(){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": {},
- "execution_count": 0,
- "outputs": []
- },
{
"cell_type": "code",
"source": [
diff --git a/ifrs17-template/Test/PracticalCase-CSMSwitchTest.ipynb b/ifrs17-template/Test/PracticalCase-CSMSwitchTest.ipynb
index 1dd309db..61f669f9 100644
--- a/ifrs17-template/Test/PracticalCase-CSMSwitchTest.ipynb
+++ b/ifrs17-template/Test/PracticalCase-CSMSwitchTest.ipynb
@@ -145,7 +145,7 @@
"cell_type": "code",
"source": [
"eops.Where(x => x.EstimateType == \"C\").Count().Should().Be(2);",
- "\neops.Where(x => x.EstimateType == \"C\").All(x => Math.Abs(x.Value - 5.71) < 0.01).Should().BeTrue();",
+ "\neops.Where(x => x.EstimateType == \"C\").All(x => Math.Abs(x.Value - 28.524) < 0.01).Should().BeTrue();",
"\neops.Single(x => x.EstimateType == \"L\").Value.Should().BeApproximately(0,Precision);"
],
"metadata": {},
@@ -203,8 +203,8 @@
{
"cell_type": "code",
"source": [
- "var mz11 = financialPerformance.GetDataCube().Where(x => x.GroupOfContract == \"MZ1.1\");",
- "\nvar mz12 = financialPerformance.GetDataCube().Where(x => x.GroupOfContract == \"MZ1.2\");"
+ "var mz11 = financialPerformancealternative.GetDataCube().Where(x => x.GroupOfContract == \"MZ1.1\");",
+ "\nvar mz12 = financialPerformancealternative.GetDataCube().Where(x => x.GroupOfContract == \"MZ1.2\");"
],
"metadata": {},
"execution_count": 0,
@@ -222,21 +222,8 @@
{
"cell_type": "code",
"source": [
- "mz11.Single(x => x.VariableType == \"IR5\" && x.EstimateType ==\"C\").Value",
- "\n .Should().BeApproximately(",
- "\n mz12.Single(x => x.VariableType == \"IR5\" && x.EstimateType ==\"C\").Value + lcIa,",
- "\n Precision",
- "\n );"
- ],
- "metadata": {},
- "execution_count": 0,
- "outputs": []
- },
- {
- "cell_type": "code",
- "source": [
- "mz11.Single(x => x.VariableType == \"ISE11\").Value.Should().BeApproximately(lcIa,Precision);",
- "\nmz12.SingleOrDefault(x => x.VariableType == \"ISE11\")?.Value.Should().BeApproximately(0,Precision);"
+ "mz11.Where(x => x.VariableType == \"ISE11\").Aggregate().Value.Should().BeApproximately(0,Precision);",
+ "\nmz12.Where(x => x.VariableType == \"ISE11\").Aggregate()?.Value.Should().BeApproximately(0,Precision);"
],
"metadata": {},
"execution_count": 0,
@@ -258,7 +245,7 @@
{
"cell_type": "code",
"source": [
- "mz11.Single(x => x.VariableType == \"IFIE1\" && x.EstimateType == \"L\").Value.Should().BeApproximately(-lcIa,Precision);",
+ "mz11.Single(x => x.VariableType == \"IFIE1\" && x.EstimateType == \"L\").Value.Should().BeApproximately(lcIa,Precision);",
"\nmz12.SingleOrDefault(x => x.VariableType == \"IFIE1\" && x.EstimateType == \"L\")?.Value.Should().BeApproximately(0,Precision);"
],
"metadata": {},
diff --git a/ifrs17-template/Test/PracticalCase-CompareReinsuranceTest.ipynb b/ifrs17-template/Test/PracticalCase-CompareReinsuranceTest.ipynb
index 01813e30..cc7a3c31 100644
--- a/ifrs17-template/Test/PracticalCase-CompareReinsuranceTest.ipynb
+++ b/ifrs17-template/Test/PracticalCase-CompareReinsuranceTest.ipynb
@@ -84,7 +84,7 @@
{
"cell_type": "code",
"source": [
- "bops.Where(x => x.GroupOfContract==grossBusinessReinsured && x.Scenario==null).Sum(x=>x.Value).Should().BeApproximately(-100.00828, Precision);"
+ "bops.Where(x => x.GroupOfContract==grossBusinessReinsured && x.Scenario==null).Sum(x=>x.Value).Should().BeApproximately(-100.05818, Precision);"
],
"metadata": {},
"execution_count": 0,
@@ -93,7 +93,7 @@
{
"cell_type": "code",
"source": [
- "bops.Where(x => x.GroupOfContract==grossBusinessReinsured && x.Scenario==\"LR70\").Sum(x=>x.Value).Should().BeApproximately(-0.11643, Precision);"
+ "bops.Where(x => x.GroupOfContract==grossBusinessReinsured && x.Scenario==\"LR70\").Sum(x=>x.Value).Should().BeApproximately(-0.16633, Precision);"
],
"metadata": {},
"execution_count": 0,
@@ -102,7 +102,7 @@
{
"cell_type": "code",
"source": [
- "bops.Where(x => x.GroupOfContract==grossBusinessReinsured && x.Scenario==\"LR80\").Sum(x=>x.Value).Should().BeApproximately(99.77541, Precision);"
+ "bops.Where(x => x.GroupOfContract==grossBusinessReinsured && x.Scenario==\"LR80\").Sum(x=>x.Value).Should().BeApproximately(99.72551, Precision);"
],
"metadata": {},
"execution_count": 0,
@@ -111,7 +111,7 @@
{
"cell_type": "code",
"source": [
- "bops.Where(x => x.GroupOfContract==grossBusinessReinsured && x.Scenario==\"ELR60A70\").Sum(x=>x.Value).Should().BeApproximately(-100.00828, Precision);"
+ "bops.Where(x => x.GroupOfContract==grossBusinessReinsured && x.Scenario==\"ELR60A70\").Sum(x=>x.Value).Should().BeApproximately(-100.05818, Precision);"
],
"metadata": {},
"execution_count": 0,
@@ -120,7 +120,7 @@
{
"cell_type": "code",
"source": [
- "bops.Where(x => x.GroupOfContract==grossBusinessReinsured && x.Scenario==\"ELR60A80\").Sum(x=>x.Value).Should().BeApproximately(-100.00828, Precision);"
+ "bops.Where(x => x.GroupOfContract==grossBusinessReinsured && x.Scenario==\"ELR60A80\").Sum(x=>x.Value).Should().BeApproximately(-100.05818, Precision);"
],
"metadata": {},
"execution_count": 0,
@@ -255,7 +255,7 @@
{
"cell_type": "code",
"source": [
- "csmAM.Where(x => x.Scenario == null).Sum(x => x.Value).Should().BeApproximately(-84.98727, Precision);"
+ "csmAM.Where(x => x.Scenario == null).Sum(x => x.Value).Should().BeApproximately(-85.20050, Precision);"
],
"metadata": {},
"execution_count": 0,
@@ -264,7 +264,7 @@
{
"cell_type": "code",
"source": [
- "csmAM.Where(x => x.Scenario == \"LR70\").Sum(x => x.Value).Should().BeApproximately(-14.98673, Precision);"
+ "csmAM.Where(x => x.Scenario == \"LR70\").Sum(x => x.Value).Should().BeApproximately(-15.134430, Precision);"
],
"metadata": {},
"execution_count": 0,
@@ -273,7 +273,7 @@
{
"cell_type": "code",
"source": [
- "csmAM.Where(x => x.Scenario == \"LR80\").Sum(x => x.Value).Should().BeApproximately(-55.01463, Precision);"
+ "csmAM.Where(x => x.Scenario == \"LR80\").Sum(x => x.Value).Should().BeApproximately(-114.94080, Precision);"
],
"metadata": {},
"execution_count": 0,
@@ -300,7 +300,7 @@
{
"cell_type": "code",
"source": [
- "pnl.Where(x => x.Scenario == \"Best Estimate\").Sum(x => x.Value).Should().BeApproximately(84.99882, Precision);"
+ "pnl.Where(x => x.Scenario == \"Best Estimate\").Sum(x => x.Value).Should().BeApproximately(85.0, Precision);"
],
"metadata": {},
"execution_count": 0,
@@ -309,7 +309,7 @@
{
"cell_type": "code",
"source": [
- "pnl.Where(x => x.Scenario == \"LR70\").Sum(x => x.Value).Should().BeApproximately(15.00021, Precision);"
+ "pnl.Where(x => x.Scenario == \"LR70\").Sum(x => x.Value).Should().BeApproximately(15.0, Precision);"
],
"metadata": {},
"execution_count": 0,
@@ -318,7 +318,7 @@
{
"cell_type": "code",
"source": [
- "pnl.Where(x => x.Scenario == \"LR80\").Sum(x => x.Value).Should().BeApproximately(-55.00076, Precision);"
+ "pnl.Where(x => x.Scenario == \"LR80\").Sum(x => x.Value).Should().BeApproximately(-55.0, Precision);"
],
"metadata": {},
"execution_count": 0,
@@ -327,7 +327,7 @@
{
"cell_type": "code",
"source": [
- "pnl.Where(x => x.Scenario == \"ELR60A70\").Sum(x => x.Value).Should().BeApproximately(14.99882, Precision);"
+ "pnl.Where(x => x.Scenario == \"ELR60A70\").Sum(x => x.Value).Should().BeApproximately(15.0, Precision);"
],
"metadata": {},
"execution_count": 0,
@@ -336,7 +336,7 @@
{
"cell_type": "code",
"source": [
- "pnl.Where(x => x.Scenario == \"ELR60A80\").Sum(x => x.Value).Should().BeApproximately(-55.00117, Precision);"
+ "pnl.Where(x => x.Scenario == \"ELR60A80\").Sum(x => x.Value).Should().BeApproximately(-55.0, Precision);"
],
"metadata": {},
"execution_count": 0,
diff --git a/ifrs17-template/Test/ReimportTest.ipynb b/ifrs17-template/Test/ReimportTest.ipynb
new file mode 100644
index 00000000..0a886ea3
--- /dev/null
+++ b/ifrs17-template/Test/ReimportTest.ipynb
@@ -0,0 +1,348 @@
