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Fix to P&L PAA #371

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Merged
dtrzesniak merged 2 commits into from
Aug 10, 2023
Merged

Fix to P&L PAA #371

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14d5d3e
Fix to P&L PAA
Aug 10, 2023
33f1fa9
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Aug 10, 2023
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2 changes: 1 addition & 1 deletion ifrs17/Import/2ImportScope-PresentValue.ipynb
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Expand Up @@ -131,7 +131,7 @@
"\n private string EconomicBasis => GetContext();",
"\n ",
"\n private double[] YearlyYieldCurve => EconomicBasis switch {",
"\n EconomicBases.N => Enumerable.Empty<double>().ToArray(),",
"\n EconomicBases.N => new [] { 0d },",
"\n _ => GetStorage().GetYearlyYieldCurve(Identity, EconomicBasis),",
"\n };",
"\n ",
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19 changes: 9 additions & 10 deletions ifrs17/Import/5ImportScope-ToIfrsVar.ipynb
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Expand Up @@ -437,12 +437,13 @@
"\n",
"\n private string economicBasis => Identity.ValuationApproach == ValuationApproaches.VFA ? EconomicBases.C : EconomicBases.L;",
"\n private IEnumerable<string> amountTypesForTm => GetScope<TechnicalMarginAmountType>((Identity, EstimateTypes.C)).Values;",
"\n private bool hasTechnicalMargin => GetStorage().ImportFormat switch {",
"\n ImportFormats.Cashflow => GetStorage().GetRawVariables(Identity.DataNode).Any(x => x.EstimateType == EstimateTypes.RA || ",
"\n (x.EstimateType == EstimateTypes.BE && amountTypesForTm.Contains(x.AmountType))),",
"\n _ => GetStorage().GetIfrsVariables(Identity.DataNode).Any(x => !GetStorage().EstimateTypesByImportFormat[ImportFormats.Actual].Contains(x.EstimateType) && ",
"\n amountTypesForTm.Contains(x.AmountType))",
"\n };",
"\n // TODO: we need to think how to define the logic on when to compute LC for PAA-LRC",
"\n // private bool hasTechnicalMargin => GetStorage().ImportFormat switch {",
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"\n // ImportFormats.Cashflow => GetStorage().GetRawVariables(Identity.DataNode).Any(x => x.EstimateType == EstimateTypes.RA || ",
"\n // (x.EstimateType == EstimateTypes.BE && amountTypesForTm.Contains(x.AmountType))),",
"\n // _ => GetStorage().GetIfrsVariables(Identity.DataNode).Any(x => !GetStorage().EstimateTypesByImportFormat[ImportFormats.Actual].Contains(x.EstimateType) && ",
"\n // amountTypesForTm.Contains(x.AmountType))",
"\n // };",
"\n",
"\n IEnumerable<IfrsVariable> Csms => GetStorage().DataNodeDataBySystemName[Identity.DataNode].LiabilityType == LiabilityTypes.LIC || Identity.ValuationApproach == ValuationApproaches.PAA",
"\n ? Enumerable.Empty<IfrsVariable>()",
Expand All @@ -456,8 +457,7 @@
"\n Partition = GetStorage().TargetPartition",
"\n });",
"\n",
"\n IEnumerable<IfrsVariable> Loss => GetStorage().DataNodeDataBySystemName[Identity.DataNode].LiabilityType == LiabilityTypes.LIC ||",
"\n (Identity.ValuationApproach == ValuationApproaches.PAA && !hasTechnicalMargin )",
"\n IEnumerable<IfrsVariable> Loss => GetStorage().DataNodeDataBySystemName[Identity.DataNode].LiabilityType == LiabilityTypes.LIC",
"\n ? Enumerable.Empty<IfrsVariable>()",
"\n : Identity.IsReinsurance ",
"\n ? GetScope<LossRecoveryComponent>(Identity).RepeatOnce()",
