execution_count": 0,
             "outputs": []
         },
+        {
+            "cell_type": "markdown",
+            "source": [
+                "## CashFlowPeriodicity"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "public enum CashFlowPeriodicity { Monthly, Quarterly, Yearly }"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "markdown",
+            "source": [
+                "## Interpolation Method"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "public enum InterpolationMethod { NotApplicable, Uniform /*, Linear, Start, End, Custom*/ }"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
         {
             "cell_type": "markdown",
             "source": [

ifrs17/Constants/Validations.ipynb

@@ -76,7 +76,7 @@
                 "\n    // Data Note State",
                 "\n    ChangeDataNodeState, InactiveDataNodeState,",
                 "\n    // Parameters",
-                "\n    ReinsuranceCoverageDataNode, DuplicateInterDataNode, DuplicateSingleDataNode, InvalidDataNode, InvalidDataNodeForOpening,",
+                "\n    ReinsuranceCoverageDataNode, DuplicateInterDataNode, DuplicateSingleDataNode, InvalidDataNode, InvalidDataNodeForOpening, InvalidCashFlowPeriodicity, InvalidInterpolationMethod,",
                 "\n    // Storage",
                 "\n    DataNodeNotFound, PartnerNotFound, RatingNotFound, CreditDefaultRateNotFound, MissingPremiumAllocation, ReinsuranceCoverage, ",
                 "\n    YieldCurveNotFound, YieldCurvePeriodNotApplicable, EconomicBasisNotFound, AccountingVariableTypeNotFound,",
@@ -151,6 +151,8 @@
                 "\n    (Error.DuplicateSingleDataNode        , 1) => $\"Duplicated Single-DataNode parameter for {s[0]} is found.\",",
                 "\n    (Error.InvalidDataNode                , 1) => $\"Data imported for invalid Data Node {s[0]}.\",",
                 "\n    (Error.InvalidDataNodeForOpening      , 1) => $\"Data imported for invalid Data Node or for a Data Node after its inception year {s[0]}.\",",
+                "\n    (Error.InvalidCashFlowPeriodicity, 1) => $\"Single Data Node Parameter CashFlowPeriodicity for Data Node {s[0]} is invalid.\",",
+                "\n    (Error.InvalidInterpolationMethod, 1) => $\"Single Data Node Parameter InterpolationMethod for Data Node {s[0]} is invalid.\",",
                 "\n    // Storage",
                 "\n    (Error.DataNodeNotFound               , 1) => $\"DataNode {s[0]} not found.\",",
                 "\n    (Error.PartnerNotFound                , 1) => $\"Partner not found for DataNode {s[0]}.\",",

ifrs17/DataModel/DataStructure.ipynb

@@ -1541,6 +1541,8 @@
                 "\n",
                 "\nData Node Parameters are used to keep track of other parameters pertaining to each Data Node, and their movements in time (year and month).",
                 "\n<br> <code>PremiumAllocation</code> : defines the weight of Premium to be included in the Experience Adjustement AoC Type of the Technical Margin and is valid only for Group of Insurance Contract with LiabilityType : Liability for Remaining Coverage.",
+                "\n<br> <code>CashFlowPeriodicity</code> : defines the periodicity of the provided cash flows, it is not a mandatory input. Supported values can be found [here](../Constants/Enums#cashflowperiodicity). When the column *CashFlowPeriodicity* is missing from the input file it is assumed a monthly periodicity (default value). When the *CashFlowPeriodicity* column is present, a valid value must be entered. ",
+                "\n<br> <code>InterpolationMethod</code> : defines the interpolation method to be applied to interpolate the cash flow to the monthly granularity, it is not a mandatory input. Supported values can be found [here](../Constants/Enums#interpolation-method). When the *InterpolationMethod* is not present in the input file or the *CashFlowPeriodicity* has the default value, then the default value for the *InterpolationMethod* is applied. The default value is Not Applicable. ",
                 "\n<br> <code>ReinsuranceCoverage</code> : defines the weight of the underlying gross business to be considered in the computation of the allocation of the Technical Margin in a Reinsurance case. In other words, it represents the percentage to which claims in the underlying GICs are expected to be reinboursed by the Reinsurance Contracts belonging to the GRIC. For proportional contracts, this factor is given by the cession while for other contracts it should be estimated. ",
                 "\n",
                 "\nThe latest Data Node Parameters available in the system with Year and Month earlier or equal to Year and Month of the closing period will be used as the current value during calculation."
@@ -1576,6 +1578,7 @@
                 "\n    [Required]",
                 "\n    [IdentityProperty]",
                 "\n    [Dimension(typeof(GroupOfContract))]",
+                "\n    [Display(Order = 1)]",
                 "\n    public string DataNode { get; init; }",
                 "\n",
                 "\n    [IdentityProperty]",
@@ -1593,16 +1596,30 @@
                 "public record SingleDataNodeParameter : DataNodeParameter {",
                 "\n    [DefaultValue(DefaultPremiumExperienceAdjustmentFactor)]",
                 "\n    [Range(0, 1, ErrorMessage = \"Value for {0} must be between {1} and {2}.\")]",
+                "\n    [Display(Order = 20)]",
                 "\n    public double PremiumAllocation { get; init; } = DefaultPremiumExperienceAdjustmentFactor;",
+                "\n",
+                "\n    [IdentityProperty]",
+                "\n    [Dimension(typeof(CashFlowPeriodicity))]",
+                "\n    [Display(Order = 30)]",
+                "\n    public CashFlowPeriodicity CashFlowPeriodicity { get; init; }",
+                "\n    ",
+                "\n    [IdentityProperty]",
+                "\n    [Dimension(typeof(InterpolationMethod))]",
+                "\n    [Display(Order = 40)]",
+                "\n    public InterpolationMethod InterpolationMethod { get; init; }",
+                "\n    ",
                 "\n}",
                 "\n",
                 "\npublic record InterDataNodeParameter : DataNodeParameter {",
                 "\n    [Required]",
                 "\n    [IdentityProperty]",
                 "\n    [Dimension(typeof(GroupOfContract))]",
+                "\n    [Display(Order = 10)]",
                 "\n    public string LinkedDataNode { get; init; }",
                 "\n    ",
                 "\n    [Range(0, 1, ErrorMessage = \"Value for {0} must be between {1} and {2}.\")]",
+                "\n    [Display(Order = 20)]",
                 "\n    public double ReinsuranceCoverage { get; init; }",
                 "\n}"
             ],