+{
+ "metadata": {
+ "authors": [],
+ "id": "VOS67A7-B0Omk1s4TFC3LQ",
+ "kernelspec": {
+ "display_name": "Formula Framework",
+ "language": "C#",
+ "name": "C#"
+ },
+ "language_info": {
+ "file_extension": ".cs",
+ "mimetype": "text/plain",
+ "name": "C#"
+ }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 5,
+ "cells": [
+ {
+ "cell_type": "markdown",
+ "source": [
+ " Reimport of Transactional Data Test
"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "#!eval-notebook \"../Initialization/InitSystemorphBaseToMemory\""
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "# Check Method"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "public async Task ReimportAndCompare((string transactionalData, string importFormat) importData, DataNodeState[] dataNodeStates)",
+ "\n{",
+ "\n var workspace = Workspace.CreateNew();",
+ "\n workspace.Initialize(x => x.FromSource(DataSource).DisableInitialization().DisableInitialization().DisableInitialization());",
+ "\n await workspace.UpdateAsync(dataNodeStates);",
+ "\n",
+ "\n Activity.Start();",
+ "\n var importActivity = await Import.FromString(importData.transactionalData).WithFormat(importData.importFormat).WithTarget(workspace).ExecuteAsync();",
+ "\n if(importActivity.RepeatOnce().ToArray().HasErrors()) return importActivity;",
+ "\n ",
+ "\n var firstImportRawVariable = workspace.Query().ToArray();",
+ "\n var firstImportIfrsVariable = workspace.Query().ToArray();",
+ "\n",
+ "\n var reimportActivity = await Import.FromString(importData.transactionalData).WithFormat(importData.importFormat).WithTarget(workspace).ExecuteAsync();",
+ "\n if(reimportActivity.RepeatOnce().ToArray().HasErrors()) return reimportActivity;",
+ "\n",
+ "\n var secondImportRawVariable = workspace.Query().ToArray();",
+ "\n var secondImportIfrsVariable = workspace.Query().ToArray();",
+ "\n",
+ "\n List errors = new List();",
+ "\n var missingRawVariables = firstImportRawVariable.Except(secondImportRawVariable, RawVariableComparer.Instance(ignoreValues: false));",
+ "\n var missingIfrsVariables = firstImportIfrsVariable.Except(secondImportIfrsVariable, IfrsVariableComparer.Instance(ignoreValues: false));",
+ "\n var extraRawVariables = secondImportRawVariable.Except(firstImportRawVariable, RawVariableComparer.Instance(ignoreValues: false));",
+ "\n var extraIfrsVariables = secondImportIfrsVariable.Except(firstImportIfrsVariable, IfrsVariableComparer.Instance(ignoreValues: false));",
+ "\n",
+ "\n if(missingRawVariables.Any()) errors.Add($\"Missing RawVariables after the reimport: {string.Join(\"\\n\", missingRawVariables.ToList())}.\");",
+ "\n if(missingIfrsVariables.Any()) errors.Add($\"Missing IfrsVariables after the reimport: {string.Join(\"\\n\", missingIfrsVariables.ToList())}.\");",
+ "\n if(extraRawVariables.Any()) errors.Add($\"Extra RawVariables after the reimport: {string.Join(\"\\n\", extraRawVariables.ToList())}.\");",
+ "\n if(extraIfrsVariables.Any()) errors.Add($\"Extra IfrsVariables after the reimport: {string.Join(\"\\n\", extraIfrsVariables.ToList())}.\");",
+ "\n ",
+ "\n if(errors.Any()) ApplicationMessage.Log(Error.Generic, string.Join(\"\\n\", errors));",
+ "\n",
+ "\n ApplicationMessage.Log(Warning.Generic, \"Count of IfrsVariables in workspace: \" + secondImportIfrsVariable.Count());",
+ "\n ApplicationMessage.Log(Warning.Generic, \"Count of RawVariables in workspace: \" + secondImportRawVariable.Count());",
+ "\n return Activity.Finish();",
+ "\n}"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "# Data Preparation"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "Create:",
+ "\n- Import args for current year (2021)",
+ "\n- Import args for previous year (2020)",
+ "\n- Partition by Reporting Node (using details from most recent args)"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "var args = new ImportArgs(\"CH\", 2021, 3, Periodicity.Quarterly, null, null);",
+ "\nvar previousArgs = new ImportArgs(\"CH\", 2020, 12, Periodicity.Quarterly, null, null);",
+ "\n",
+ "\nvar partitionByReportingNode = new PartitionByReportingNode { Id = (Guid)(await DataSource.Partition.GetKeyForInstanceAsync(args)), ReportingNode = args.ReportingNode };"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "Create 5 data node states:",
+ "\n- dt11StatePrevious",
+ "\n- dtr11StatePrevious",
+ "\n- dt11State",
+ "\n- dtr11State",
+ "\n- dt13State"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "var dt11StatePrevious = new DataNodeState { DataNode = \"DT1.1\", State = State.Active, Year = previousArgs.Year, Month = previousArgs.Month, Partition = partitionByReportingNode.Id };",
+ "\n",
+ "\nvar dtr11StatePrevious = new DataNodeState { DataNode = \"DTR1.1\", State = State.Active, Year = previousArgs.Year, Month = previousArgs.Month, Partition = partitionByReportingNode.Id };",
+ "\n",
+ "\nvar dt11State = new DataNodeState { DataNode = \"DT1.1\", State = State.Active, Year = args.Year, Month = args.Month, Partition = partitionByReportingNode.Id };",
+ "\n",
+ "\nvar dtr11State = new DataNodeState { DataNode = \"DTR1.1\", State = State.Active, Year = args.Year, Month = args.Month, Partition = partitionByReportingNode.Id };",
+ "\n",
+ "\nvar dt13State = new DataNodeState { DataNode = \"DT1.3\", State = State.Active, Year = args.Year, Month = args.Month, Partition = partitionByReportingNode.Id };"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "# Test Transactional Data"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "## Reimport Openings for DataNode at Inception"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "Create openings for a data node at inception (DT1.1) and import more than once."
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "var openings = @\"",
+ "\n@@Main,,,,",
+ "\nReportingNode,Year,Month,,",
+ "\nCH,2021,3,,",
+ "\n@@Opening,,,,",
+ "\nDataNode,EstimateType,AmountType,AccidentYear,Value",
+ "\nDT1.1,C,,,72.2",
+ "\nDT1.1,AA,PR,,-1.5",
+ "\nDT1.1,OA,PR,,1.5",
+ "\n\";"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "var activity = await ReimportAndCompare((openings, ImportFormats.Opening), new [] { dt11State, dtr11State });",
+ "\nactivity"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "activity.Status.Should().Be(ActivityLogStatus.Succeeded);"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "## Reimport Actuals for Both: DataNode at Inception and DataNode Not at Inception"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "Create an actuals file that contains data for both a data node at inception (DT1.3) and a data node not at inception (DT1.1). ",
+ "\n",
+ "\nImport this file more than once."
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "var actuals = @\"",
+ "\n@@Main,,,,,",
+ "\nReportingNode,Year,Month,,,",
+ "\nCH,2021,3,,,",
+ "\n@@Actual,,,,,",
+ "\nDataNode,AocType,AmountType,EstimateType,AccidentYear,Value",
+ "\nDT1.1,CF,PR,A,,90",
+ "\nDT1.1,CF,ICO,A,,-6",
+ "\nDT1.1,CF,NIC,A,,-70",
+ "\nDT1.1,CF,ACA,A,,-10",
+ "\nDT1.1,CF,AEA,A,,-5",
+ "\nDT1.3,CF,PR,A,,90",
+ "\nDT1.3,CF,ICO,A,,-6",
+ "\nDT1.3,CF,NIC,A,,-70",
+ "\nDT1.3,CF,ACA,A,,-10",
+ "\nDT1.3,CF,AEA,A,,-5\";"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "var activity = await ReimportAndCompare((actuals, ImportFormats.Actual), new[] {dt11StatePrevious, dtr11StatePrevious, dt13State});",
+ "\nactivity"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "activity.Status.Should().Be(ActivityLogStatus.Succeeded);"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "## Reimport Cashflows for Linked Reinsurance Not at Inception"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "Create a cashflows file that contains data for a data node not at inception (DTR1.1). ",
+ "\n",
+ "\nImport this file more than once."