Expand All @@ -480,8 +480,7 @@
"\n });",
"\n ",
"\n IEnumerable<IfrsVariable> AmortizationFactor => Identity.AocType == AocTypes.AM && Loss.Concat(Csms).Where(x => x.Values != null).Any(x => Math.Abs(x.Values.GetValidElement(Identity.ProjectionPeriod)) > Precision)",
"\n && GetStorage().DataNodeDataBySystemName[Identity.DataNode].LiabilityType == LiabilityTypes.LRC && ",
"\n (Identity.ValuationApproach != ValuationApproaches.PAA || hasTechnicalMargin )",
"\n && GetStorage().DataNodeDataBySystemName[Identity.DataNode].LiabilityType == LiabilityTypes.LRC",
"\n ? GetScope<CurrentPeriodAmortizationFactor>((Identity, AmountTypes.CU, 0), o => o.WithContext(economicBasis)).RepeatOnce()",
"\n .Select(x => new IfrsVariable{ EstimateType = x.EstimateType,",
"\n DataNode = x.Identity.Id.DataNode,",
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31 changes: 29 additions & 2 deletions ifrs17/Report/ReportScopes.ipynb
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Expand Up @@ -269,6 +269,7 @@
"source": [
"public interface BestEstimate: IScope<(ReportIdentity Id, CurrencyType CurrencyType), ReportStorage>, IDataCube<ReportVariable> {",
"\n IDataCube<ReportVariable> BestEstimate => Identity.Id switch {",
"\n { ValuationApproach: ValuationApproaches.PAA } => GetScope<LockedBestEstimate>(Identity).LockedBestEstimate, //TODO we should use the economic basis driver to decide which Economic basis to use",
"\n { ValuationApproach: ValuationApproaches.BBA, IsOci: true } => GetScope<LockedBestEstimate>(Identity).LockedBestEstimate,",
"\n _ => GetScope<CurrentBestEstimate>(Identity).CurrentBestEstimate };",
"\n}",
Expand All @@ -281,6 +282,11 @@
"\npublic interface CurrentBestEstimate: IScope<(ReportIdentity Id, CurrencyType CurrencyType), ReportStorage>, IDataCube<ReportVariable> {",
"\n IDataCube<ReportVariable> CurrentBestEstimate => GetScope<FxData>((Identity.Id, Identity.CurrencyType, EstimateTypes.BE)).FxData",
"\n .Filter((\"LiabilityType\", Identity.Id.LiabilityType), (\"EconomicBasis\", EconomicBases.C), (\"AmountType\", \"!CDRI\"));",
"\n}",
"\n",
"\npublic interface NominalBestEstimate: IScope<(ReportIdentity Id, CurrencyType CurrencyType), ReportStorage>, IDataCube<ReportVariable> {",
"\n IDataCube<ReportVariable> NominalBestEstimate => GetScope<FxData>((Identity.Id, Identity.CurrencyType, EstimateTypes.BE)).FxData",
"\n .Filter((\"LiabilityType\", Identity.Id.LiabilityType), (\"EconomicBasis\", EconomicBases.N), (\"AmountType\", \"!CDRI\"));",
"\n}"
],
"metadata": {},
Expand Down Expand Up @@ -583,7 +589,11 @@
"\n}",
"\n",
"\npublic interface LrcActuarialPaa: LrcActuarial{",
"\n IDataCube<ReportVariable> LrcActuarial.LrcActuarial => -1d * GetScope<Revenues>(Identity).Revenues + GetScope<Deferrals>(Identity).Deferrals + Loreco;",
"\n IDataCube<ReportVariable> LrcActuarial.LrcActuarial => -1d * GetScope<Revenues>(Identity).Revenues + -1d * GetScope<Deferrals>(Identity).Deferrals + Loreco",
"\n + GetScope<BestEstimate>(Identity).BestEstimate",
"\n .Where(x => GetStorage().GetHierarchy<AmountType>().Ancestors(x.AmountType, includeSelf: true).Any(x => x.SystemName == AmountTypes.PR) ||",
"\n GetStorage().GetHierarchy<AmountType>().Ancestors(x.AmountType, includeSelf: true).Any(x => x.SystemName == AmountTypes.DE))",
"\n .ToDataCube();",
"\n}"
],
"metadata": {},