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "var cashflows = @\"",
+ "\n@@Main,,,,,,,,,,,,,,,,,,,,,,,,,,",
+ "\nReportingNode,Year,Month,,,,,,,,,,,,,,,,,,,,,,,,",
+ "\nCH,2021,3,,,,,,,,,,,,,,,,,,,,,,,,",
+ "\n@@Cashflow,,,,,,,,,,,,,,,,,,,,,,,,,,",
+ "\nDataNode,AmountType,EstimateType,AocType,Novelty,AccidentYear,Values0,Values1,Values2,Values3,Values4,Values5,Values6,Values7,Values8,Values9,Values10,Values11,Values12,Values13,Values14,Values15,Values16,Values17,Values18,Values19,Values20",
+ "\nDTR1.1,PR,BE,CL,C,,0,-57.5,0,0,-57.5,0,0,-57.5,0,0,-57.5,0,0,0,0,0,0,0,0,0,0",
+ "\nDTR1.1,CU,P,CL,C,,0,1,0,0,1,0,0,1,0,0,1,0,0,0,0,0,0,0,0,0,0",
+ "\nDTR1.1,NIC,BE,CL,C,,15,15,15,15,15,15,15,15,15,15,15,15,0,0,0,0,0,0,0,0,0",
+ "\nDTR1.1,,RA,CL,C,,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,0,0,0,0,0,0,0,0,0\";"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "var activity = await ReimportAndCompare((cashflows, ImportFormats.Cashflow), new[] {dt11StatePrevious, dtr11StatePrevious});",
+ "\nactivity"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "activity.Status.Should().Be(ActivityLogStatus.Succeeded);"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ ""
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ }
+ ]
+}
\ No newline at end of file
diff --git a/ifrs17-template/Test/ScenarioDataImportTest.ipynb b/ifrs17-template/Test/ScenarioDataImportTest.ipynb
index f943b73e..5355df41 100644
--- a/ifrs17-template/Test/ScenarioDataImportTest.ipynb
+++ b/ifrs17-template/Test/ScenarioDataImportTest.ipynb
@@ -112,13 +112,14 @@
"\nCH,2020,12,",
"\n@@Cashflow",
"\nDataNode,AmountType,EstimateType,AocType,Novelty,AccidentYear,Values0,Values1,Values2,Values3,Values4,Values5,Values6,Values7,Values8,Values9,Values10,Values11,Values12,Values13,Values14,Values15,Values16,Values17,Values18,Values19,Values20,Values21,Values22,Values23",
- "\nDT1.1,PR,BE,CL,C,,100,0,0,100,0,0,100,0,0,100,0,0,0,100,0,0,100,0,0,100,0,0,100,0",
+ "\nDT1.1,PR,BE,CL,C,,200,0,0,200,0,0,200,0,0,200,0,0,0,200,0,0,200,0,0,200,0,0,200,0",
"\nDT1.1,NIC,BE,CL,C,,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25",
- "\nDT1.1,,CU,CL,C,,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-3",
+ "\nDT1.1,DAE,BE,CL,C,,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25",
+ "\nDT1.1,CU,P,CL,C,,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-3",
"\nDT1.1,,RA,CL,C,,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5",
"\nDTR1.1,PR,BE,CL,C,,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0",
"\nDTR1.1,NIC,BE,CL,C,,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5",
- "\nDTR1.1,,CU,CL,C,,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5",
+ "\nDTR1.1,CU,P,CL,C,,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5",
"\nDTR1.1,,RA,CL,C,,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25\";"
],
"metadata": {},
@@ -143,8 +144,7 @@
"\nCH,2020,12,",
"\n@@Actual",
"\nDataNode,AocType,AmountType,EstimateType,AccidentYear,Value",
- "\nDT1.1,CF,ACA,A,,-10",
- "\nDT1.1,CF,AEA,A,,-5",
+ "\nDT1.1,CF,DAE,A,,-250",
"\nDT1.1,CF,NIC,A,,-280",
"\nDT1.1,CF,PR,A,,400",
"\nDTR1.1,CF,PR,A,,-200",
@@ -192,7 +192,7 @@
"\nDataNode,AmountType,EstimateType,AocType,Novelty,AccidentYear,Values0,Values1,Values2,Values3,Values4,Values5,Values6,Values7,Values8,Values9,Values10,Values11,Values12,Values13,Values14,Values15,Values16,Values17,Values18,Values19,Values20,Values21,Values22,Values23",
"\nDT1.1,PR,BE,CL,C,,110,0,0,110,0,0,110,0,0,110,0,0,0,110,0,0,110,0,0,110,0,0,110,0",
"\nDT1.1,NIC,BE,CL,C,,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5,-27.5",
- "\nDT1.1,,CU,CL,C,,-11,-11,-11,-11,-11,-11,-11,-11,-11,-11,-11,-11,-11,-5.5,-5.5,-5.5,-5.5,-5.5,-5.5,-5.5,-5.5,-53.5,-52.5,-31.3",
+ "\nDT1.1,CU,P,CL,C,,-11,-11,-11,-11,-11,-11,-11,-11,-11,-11,-11,-11,-11,-5.5,-5.5,-5.5,-5.5,-5.5,-5.5,-5.5,-5.5,-53.5,-52.5,-31.3",
"\nDT1.1,,RA,CL,C,,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75,-2.75\";"
],
"metadata": {},
@@ -294,7 +294,7 @@
{
"cell_type": "markdown",
"source": [
- "# Update of Deferrable Actuals with a Scenario Coverage Units Import"
+ "# Update of Deferrable with a Scenario Coverage Units Import"
],
"metadata": {},
"execution_count": 0,
@@ -303,7 +303,7 @@
{
"cell_type": "markdown",
"source": [
- "Update CU cashflow for scenario and check that the Amortization Factor (and hence the Deferrable Actual) is updated"
+ "Update CU cashflow for scenario and check that the Amortization Factor (and hence the Deferrables) is updated"
],
"metadata": {},
"execution_count": 0,
@@ -318,7 +318,7 @@
"\nCH,2020,12,MTUP10pct",
"\n@@Cashflow",
"\nDataNode,AmountType,EstimateType,AocType,Novelty,AccidentYear,Values0,Values1,Values2,Values3,Values4,Values5,Values6,Values7,Values8,Values9,Values10,Values11,Values12,Values13,Values14,Values15,Values16,Values17,Values18,Values19,Values20,Values21,Values22,Values23",
- "\nDT1.1,,CU,CL,C,,-17,-17,-17,-17,-17,-17,-17,-17,-17,-17,-17,-17,-17,-6.5,-6.5,-6.5,-6.5,-6.5,-6.5,-6.5,-6.5,-6.5,-7.5,-8.5\";"
+ "\nDT1.1,CU,P,CL,C,,-17,-17,-17,-17,-17,-17,-17,-17,-17,-17,-17,-17,-17,-6.5,-6.5,-6.5,-6.5,-6.5,-6.5,-6.5,-6.5,-6.5,-7.5,-8.5\";"
],
"metadata": {},
"execution_count": 0,
@@ -363,7 +363,7 @@
{
"cell_type": "markdown",
"source": [
- "# Update of Deferrable Actuals with a Scenario ACA/AEA Import"
+ "# Update of Deferrable with a Scenario DAE Import"
],
"metadata": {},
"execution_count": 0,
@@ -378,8 +378,7 @@
"\nCH,2020,12,MTUP10pct",
"\n@@Actual",
"\nDataNode,AocType,AmountType,EstimateType,AccidentYear,Value",
- "\nDT1.1,CF,ACA,A,,-555",
- "\nDT1.1,CF,AEA,A,,-777\";"
+ "\nDT1.1,CF,DAE,A,,-777\";"
],
"metadata": {},
"execution_count": 0,
@@ -398,8 +397,8 @@
"cell_type": "code",
"source": [
"await DataSource.Partition.SetAsync(argsScenario);",
- "\nvar ivsScenarioActualUpdateACAAEA = await DataSource.Query().ToArrayAsync();",
- "\nvar diffs = ivsScenarioActualUpdateACAAEA.Except(ivsScenarioCashflowUpdateCU, IfrsVariableComparer.Instance());",
+ "\nvar ivsScenarioActualUpdateDae = await DataSource.Query().ToArrayAsync();",
+ "\nvar diffs = ivsScenarioActualUpdateDae.Except(ivsScenarioCashflowUpdateCU, IfrsVariableComparer.Instance());",
"\nvar actualVars = diffs.Where(x => onlyActualEstimateTypes.Contains(x.EstimateType)).ToArray();",
"\nvar cashflowVars = diffs.Where(x => onlyCashflowEstimateTypes.Contains(x.EstimateType)).ToArray();",
"\nvar actualAndCashflowVars = diffs.Where(x => actualAndCashflowEstimateTypes.Contains(x.EstimateType)).ToArray();"
@@ -423,7 +422,7 @@
{
"cell_type": "markdown",
"source": [
- "# Removal of Deferrable Actuals with a Actual Scenario Import"
+ "# Removal of Deferrable EA with a Actual Scenario Import"
],
"metadata": {},
"execution_count": 0,
@@ -432,7 +431,7 @@
{
"cell_type": "markdown",
"source": [
- "Set ACA and AEA to zero and check that DA is removed"
+ "Set DAE to zero and check that DA is changed"
],
"metadata": {},
"execution_count": 0,
@@ -441,14 +440,13 @@
{
"cell_type": "code",
"source": [
- "var actualsScenarioNoACAAEA = @\"",
+ "var actualsScenarioNoDae = @\"",
"\n@@Main",
"\nReportingNode,Year,Month,Scenario",
"\nCH,2020,12,MTUP10pct",
"\n@@Actual",
"\nDataNode,AocType,AmountType,EstimateType,AccidentYear,Value",
- "\nDT1.1,CF,ACA,A,,0",
- "\nDT1.1,CF,AEA,A,,0\";"
+ "\nDT1.1,CF,DAE,A,,0\";"
],
"metadata": {},
"execution_count": 0,
@@ -457,7 +455,7 @@
{
"cell_type": "code",
"source": [
- "await Import.FromString(actualsScenarioNoACAAEA).WithFormat(ImportFormats.Actual).WithTarget(DataSource).ExecuteAsync()"
+ "await Import.FromString(actualsScenarioNoDae).WithFormat(ImportFormats.Actual).WithTarget(DataSource).ExecuteAsync()"
],
"metadata": {},
"execution_count": 0,
@@ -467,8 +465,8 @@
"cell_type": "code",
"source": [
"await DataSource.Partition.SetAsync(argsScenario);",
- "\nvar ivsScenarioActualNoACAAEA = await DataSource.Query().ToArrayAsync();",
- "\nvar diffs = ivsScenarioActualNoACAAEA.Except(ivsScenarioActualUpdateACAAEA, IfrsVariableComparer.Instance());"
+ "\nvar ivsScenarioActualNoDaeEA = await DataSource.Query().ToArrayAsync();",
+ "\nvar diffs = ivsScenarioActualNoDaeEA.Except(ivsScenarioActualUpdateDae, IfrsVariableComparer.Instance());"
],
"metadata": {},
"execution_count": 0,
@@ -478,8 +476,8 @@
"cell_type": "code",
"source": [
"diffs.Where(x => x.EstimateType == EstimateTypes.DA).ToArray().Length.Should().NotBe(0);",
- "\nivsScenarioActualNoACAAEA.Where(x => x.EstimateType == EstimateTypes.F).Count().Should().NotBe(0);",
- "\nivsScenarioActualNoACAAEA.Where(x => x.EstimateType == EstimateTypes.DA && x.Values.Any(v => Math.Abs(v) > Precision)).Count().Should().Be(0);"
+ "\nivsScenarioActualNoDaeEA.Where(x => x.EstimateType == EstimateTypes.F).Count().Should().NotBe(0);",
+ "\nivsScenarioActualNoDaeEA.Where(x => x.EstimateType == EstimateTypes.DA && x.AocType == AocTypes.EA && x.Values.Any(v => Math.Abs(v) > Precision)).Count().Should().Be(0);"
],
"metadata": {},
"execution_count": 0,
@@ -503,9 +501,10 @@
"\nCH,2020,12,MTUP10pct",
"\n@@Cashflow",
"\nDataNode,AmountType,EstimateType,AocType,Novelty,AccidentYear,Values0,Values1,Values2,Values3,Values4,Values5,Values6,Values7,Values8,Values9,Values10,Values11,Values12,Values13,Values14,Values15,Values16,Values17,Values18,Values19,Values20,Values21,Values22,Values23",
- "\nDT1.1,PR,BE,CL,C,,100,0,0,100,0,0,100,0,0,100,0,0,0,100,0,0,100,0,0,100,0,0,100,0",
+ "\nDT1.1,PR,BE,CL,C,,200,0,0,200,0,0,200,0,0,200,0,0,0,200,0,0,200,0,0,200,0,0,200,0",
"\nDT1.1,NIC,BE,CL,C,,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25",
- "\nDT1.1,,CU,CL,C,,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-3",
+ "\nDT1.1,DAE,BE,CL,C,,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25",
+ "\nDT1.1,CU,P,CL,C,,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-3",
"\nDT1.1,,RA,CL,C,,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5\";"
],
"metadata": {},
@@ -521,9 +520,11 @@
"\nCH,2020,12,MTUP10pct",
"\n@@Actual",
"\nDataNode,AocType,AmountType,EstimateType,AccidentYear,Value",
- "\nDT1.1,CF,ACA,A,,-10",
- "\nDT1.1,CF,AEA,A,,-5",
- "\nDT1.1,CF,NIC,A,,-280\";"
+ "\nDT1.1,CF,DAE,A,,-250",
+ "\nDT1.1,CF,NIC,A,,-280",
+ "\nDT1.1,CF,PR,A,,400",
+ "\nDTR1.1,CF,PR,A,,-200",
+ "\nDTR1.1,CF,NIC,A,,140\";"
],
"metadata": {},
"execution_count": 0,
@@ -596,11 +597,12 @@
"\nDataNode,AmountType,EstimateType,AocType,Novelty,AccidentYear,Values0,Values1,Values2,Values3,Values4,Values5,Values6,Values7,Values8,Values9,Values10,Values11,Values12,Values13,Values14,Values15,Values16,Values17,Values18,Values19,Values20,Values21,Values22,Values23",
"\nDT1.1,PR,BE,CL,C,,210,0,0,210,0,0,210,0,0,210,0,0,0,210,0,0,210,0,0,210,0,0,210,0",
"\nDT1.1,NIC,BE,CL,C,,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37",
- "\nDT1.1,,CU,CL,C,,-21,-21,-21,-21,-21,-21,-21,-21,-21,-21,-21,-21,-21,-17,-17,-17,-17,-17,-17,-17,-17,-17,-17,-3.3",
+ "\nDT1.1,DAE,BE,CL,C,,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26",
+ "\nDT1.1,CU,P,CL,C,,-21,-21,-21,-21,-21,-21,-21,-21,-21,-21,-21,-21,-21,-17,-17,-17,-17,-17,-17,-17,-17,-17,-17,-3.3",
"\nDT1.1,,RA,CL,C,,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42",
"\nDTR1.1,PR,BE,CL,C,,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0",
"\nDTR1.1,NIC,BE,CL,C,,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5",
- "\nDTR1.1,,CU,CL,C,,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5",
+ "\nDTR1.1,CU,P,CL,C,,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5",
"\nDTR1.1,,RA,CL,C,,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25\";"
],
"metadata": {},
@@ -683,7 +685,8 @@
"\nDT1.1,ICO,BE,CL,C,,-3,-3,-3,-3,-3,-3,-3,-3,-3,-3,-3,-3,-3,-3,-3,-3,-3,-3,-3,-3,-3,-3,-3,-3",
"\nDT1.1,PR,BE,CL,C,,210,0,0,210,0,0,210,0,0,210,0,0,0,210,0,0,210,0,0,210,0,0,210,0",
"\nDT1.1,NIC,BE,CL,C,,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37,-37",
- "\nDT1.1,,CU,CL,C,,-21,-21,-21,-21,-21,-21,-21,-21,-21,-21,-21,-21,-21,-17,-17,-17,-17,-17,-17,-17,-17,-17,-17,-3.3",
+ "\nDT1.1,DAE,BE,CL,C,,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26",
+ "\nDT1.1,CU,P,CL,C,,-21,-21,-21,-21,-21,-21,-21,-21,-21,-21,-21,-21,-21,-17,-17,-17,-17,-17,-17,-17,-17,-17,-17,-3.3",
"\nDT1.1,,RA,CL,C,,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42,-42\";"
],
"metadata": {},
@@ -872,7 +875,8 @@
"\nDataNode,AmountType,EstimateType,AocType,Novelty,AccidentYear,Values0,Values1,Values2,Values3,Values4,Values5,Values6,Values7,Values8,Values9,Values10,Values11,Values12,Values13,Values14,Values15,Values16,Values17,Values18,Values19,Values20,Values21,Values22,Values23",
"\nDT1.1,PR,BE,CL,C,,200,0,0,200,0,0,200,0,0,200,0,0,0,200,0,0,200,0,0,200,0,0,200,0",
"\nDT1.1,NIC,BE,CL,C,,-33,-33,-33,-33,-33,-33,-33,-33,-33,-33,-33,-33,-33,-33,-33,-33,-33,-33,-33,-33,-33,-33,-33,-33",
- "\nDT1.1,,CU,CL,C,,-719,-71,-70,-70,-69,-69,-68,-68,-67,-67,-66,-66,-65,-65,-64,-64,-63,-63,-62,-62,-61,-61,-60,-60",
+ "\nDT1.1,DAE,BE,CL,C,,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26,-26",
+ "\nDT1.1,CU,P,CL,C,,-719,-71,-70,-70,-69,-69,-68,-68,-67,-67,-66,-66,-65,-65,-64,-64,-63,-63,-62,-62,-61,-61,-60,-60",
"\nDT1.1,,RA,CL,C,,-45,-45,-45,-45,-45,-45,-45,-45,-45,-45,-45,-45,-45,-45,-45,-45,-45,-45,-45,-45,-45,-45,-45,-45\";"
],
"metadata": {},
diff --git a/ifrs17-template/Test/ScenarioParametersImportTest.ipynb b/ifrs17-template/Test/ScenarioParametersImportTest.ipynb
index 5dd27700..0abc120e 100644
--- a/ifrs17-template/Test/ScenarioParametersImportTest.ipynb
+++ b/ifrs17-template/Test/ScenarioParametersImportTest.ipynb
@@ -114,11 +114,11 @@
"\nDataNode,AmountType,EstimateType,AocType,Novelty,AccidentYear,Values0,Values1,Values2,Values3,Values4,Values5,Values6,Values7,Values8,Values9,Values10,Values11,Values12,Values13,Values14,Values15,Values16,Values17,Values18,Values19,Values20,Values21,Values22,Values23",
"\nDT1.1,PR,BE,CL,C,,100,0,0,100,0,0,100,0,0,100,0,0,0,100,0,0,100,0,0,100,0,0,100,0",
"\nDT1.1,NIC,BE,CL,C,,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25",
- "\nDT1.1,,CU,CL,C,,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-3",
+ "\nDT1.1,CU,P,CL,C,,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-3",
"\nDT1.1,,RA,CL,C,,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5",
"\nDTR1.1,PR,BE,CL,C,,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0",
"\nDTR1.1,NIC,BE,CL,C,,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5",
- "\nDTR1.1,,CU,CL,C,,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5",
+ "\nDTR1.1,CU,P,CL,C,,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5",
"\nDTR1.1,,RA,CL,C,,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25\";"
],
"metadata": {},
@@ -260,7 +260,7 @@
{
"cell_type": "code",
"source": [
- "((log.Warnings.FirstOrDefault()?.ToString().Remove(0,40).Remove(125,2)?? \"\") == Get(Warning.VariablesAlreadyImported)).Should().Be(true);"
+ "((log.Warnings.FirstOrDefault()?.ToString().Remove(0,40).Remove(125,2)?? \"\") == Warning.VariablesAlreadyImported.GetMessage()).Should().Be(true);"
],
"metadata": {},
"execution_count": 0,
@@ -314,11 +314,11 @@
"\nDataNode,AmountType,EstimateType,AocType,Novelty,AccidentYear,Values0,Values1,Values2,Values3,Values4,Values5,Values6,Values7,Values8,Values9,Values10,Values11,Values12,Values13,Values14,Values15,Values16,Values17,Values18,Values19,Values20,Values21,Values22,Values23",
"\nDT1.1,PR,BE,CL,C,,131,0,0,111,0,0,111,0,0,111,0,0,0,111,0,0,111,0,0,111,0,0,111,0",
"\nDT1.1,NIC,BE,CL,C,,-31,-31,-31,-31,-31,-31,-31,-31,-31,-31,-31,-31,-31,-31,-31,-31,-31,-31,-31,-31,-31,-31,-31,-31",
- "\nDT1.1,,CU,CL,C,,-11,-11,-11,-11,-11,-11,-11,-11,-11,-11,-11,-11,-11,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-3",
+ "\nDT1.1,CU,P,CL,C,,-11,-11,-11,-11,-11,-11,-11,-11,-11,-11,-11,-11,-11,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-3",
"\nDT1.1,,RA,CL,C,,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6,-2.6",
"\nDTR1.1,PR,BE,CL,C,,51,0,0,51,0,0,51,0,0,51,0,0,51,0,0,51,0,0,51,0,0,51,0,0",
"\nDTR1.1,NIC,BE,CL,C,,13,13,13,13,13,13,13,13,13,13,13,13,13,13,13,13,13,13,13,13,13,13,13,13",
- "\nDTR1.1,,CU,CL,C,,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5",
+ "\nDTR1.1,CU,P,CL,C,,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5",
"\nDTR1.1,,RA,CL,C,,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31,1.31\";"
],
"metadata": {},
diff --git a/ifrs17-template/Test/ScenarioYieldCurveImportTest.ipynb b/ifrs17-template/Test/ScenarioYieldCurveImportTest.ipynb
index a356e39d..cc65f604 100644
--- a/ifrs17-template/Test/ScenarioYieldCurveImportTest.ipynb
+++ b/ifrs17-template/Test/ScenarioYieldCurveImportTest.ipynb
@@ -114,8 +114,9 @@
"\nYear,Month,Scenario",
"\n2020,1,",
"\n@@YieldCurve",
- "\nCurrency,Values0,Values1,Values2,Values3",
- "\nUSD,0.002,0.002,0.002,0.002\";"
+ "\nCurrency,Values0,Values1,Values2,Values3,Name",
+ "\nUSD,0.002,0.002,0.002,0.002,",
+ "\nEUR,0.002,0.002,0.002,0.002,NoDiscount\";"
],
"metadata": {},
"execution_count": 0,
@@ -141,11 +142,11 @@
"\nDataNode,AmountType,EstimateType,AocType,Novelty,AccidentYear,Values0,Values1,Values2,Values3,Values4,Values5,Values6,Values7,Values8,Values9,Values10,Values11,Values12,Values13,Values14,Values15,Values16,Values17,Values18,Values19,Values20,Values21,Values22,Values23",