Expand Down Expand Up @@ -1433,6 +1443,14 @@
"\n private IDataCube<ReportVariable> CsmAmortization => -1 * GetScope<Csm>(Identity).Csm",
"\n .Filter((\"VariableType\", AocTypes.AM))",
"\n .SelectToDataCube(v => v with { VariableType = \"ISE22\" });",
"\n",
"\n // Acquistion Expenses Release (Amortization)",
"\n private IDataCube<ReportVariable> AcquistionExpensesAmortization => Identity.Id switch {",
"\n { ValuationApproach: ValuationApproaches.PAA } => Enumerable.Empty<ReportVariable>().ToArray().ToDataCube(),",
"\n _ => -1 * GetScope<Deferrals>(Identity)",
"\n .Filter((\"VariableType\", AocTypes.AM))",
"\n .SelectToDataCube(v => v with { VariableType = \"ISE22\" })",
"\n }; ",
"\n ",
"\n // Loss Recovery Component (Amortization)",
"\n private IDataCube<ReportVariable> Loreco => GetScope<Loreco>(Identity).Loreco.Filter((\"VariableType\", \"!BOP\"),(\"VariableType\", \"!EOP\")) +",
Expand All @@ -1453,6 +1471,15 @@
"\n .AggregateOver(nameof(Novelty), nameof(VariableType))",
"\n .SelectToDataCube(v => v with { Novelty = Novelties.C, VariableType = \"ISE11\" });",
"\n",
"\n // PAA Premiums",
"\n private IDataCube<ReportVariable> Revenues => GetScope<Revenues>(Identity).Revenues.Filter((\"VariableType\", \"AM\"));",
"\n",
"\n private IDataCube<ReportVariable> PaaPremiums => Identity.Id switch {",
"\n { ValuationApproach: ValuationApproaches.PAA } => Revenues",
"\n .SelectToDataCube(v => v with { Novelty = Novelties.C, VariableType = \"ISE201\" }),",
"\n _ => Enumerable.Empty<ReportVariable>().ToArray().ToDataCube()",
"\n };",
"\n",
"\n // Experience Adjustment On Premiums",
"\n private IDataCube<ReportVariable> ReinsuranceActualPremiums => Identity.Id switch {",
"\n { ValuationApproach: ValuationApproaches.PAA } => Enumerable.Empty<ReportVariable>().ToArray().ToDataCube(),",
Expand Down Expand Up @@ -1497,7 +1524,7 @@
"\n .SelectToDataCube(rv => rv with { Novelty = Novelties.C, VariableType = \"ISE24\"});",
"\n",
"\n // Reinsurance",
"\n IDataCube<ReportVariable> InsuranceServiceExpense.Reinsurance => ExpectedClaims + ExpectedClaimsInvestmentComponent + ExpectedExpenses + ExpectedCommissions + RaRelease + CsmAmortization + LorecoAmortization + LorecoNonFinancialChanges + LorecoFinancialChanges + ExperienceAdjustmentOnPremiums + NonFinancialFcfDeltasCorrection;",
"\n IDataCube<ReportVariable> InsuranceServiceExpense.Reinsurance => ExpectedClaims + ExpectedClaimsInvestmentComponent + ExpectedExpenses + ExpectedCommissions + RaRelease + CsmAmortization + AcquistionExpensesAmortization + LorecoAmortization + LorecoNonFinancialChanges + LorecoFinancialChanges + PaaPremiums + ExperienceAdjustmentOnPremiums + NonFinancialFcfDeltasCorrection;",
"\n}",
"\n"
],
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3 changes: 1 addition & 2 deletions ifrs17/Utils/ImportCalculationMethods.ipynb
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Expand Up @@ -51,8 +51,7 @@
"public static double[] ComputeDiscountAndCumulate(this double[] nominalValues, double[] monthlyDiscounting, PeriodType periodType) ",
"\n{ ",
"\n if(nominalValues == null) return Enumerable.Empty<double>().ToArray();",
"\n if(!monthlyDiscounting.Any()) monthlyDiscounting = new double[]{1d}; //Empty discounting array triggers Cumulation. ",
"\n",
"\n ",
"\n var ret = new double[nominalValues.Length];",
"\n ",
"\n if(periodType == PeriodType.BeginningOfPeriod)",
Expand Down