"\nDT1.1,PR,BE,CL,C,,100,0,0,100,0,0,100,0,0,100,0,0,0,100,0,0,100,0,0,100,0,0,100,0",
"\nDT1.1,NIC,BE,CL,C,,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25,-25",
- "\nDT1.1,,CU,CL,C,,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-3",
+ "\nDT1.1,CU,P,CL,C,,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-10,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-3",
"\nDT1.1,,RA,CL,C,,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5,-2.5",
"\nDTR1.1,PR,BE,CL,C,,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0",
"\nDTR1.1,NIC,BE,CL,C,,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5",
- "\nDTR1.1,,CU,CL,C,,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5",
+ "\nDTR1.1,CU,P,CL,C,,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5",
"\nDTR1.1,,RA,CL,C,,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25\";"
],
"metadata": {},
@@ -217,10 +218,11 @@
"\nYear,Month,Scenario",
"\n2020,12,YCUP1.0pct",
"\n@@YieldCurve",
- "\nCurrency,Values0,Values1,Values2,Values3",
- "\nEUR,0.108,0.108,0.118,0.119",
- "\nCHF,0.102,0.102,0.102,0.102",
- "\nUSD,0.102,0.102,0.102,0.102\";"
+ "\nCurrency,Values0,Values1,Values2,Values3,Name",
+ "\nEUR,0.108,0.108,0.118,0.119,",
+ "\nCHF,0.102,0.102,0.102,0.102,",
+ "\nUSD,0.102,0.102,0.102,0.102,",
+ "\nEUR,0.002,0.002,0.002,0.002,3PCT\";"
],
"metadata": {},
"execution_count": 0,
@@ -288,7 +290,7 @@
{
"cell_type": "code",
"source": [
- "((log.Warnings.FirstOrDefault()?.ToString().Remove(0,40).Remove(125,2)?? \"\") == Get(Warning.VariablesAlreadyImported)).Should().Be(true);"
+ "((log.Warnings.FirstOrDefault()?.ToString().Remove(0,40).Remove(125,2)?? \"\") == Warning.VariablesAlreadyImported.GetMessage()).Should().Be(true);"
],
"metadata": {},
"execution_count": 0,
@@ -381,7 +383,7 @@
"\nYear,Month",
"\n2020,12",
"\n@@YieldCurve",
- "\nCurrency,Values0,Values1,Values2,Values3",
+ "\nCurrency,Values0,Values1,Values2,Values3,Name",
"\nUSD,0.006,0.004,0.004,0.005\";"
],
"metadata": {},
@@ -634,8 +636,13 @@
"\n@@Cashflow",
"\nDataNode,AmountType,EstimateType,AocType,Novelty,AccidentYear,Values0,Values1,Values2,Values3,Values4,Values5,Values6,Values7,Values8,Values9,Values10,Values11,Values12,Values13,Values14,Values15,Values16,Values17,Values18,Values19,Values20,Values21,Values22,Values23",
"\nDT1.1,PR,BE,CL,C,,80,0,0,80,0,0,80,0,0,80,0,0,0,80,0,0,80,0,0,80,0,0,80,0",
+ "\nDT1.1,CU,P,CL,C,,1,0,0,1,0,0,1,0,0,1,0,0,0,1,0,0,1,0,0,1,0,0,1,0",
"\nDT1.1,NIC,BE,CL,C,,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3,-22.3",
- "\nDT1.1,,RA,CL,C,,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40\";"
+ "\nDT1.1,,RA,CL,C,,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40,-2.40",
+ "\nDTR1.1,PR,BE,CL,C,,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0,50,0,0",
+ "\nDTR1.1,NIC,BE,CL,C,,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5,12.5",
+ "\nDTR1.1,CU,P,CL,C,,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5,-5",
+ "\nDTR1.1,,RA,CL,C,,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25,1.25\";"
],
"metadata": {},
"execution_count": 0,
diff --git a/ifrs17-template/Test/Tests.ipynb b/ifrs17-template/Test/Tests.ipynb
index c6c44706..0c80a36b 100644
--- a/ifrs17-template/Test/Tests.ipynb
+++ b/ifrs17-template/Test/Tests.ipynb
@@ -29,7 +29,7 @@
"cell_type": "markdown",
"source": [
"Comprehensive collection of tests executed on top of the Systemorph use cases (initialization).",
- "\n
Execute this Notebook using at least 20Gb RAM."
+ "\n
Execute this Notebook using at least 32Gb RAM."
],
"metadata": {},
"execution_count": 0,
@@ -44,6 +44,15 @@
"execution_count": 0,
"outputs": []
},
+ {
+ "cell_type": "code",
+ "source": [
+ "#!eval-notebook \"ReimportTest\""
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
{
"cell_type": "code",
"source": [
@@ -143,6 +152,15 @@
"execution_count": 0,
"outputs": []
},
+ {
+ "cell_type": "code",
+ "source": [
+ "#!eval-notebook \"EY-Ifrs17UseCases\""
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
{
"cell_type": "code",
"source": [
diff --git a/ifrs17/Constants/Consts.ipynb b/ifrs17/Constants/Consts.ipynb
index 4d03faba..4925077f 100644
--- a/ifrs17/Constants/Consts.ipynb
+++ b/ifrs17/Constants/Consts.ipynb
@@ -106,6 +106,15 @@
"execution_count": 0,
"outputs": []
},
+ {
+ "cell_type": "code",
+ "source": [
+ "public const int MonthInAQuarter = 3;"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
{
"cell_type": "markdown",
"source": [
@@ -288,11 +297,12 @@
"public static class EstimateTypes{",
"\n public const string BE = nameof(BE); //Best Estimate",
"\n public const string RA = nameof(RA); //Risk Adjustment",
- "\n public const string CU = nameof(CU); //Coverage Units",
+ "\n public const string P = nameof(P); //Patterns",
"\n public const string A = nameof(A); //Actuals",
"\n public const string AA = nameof(AA); //Advance Actuals",
"\n public const string OA = nameof(OA); //Overdue Actuals",
- "\n public const string DA = nameof(DA); //Deferrable Actuals",
+ "\n public const string DA = nameof(DA); //Deferrable Expenses",
+ "\n public const string R = nameof(R); //Premium Revenues",
"\n public const string C = nameof(C); //Contractual Service Margin",
"\n public const string L = nameof(L); //Loss Component",
"\n public const string LR = nameof(LR); //Loss Recovery",
@@ -376,7 +386,12 @@
"\n public const string AEM = nameof(AEM); // Attributable Expenses Maintenance",
"\n public const string AC = nameof(AC); // Attributable Commissions",
"\n public const string AE = nameof(AE); // Attributable Expenses",
+ "\n public const string CE = nameof(CE); // Claim Expenses",
+ "\n public const string ALE = nameof(ALE); // Allocated Loss Adjustment Expenses",
"\n public const string ULE = nameof(ULE); // Unallocated Loss Adjustment Expenses",
+ "\n public const string CU = nameof(CU); // Coverage Units",
+ "\n public const string DE = nameof(DE); // Deferrable Expenses",
+ "\n public const string DAE = nameof(DAE); // Deferrable Acquisition Expenses",
"\n}"
],
"metadata": {},
@@ -445,8 +460,10 @@
"\n public const string YieldCurves = nameof(YieldCurves);",
"\n public const string SingleDataNodeParameters = nameof(SingleDataNodeParameters);",
"\n public const string InterDataNodeParameters = nameof(InterDataNodeParameters);",
- "\n public const string PartnerRating = nameof(PartnerRating);",
- "\n public const string PartnerDefaultRates = nameof(PartnerDefaultRates);",
+ "\n public const string CurrentPartnerRating = nameof(CurrentPartnerRating);",
+ "\n public const string CurrentPartnerDefaultRates = nameof(CurrentPartnerDefaultRates);",
+ "\n public const string LockedInPartnerRating = nameof(LockedInPartnerRating);",
+ "\n public const string LockedInPartnerDefaultRates = nameof(LockedInPartnerDefaultRates);",
"\n}"
],
"metadata": {},
diff --git a/ifrs17/Constants/Enums.ipynb b/ifrs17/Constants/Enums.ipynb
index 9094ea09..7046c0ca 100644
--- a/ifrs17/Constants/Enums.ipynb
+++ b/ifrs17/Constants/Enums.ipynb
@@ -236,7 +236,7 @@
{
"cell_type": "code",
"source": [
- "public enum InterpolationMethod { NotApplicable, Uniform /*, Linear, Start, End, Custom*/ }"
+ "public enum InterpolationMethod { NotApplicable, Uniform, Start, /*End , Linear, Custom*/ }"
],
"metadata": {},
"execution_count": 0,
@@ -277,7 +277,20 @@
{
"cell_type": "code",
"source": [
- "public enum DataType { Optional, Mandatory, Calculated, CalculatedTelescopic }"
+ "[Flags]",
+ "\npublic enum DataType {Optional = 1, Mandatory = 2, Calculated = 4, CalculatedTelescopic = 8}",
+ "\n//Optional = 1 : used for AoC Step provided in input files but are not mandatory (can be missing from the file)",
+ "\n//Mandatory = 2 : used for AoC Step that must be provided in input files",
+ "\n//Calculated = 4 : used for AoC Step that are not provided in input files but are Calculated by the calculation engine",
+ "\n//CalculatedTelescopic = 8 : used for AoC Step that are not provided in input files but are Calculated by the calculation engine through telescoping difference (Update of parameters YCU)",
+ "\n//Optional + Mandatory = 3 : not allowed.",
+ "\n//Optional + Calculated = 5 : used for AoC Step that are optional input for a certain scopes (Written Actual) and are computed for others (Deferral Actual) ",
+ "\n//Optional + Mandatory + Calculated = 7 : not allowed.",
+ "\n//Optional + CalculatedTelescopic = 9 : not allowed.",
+ "\n//Mandatory + Calculated = 6 : not allowed.",
+ "\n//Mandatory + CalculatedTelescopic = 10 : not allowed.",
+ "\n//Calculated + CalculatedTelescopic = 12 : not allowed.",
+ "\n//Optional + Mandatory + Calculated + CalculatedTelescopic = 15 : not allowed."
],
"metadata": {},
"execution_count": 0,
@@ -300,6 +313,24 @@
"metadata": {},
"execution_count": 0,
"outputs": []
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "# Report Variable"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "public enum ServicePeriod{ NotApplicable, PastService, CurrentService, FutureService }"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
}
]
}
\ No newline at end of file
diff --git a/ifrs17/Constants/Validations.ipynb b/ifrs17/Constants/Validations.ipynb
index c49884e8..4c8d05b8 100644
--- a/ifrs17/Constants/Validations.ipynb
+++ b/ifrs17/Constants/Validations.ipynb
@@ -47,12 +47,15 @@
{
"cell_type": "code",
"source": [
- "public enum Warning {",
- "\n // Import",
- "\n ActiveDataNodeWithCashflowBOPI, VariablesAlreadyImported, VariablesAlreadyCalculated, ScenarioReCalculations, MandatoryAocStepMissing,",
- "\n // Default",
- "\n Generic",
- "\n}; "
+ "public abstract class ValidationBase{",
+ "\n public string MessageCode {get; protected set;}",
+ "\n",
+ "\n protected ValidationBase(string messageCode){",
+ "\n this.MessageCode = messageCode;",
+ "\n }",
+ "\n",
+ "\n public abstract string GetMessage(params string[] s);",
+ "\n}"
],
"metadata": {},
"execution_count": 0,
@@ -61,127 +64,36 @@
{
"cell_type": "code",
"source": [
- "public enum Error { ",
- "\n // Import",
- "\n NoMainTab, IncompleteMainTab, ParsingScientificNotation, ValueTypeNotFound, ValueTypeNotValid, ",
- "\n ReportingNodeInMainNotFound, YearInMainNotFound, MonthInMainNotFound, ScenarioInMainNotAvailable,",
- "\n AocTypeNotValid, AocTypeCompulsoryNotFound, AocTypePositionNotSupported, AocConfigurationOrderNotUnique,",
- "\n AccidentYearTypeNotValid,",
- "\n // Partition",
- "\n PartitionNotFound, ParsedPartitionNotFound, PartititionNameNotFound, PartitionTypeNotFound,",
- "\n // Dimensions",
- "\n AmountTypeNotFound, EstimateTypeNotFound, ReportingNodeNotFound, AocTypeMapNotFound, AocTypeNotFound, PortfolioGicNotFound, PortfolioGricNotFound, ",
- "\n InvalidAmountTypeEstimateType, MultipleTechnicalMarginOpening, DimensionNotFound, NoScenarioOpening,",
- "\n // Exchange Rate",
- "\n ExchangeRateNotFound, ExchangeRateCurrency,",
- "\n // Data Note State",
- "\n ChangeDataNodeState, InactiveDataNodeState,",
- "\n // Parameters",
- "\n ReinsuranceCoverageDataNode, DuplicateInterDataNode, DuplicateSingleDataNode, InvalidDataNode, InvalidDataNodeForOpening, InvalidCashFlowPeriodicity, InvalidInterpolationMethod,",
- "\n // Storage",
- "\n DataNodeNotFound, PartnerNotFound, RatingNotFound, CreditDefaultRateNotFound, MissingPremiumAllocation, ReinsuranceCoverage, ",
- "\n YieldCurveNotFound, YieldCurvePeriodNotApplicable, EconomicBasisNotFound, AccountingVariableTypeNotFound,",
- "\n // Scopes",
- "\n NotSupportedAocStepReference, MultipleEoP,",
- "\n // Data completeness",
- "\n MissingDataAtPosting, MissingCombinedLiability, MissingCoverageUnit, ",
- "\n // Index",
- "\n NegativeIndex,",
- "\n // Default",
- "\n Generic",
- "\n};"
- ],
- "metadata": {},
- "execution_count": 0,
- "outputs": []
- },
- {
- "cell_type": "markdown",
- "source": [
- "# Messages"
- ],
- "metadata": {},
- "execution_count": 0,
- "outputs": []
- },
- {
- "cell_type": "code",
- "source": [
- "public static string Get (Error e, params string[] s) => (e, s.Length) switch ",
- "\n{",
- "\n // Import",
- "\n (Error.NoMainTab , _) => $\"No Main tab in the parsed file.\",",
- "\n (Error.IncompleteMainTab , _) => $\"Incomplete Main tab in the parsed file.\",",
- "\n (Error.ParsingScientificNotation , 1) => $\"While parsing found real number in scientific notation: {s[0]}.\",",
- "\n (Error.ValueTypeNotFound , _) => $\"Value Type not found.\",",
- "\n (Error.ValueTypeNotValid , 1) => $\"The Value Type {s[0]} is invalid.\",",
- "\n (Error.ReportingNodeInMainNotFound , _) => $\"Reporting Node missing from the Main tab.\",",
- "\n (Error.YearInMainNotFound , _) => $\"Year missing from the Main tab.\",",
- "\n (Error.MonthInMainNotFound , _) => $\"Month missing from the Main tab.\",",
- "\n (Error.ScenarioInMainNotAvailable , 1) => $\"Scenario {s[0]} has not been defined.\",",
- "\n (Error.AocTypeNotValid , 1) => $\"The parsed AoC Type {s[0]} is invalid.\",",
- "\n (Error.AocTypeCompulsoryNotFound , _) => $\"Not all compulsory AoC Types have been imported.\",",
- "\n (Error.AocTypePositionNotSupported , 1) => $\"The position of the AoC Type {s[0]} is not supported.\",",
- "\n (Error.AocConfigurationOrderNotUnique , _) => $\"Two or more AoC Configurations have the same Order.\",",
- "\n (Error.AccidentYearTypeNotValid , 1) => $\"The parsed AccidentYear {s[0]} is invalid. Expected Accident Year input of type int.\",",
- "\n // Partition",
- "\n (Error.PartitionNotFound , _) => $\"Partition do not found.\",",
- "\n (Error.ParsedPartitionNotFound , 1) => $\"Parsed partition not available: ReportingNode {s[0]}.\",",
- "\n (Error.ParsedPartitionNotFound , 4) => $\"Parsed partition not available: ReportingNode {s[0]}, Year {s[1]}, Month {s[2]}, Scenario {s[3]}.\",",
- "\n (Error.PartitionTypeNotFound , 1) => $\"Partition type not found: {s[0]}.\",",
- "\n // Dimensions",
- "\n (Error.AmountTypeNotFound , 1) => $\"AmountType {s[0]} not found.\",",
- "\n (Error.EstimateTypeNotFound , 1) => $\"EstimateType {s[0]} not found.\",",
- "\n (Error.ReportingNodeNotFound , 1) => $\"Reporting Node {s[0]} not found.\",",
- "\n (Error.AocTypeNotFound , 1) => $\"AoC Type {s[0]} not found.\",",
- "\n (Error.AocTypeMapNotFound , 2) => $\"AoC Type {s[0]} and Novelty {s[1]} combination not defined in the mapping.\",",
- "\n (Error.PortfolioGicNotFound , 2) => $\"Portfolio {s[0]} assigned to Group of Insurance Contract {s[1]} does not exist.\",",
- "\n (Error.PortfolioGricNotFound , 2) => $\"Portfolio {s[0]} assigned to Group of Reinsurance Contract {s[1]} does not exist.\",",
- "\n (Error.InvalidAmountTypeEstimateType , 2) => $\"Invalid combination of EstimateType {s[0]} and AmountType {s[1]}.\",",
- "\n (Error.MultipleTechnicalMarginOpening , 1) => $\"Multiple opening for techincal margin are not allowed for DataNode {s[0]}.\",",
- "\n (Error.DimensionNotFound , 2) => $\"Column {0} has unknown value {1}.\",",
- "\n (Error.NoScenarioOpening , 0) => \"Only Best Estimate is valid Scenario for Openings\",",
+ "public class Warning : ValidationBase{",
+ "\n",
+ "\n protected const string DefaultMessage = \"Warning not found.\";",
+ "\n",
+ "\n protected Warning(string messageCode) : base(messageCode) {}",
+ "\n",
+ "\n public static readonly Warning ActiveDataNodeWithCashflowBOPI = new Warning(nameof(ActiveDataNodeWithCashflowBOPI));",
+ "\n public static readonly Warning VariablesAlreadyImported = new Warning(nameof(VariablesAlreadyImported));",
+ "\n public static readonly Warning VariablesAlreadyCalculated = new Warning(nameof(VariablesAlreadyCalculated));",
+ "\n public static readonly Warning ScenarioReCalculations = new Warning(nameof(ScenarioReCalculations));",
+ "\n public static readonly Warning MandatoryAocStepMissing = new Warning(nameof(MandatoryAocStepMissing));",
+ "\n",
+ "\n // ImportStorage",
+ "\n public static readonly Warning ReleasePatternNotFound = new Warning(nameof(ReleasePatternNotFound));",
+ "\n",
+ "\n public static readonly Warning Generic = new Warning(nameof(Generic));",
+ "\n",
+ "\n public override string GetMessage(params string[] s) => (MessageCode, s.Length) switch{",
+ "\n (nameof(ActiveDataNodeWithCashflowBOPI), 1) => $\"Cash flow with AoC Type: {AocTypes.BOP} and Novelty: {Novelties.I} for Group of Contract {s[0]} is not allowed because previous period data are available.\",",
+ "\n (nameof(VariablesAlreadyImported), 0) => $\"The import of the current file does not contain any new data. Hence, no data will be saved or calculations will be performed.\",",
+ "\n (nameof(MandatoryAocStepMissing), 3) => $\"The AoC step ({s[0]}, {s[1]}) is not imported for ({s[2]}).\",",
+ "\n (nameof(ScenarioReCalculations), 1) => $\"The present Best Estimate import makes the result of dependent Scenarios out of date. Hence, the following Scenarios are re-calculated: {s[0]}.\", ",
+ "\n // ImportStorage",
+ "\n (nameof(ReleasePatternNotFound), 2) => $\"Release pattern for Group of Contract {s[0]} and AmountType {s[1]} is not found.\",",
+ "\n // Default",
+ "\n (nameof(Generic), _) => $\"{s[0]}\",",
+ "\n _ => DefaultMessage",
+ "\n };",
"\n ",
- "\n // Exchange Rate",
- "\n (Error.ExchangeRateNotFound , 2) => $\"Exchange Rate for {s[0]} {s[1]} is not present.\",",
- "\n (Error.ExchangeRateCurrency , 1) => $\"{s[0]} does not have any Exchange Rate defined.\", ",
- "\n // Data Node State",
- "\n (Error.ChangeDataNodeState , 0) => $\"Data Node State can not change from Inactive state into Active state.\",",
- "\n (Error.ChangeDataNodeState , 1) => $\"Data Node State for {s[0]} can not change from Inactive state into Active state.\",",
- "\n (Error.ChangeDataNodeState , 3) => $\"Data Node State for {s[0]} can not change from {s[1]} state into {s[2]} state.\",",
- "\n (Error.InactiveDataNodeState , 1) => $\"Data imported for inactive Data Node {s[0]}.\",",
- "\n //Parameters",
- "\n (Error.ReinsuranceCoverageDataNode , 2) => $\"Invalid Reinsurance Coverage parameter does not link a GroupOfReinsuranceContract to a GroupOfInsuranceContract. Provided GroupOfContracts are: {s[0]}, {s[1]}.\",",
- "\n (Error.DuplicateInterDataNode , 2) => $\"Duplicated Inter-DataNode parameter for {s[0]}-{s[1]} is found.\",",
- "\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]}.\",",
- "\n (Error.RatingNotFound , 1) => $\"Rating not found for Partner {s[0]}.\",",
- "\n (Error.CreditDefaultRateNotFound , 1) => $\"Credit Default Rate not found for rating {s[0]}.\",",
- "\n (Error.MissingPremiumAllocation , 1) => $\"Premium Allocation Rate not found for Group of Contract {s[0]}.\", // TODO: this is now a warning to be produced by a validation in the importers (default is 1)",
- "\n (Error.ReinsuranceCoverage , 1) => $\"Reinsurance Allocation Rate not found for Group of Insurance Contract {s[0]}.\",",
- "\n (Error.YieldCurveNotFound , 5) => $\"Yield Curve not found for Currency {s[0]}, Year {s[1]}, Month {s[2]}, Scenario {(s[3] == null ? \"Best Estimate\" : s[3])} and Name {s[4]}.\",",
- "\n (Error.YieldCurvePeriodNotApplicable , 2) => $\"YieldCurve period NotApplicable not valid for AoC Step with AoC Type {s[0]} and Novelty {s[1]}.\",",
- "\n (Error.EconomicBasisNotFound , 1) => $\"EconomicBasis not valid for DataNode {s[0]}.\",",
- "\n (Error.AccountingVariableTypeNotFound , 1) => $\"AccountingVariableType {s[0]} not found.\",",
- "\n // Scopes",
- "\n (Error.NotSupportedAocStepReference , 1) => $\"Unsupported reference AoC Step for AoC Type {s[0]}.\",",
- "\n (Error.MultipleEoP , 0) => $\"Closing Balance for both Csm and Lc are computed.\",",
- "\n // Data Completeness",
- "\n (Error.MissingDataAtPosting , 1) => $\"Missing imported data for {s[0]} DataNode.\",",
- "\n (Error.MissingCombinedLiability , 2) => $\"Missing Combined Liability AoC Type for DataNode {s[0]} and AmountType {s[1]}.\",",
- "\n (Error.MissingCoverageUnit , 1) => $\"Missing Coverage Unit cash flow for {s[0]} DataNode.\",",
- "\n // Index",
- "\n (Error.NegativeIndex , 0) => $\"Index was out of range. Must be non-negative.\",",
- "\n // Default",
- "\n (Error.Generic , _) => $\"{s[0]}\",",
- "\n (_ , _) => $\"Error not found.\"",
- "\n};"
+ "\n}"
],
"metadata": {},
"execution_count": 0,
@@ -190,16 +102,196 @@
{
"cell_type": "code",
"source": [
- "public static string Get (Warning w, params string[] s) => (w, s.Length) switch {",
- "\n // Import",
- "\n (Warning.ActiveDataNodeWithCashflowBOPI , 1) => $\"Cash flow with AoC Type: {AocTypes.BOP} and Novelty: {Novelties.I} for Group of Contract {s[0]} is not allowed because previous period data are available.\",",
- "\n (Warning.VariablesAlreadyImported , 0) => $\"The import of the current file does not contain any new data. Hence, no data will be saved or calculations will be performed.\",",
- "\n (Warning.MandatoryAocStepMissing , 3) => $\"The AoC step ({s[0]}, {s[1]}) is not imported for ({s[2]}).\",",
- "\n (Warning.ScenarioReCalculations , 1) => $\"The present Best Estimate import makes the result of dependent Scenarios out of date. Hence, the following Scenarios are re-calculated: {s[0]}.\", ",
- "\n // Default",
- "\n (Warning.Generic , _) => $\"{s[0]}\",",
- "\n (_ , _) => $\"Warning not found.\"",
- "\n};"
+ "public class Error : ValidationBase{",
+ "\n",
+ "\n protected const string DefaultMessage = \"Error not found.\";",
+ "\n ",
+ "\n protected Error(string messageCode) : base(messageCode) {}",
+ "\n",
+ "\n // Import Errors",
+ "\n public static readonly Error NoMainTab = new Error(nameof(NoMainTab));",
+ "\n public static readonly Error IncompleteMainTab = new Error(nameof(IncompleteMainTab));",
+ "\n public static readonly Error ParsingInvalidOrScientificValue = new Error(nameof(ParsingInvalidOrScientificValue));",
+ "\n public static readonly Error ValueTypeNotFound = new Error(nameof(ValueTypeNotFound));",
+ "\n public static readonly Error ValueTypeNotValid = new Error(nameof(ValueTypeNotValid));",
+ "\n public static readonly Error ReportingNodeInMainNotFound = new Error(nameof(ReportingNodeInMainNotFound));",
+ "\n public static readonly Error YearInMainNotFound = new Error(nameof(YearInMainNotFound));",
+ "\n public static readonly Error MonthInMainNotFound = new Error(nameof(MonthInMainNotFound));",
+ "\n public static readonly Error ScenarioInMainNotAvailable = new Error(nameof(ScenarioInMainNotAvailable));",
+ "\n public static readonly Error AocTypeNotValid = new Error(nameof(AocTypeNotValid));",
+ "\n public static readonly Error AocTypeCompulsoryNotFound = new Error(nameof(AocTypeCompulsoryNotFound));",
+ "\n public static readonly Error AocTypePositionNotSupported = new Error(nameof(AocTypePositionNotSupported));",
+ "\n public static readonly Error AocConfigurationOrderNotUnique = new Error(nameof(AocConfigurationOrderNotUnique));",
+ "\n public static readonly Error AccidentYearTypeNotValid = new Error(nameof(AccidentYearTypeNotValid));",
+ "\n public static readonly Error TableNotFound = new Error(nameof(TableNotFound));",
+ "\n",
+ "\n // Partition Errors",
+ "\n public static readonly Error PartitionNotFound = new Error(nameof(PartitionNotFound));",
+ "\n public static readonly Error ParsedPartitionNotFound = new Error(nameof(ParsedPartitionNotFound));",
+ "\n public static readonly Error PartititionNameNotFound = new Error(nameof(PartititionNameNotFound));",
+ "\n public static readonly Error PartitionTypeNotFound = new Error(nameof(PartitionTypeNotFound));",
+ "\n",
+ "\n // Dimensions Errors",
+ "\n public static readonly Error AmountTypeNotFound = new Error(nameof(AmountTypeNotFound));",
+ "\n public static readonly Error EstimateTypeNotFound = new Error(nameof(EstimateTypeNotFound)); ",
+ "\n public static readonly Error ReportingNodeNotFound = new Error(nameof(ReportingNodeNotFound));",
+ "\n public static readonly Error AocTypeMapNotFound = new Error(nameof(AocTypeMapNotFound));",
+ "\n public static readonly Error AocTypeNotFound = new Error(nameof(AocTypeNotFound));",
+ "\n public static readonly Error PortfolioGicNotFound = new Error(nameof(PortfolioGicNotFound));",
+ "\n public static readonly Error PortfolioGricNotFound = new Error(nameof(PortfolioGricNotFound));",
+ "\n public static readonly Error InvalidAmountTypeEstimateType = new Error(nameof(InvalidAmountTypeEstimateType));",
+ "\n public static readonly Error MultipleTechnicalMarginOpening = new Error(nameof(MultipleTechnicalMarginOpening));",
+ "\n public static readonly Error DimensionNotFound = new Error(nameof(DimensionNotFound));",
+ "\n public static readonly Error NoScenarioOpening = new Error(nameof(NoScenarioOpening));",
+ "\n",
+ "\n // Exchange Rate Errors",
+ "\n public static readonly Error ExchangeRateNotFound = new Error(nameof(ExchangeRateNotFound));",
+ "\n public static readonly Error ExchangeRateCurrency = new Error(nameof(ExchangeRateCurrency));",
+ "\n",
+ "\n // Data Node State Errors",
+ "\n public static readonly Error ChangeDataNodeState = new Error(nameof(ChangeDataNodeState));",
+ "\n public static readonly Error InactiveDataNodeState = new Error(nameof(InactiveDataNodeState));",
+ "\n",
+ "\n // Parameters Errors",
+ "\n public static readonly Error ReinsuranceCoverageDataNode = new Error(nameof(ReinsuranceCoverageDataNode));",
+ "\n public static readonly Error DuplicateInterDataNode = new Error(nameof(DuplicateInterDataNode));",
+ "\n public static readonly Error DuplicateSingleDataNode = new Error(nameof(DuplicateSingleDataNode));",
+ "\n public static readonly Error MissingSingleDataNodeParameter = new Error(nameof(MissingSingleDataNodeParameter));",
+ "\n public static readonly Error InvalidDataNode = new Error(nameof(InvalidDataNode));",
+ "\n public static readonly Error InvalidDataNodeForOpening = new Error(nameof(InvalidDataNodeForOpening));",
+ "\n public static readonly Error InvalidCashFlowPeriodicity = new Error(nameof(InvalidCashFlowPeriodicity));",
+ "\n public static readonly Error MissingInterpolationMethod = new Error(nameof(MissingInterpolationMethod));",
+ "\n public static readonly Error InvalidInterpolationMethod = new Error(nameof(InvalidInterpolationMethod));",
+ "\n public static readonly Error InvalidEconomicBasisDriver = new Error(nameof(InvalidEconomicBasisDriver));",
+ "\n public static readonly Error InvalidReleasePattern = new Error(nameof(InvalidReleasePattern));",
+ "\n",
+ "\n // Storage Errors",
+ "\n public static readonly Error DataNodeNotFound = new Error(nameof(DataNodeNotFound));",
+ "\n public static readonly Error PartnerNotFound = new Error(nameof(PartnerNotFound));",
+ "\n public static readonly Error PeriodNotFound = new Error(nameof(PeriodNotFound));",
+ "\n public static readonly Error RatingNotFound = new Error(nameof(RatingNotFound));",
+ "\n public static readonly Error CreditDefaultRateNotFound = new Error(nameof(CreditDefaultRateNotFound));",
+ "\n public static readonly Error MissingPremiumAllocation = new Error(nameof(MissingPremiumAllocation));",
+ "\n public static readonly Error ReinsuranceCoverage = new Error(nameof(ReinsuranceCoverage));",
+ "\n public static readonly Error YieldCurveNotFound = new Error(nameof(YieldCurveNotFound));",
+ "\n public static readonly Error YieldCurvePeriodNotApplicable = new Error(nameof(YieldCurvePeriodNotApplicable));",
+ "\n public static readonly Error EconomicBasisNotFound = new Error(nameof(EconomicBasisNotFound));",
+ "\n public static readonly Error AccountingVariableTypeNotFound = new Error(nameof(AccountingVariableTypeNotFound));",
+ "\n public static readonly Error InvalidGric = new Error(nameof(InvalidGric));",
+ "\n public static readonly Error InvalidGic = new Error(nameof(InvalidGic));",
+ "\n public static readonly Error ReleasePatternNotFound = new Error(nameof(ReleasePatternNotFound));",
+ "\n public static readonly Error MissingPreviousPeriodData = new Error(nameof(MissingPreviousPeriodData));",
+ "\n",
+ "\n // Scopes Errors; Range 110 -119",
+ "\n public static readonly Error NotSupportedAocStepReference = new Error(nameof(NotSupportedAocStepReference));",
+ "\n public static readonly Error MultipleEoP = new Error(nameof(MultipleEoP));",
+ "\n",
+ "\n // Data Completeness Errors; Range 120 - 129",
+ "\n public static readonly Error MissingDataAtPosting = new Error(nameof(MissingDataAtPosting));",
+ "\n public static readonly Error MissingCombinedLiability = new Error(nameof(MissingCombinedLiability));",
+ "\n public static readonly Error MissingCoverageUnit = new Error(nameof(MissingCoverageUnit));",
+ "\n",
+ "\n // Index Error ",
+ "\n public static readonly Error NegativeIndex = new Error(nameof(NegativeIndex));",
+ "\n",
+ "\n // Generic Errors",
+ "\n public static readonly Error Generic = new Error(nameof(Generic)); ",
+ "\n",
+ "\n public override string GetMessage (params string[] s) => (MessageCode, s.Length) switch{",
+ "\n // Import",
+ "\n (nameof(NoMainTab), 0) => $\"No Main tab in the parsed file.\", ",
+ "\n (nameof(IncompleteMainTab), _) => $\"Incomplete Main tab in the parsed file.\",",
+ "\n (nameof(ParsingInvalidOrScientificValue), 1) => $\"While parsing found invalid value or real number in scientific notation: {s[0]}.\",",
+ "\n (nameof(ValueTypeNotFound), _) => $\"Value Type not found.\",",
+ "\n (nameof(ValueTypeNotValid), 1) => $\"The Value Type {s[0]} is invalid.\",",
+ "\n (nameof(ReportingNodeInMainNotFound), _) => $\"Reporting Node missing from the Main tab.\",",
+ "\n (nameof(YearInMainNotFound), _) => $\"Year missing from the Main tab.\",",
+ "\n (nameof(MonthInMainNotFound), _) => $\"Month missing from the Main tab.\",",
+ "\n (nameof(ScenarioInMainNotAvailable), 1) => $\"Scenario {s[0]} has not been defined.\",",
+ "\n (nameof(AocTypeNotValid), 1) => $\"The parsed AoC Type {s[0]} is invalid.\",",
+ "\n (nameof(AocTypeCompulsoryNotFound), _) => $\"Not all compulsory AoC Types have been imported.\",",
+ "\n (nameof(AocTypePositionNotSupported), 1) => $\"The position of the AoC Type {s[0]} is not supported.\",",
+ "\n (nameof(AocConfigurationOrderNotUnique), _) => $\"Two or more AoC Configurations have the same Order.\",",
+ "\n (nameof(AccidentYearTypeNotValid), 1) => $\"The parsed AccidentYear {s[0]} is invalid. Expected Accident Year input of type int.\",",
+ "\n (nameof(TableNotFound), 1) => $\"The import file does not contain table {s[0]}\",",
+ "\n (nameof(TableNotFound), 2) => $\"The import file contains neither table {s[0]} nor {s[1]}\",",
+ "\n",
+ "\n // Partition",
+ "\n (nameof(PartitionNotFound), _) => $\"Partition do not found.\",",
+ "\n (nameof(ParsedPartitionNotFound), 1) => $\"Parsed partition not available: ReportingNode {s[0]}.\",",
+ "\n (nameof(ParsedPartitionNotFound), 4) => $\"Parsed partition not available: ReportingNode {s[0]}, Year {s[1]}, Month {s[2]}, Scenario {s[3]}.\",",
+ "\n (nameof(PartitionTypeNotFound), 1) => $\"Partition type not found: {s[0]}.\",",
+ "\n",
+ "\n // Dimensions",
+ "\n (nameof(AmountTypeNotFound), 1) => $\"AmountType {s[0]} not found.\",",
+ "\n (nameof(EstimateTypeNotFound), 1) => $\"EstimateType {s[0]} not found.\",",
+ "\n (nameof(ReportingNodeNotFound), 1) => $\"Reporting Node {s[0]} not found.\",",
+ "\n (nameof(AocTypeNotFound), 1) => $\"AoC Type {s[0]} not found.\",",
+ "\n (nameof(AocTypeMapNotFound), 2) => $\"AoC Type {s[0]} and Novelty {s[1]} combination not defined in the mapping.\",",
+ "\n (nameof(PortfolioGicNotFound), 2) => $\"Portfolio {s[0]} assigned to Group of Insurance Contract {s[1]} does not exist.\",",
+ "\n (nameof(PortfolioGricNotFound), 2) => $\"Portfolio {s[0]} assigned to Group of Reinsurance Contract {s[1]} does not exist.\",",
+ "\n (nameof(InvalidAmountTypeEstimateType), 2) => $\"Invalid combination of EstimateType {s[0]} and AmountType {s[1]}.\",",
+ "\n (nameof(MultipleTechnicalMarginOpening), 1) => $\"Multiple opening for techincal margin are not allowed for DataNode {s[0]}.\",",
+ "\n (nameof(DimensionNotFound), 2) => $\"Column {0} has unknown value {1}.\",",
+ "\n (nameof(NoScenarioOpening), 0) => \"Only Best Estimate is valid Scenario for Openings\",",
+ "\n ",
+ "\n // Exchange Rate",
+ "\n (nameof(ExchangeRateNotFound), 2) => $\"Exchange Rate for {s[0]} {s[1]} is not present.\",",
+ "\n (nameof(ExchangeRateCurrency), 1) => $\"{s[0]} does not have any Exchange Rate defined.\",",
+ "\n",
+ "\n // Data Node State",
+ "\n (nameof(ChangeDataNodeState), 0) => $\"Data Node State can not change from Inactive state into Active state.\",",
+ "\n (nameof(ChangeDataNodeState), 1) => $\"Data Node State for {s[0]} can not change from Inactive state into Active state.\",",
+ "\n (nameof(ChangeDataNodeState), 3) => $\"Data Node State for {s[0]} can not change from {s[1]} state into {s[2]} state.\",",
+ "\n (nameof(InactiveDataNodeState), 1) => $\"Data imported for inactive Data Node {s[0]}.\",",
+ "\n",
+ "\n //Parameters",
+ "\n (nameof(ReinsuranceCoverageDataNode), 2) => $\"Invalid Reinsurance Coverage parameter does not link a GroupOfReinsuranceContract to a GroupOfInsuranceContract. Provided GroupOfContracts are: {s[0]}, {s[1]}.\",",
+ "\n (nameof(DuplicateInterDataNode), 2) => $\"Duplicated Inter-DataNode parameter for {s[0]}-{s[1]} is found.\",",
+ "\n (nameof(DuplicateSingleDataNode), 1) => $\"Duplicated Single-DataNode parameter for {s[0]} is found.\",",
+ "\n (nameof(MissingSingleDataNodeParameter), 1) => $\"Single DataNode Parameter for Data Node {s[0]} is not found.\",",
+ "\n (nameof(InvalidDataNode), 1) => $\"Data imported for invalid Data Node {s[0]}.\",",
+ "\n (nameof(InvalidDataNodeForOpening), 1) => $\"Data imported for invalid Data Node or for a Data Node after its inception year {s[0]}.\",",
+ "\n (nameof(InvalidCashFlowPeriodicity), 1) => $\"Invalid CashFlowPeriodicity parameter for Data Node {s[0]}.\",",
+ "\n (nameof(MissingInterpolationMethod), 1) => $\"Missing InterpolationMethod parameter for Data Node {s[0]}.\",",
+ "\n (nameof(InvalidInterpolationMethod), 1) => $\"Invalid InterpolationMethod parameter for Data Node {s[0]}.\",",
+ "\n (nameof(InvalidEconomicBasisDriver), 1) => $\"Invalid EconomicBasisDriver parameter for Data Node {s[0]}.\",",
+ "\n (nameof(InvalidReleasePattern), 1) => $\"Invalid ReleasePattern parameters for Data Node {s[0]}.\",",
+ "\n ",
+ "\n // Storage",
+ "\n (nameof(DataNodeNotFound), 1) => $\"DataNode {s[0]} not found.\",",
+ "\n (nameof(PartnerNotFound), 1) => $\"Partner not found for DataNode {s[0]}.\",",
+ "\n (nameof(PeriodNotFound), 1) => $\"Invalid Period {s[0]} used during calculation. Allowed values are Current Period (0) and Previous Period (-1).\",",
+ "\n (nameof(RatingNotFound), 1) => $\"Rating not found for Partner {s[0]}.\",",
+ "\n (nameof(CreditDefaultRateNotFound), 1) => $\"Credit Default Rate not found for rating {s[0]}.\",",
+ "\n (nameof(MissingPremiumAllocation), 1) => $\"Premium Allocation Rate not found for Group of Contract {s[0]}.\", // TODO: this is now a warning to be produced by a validation in the importers (default is 1)",
+ "\n (nameof(ReinsuranceCoverage), 1) => $\"Reinsurance Allocation Rate not found for Group of Insurance Contract {s[0]}.\",",
+ "\n (nameof(YieldCurveNotFound), 6) => $\"Yield Curve not found for DataNode {s[0]}, Currency {s[1]}, Year {s[2]}, Month {s[3]}, Scenario {(s[4] == null ? \"Best Estimate\" : s[4])} and Name {s[5]}.\",",
+ "\n (nameof(YieldCurvePeriodNotApplicable), 2) => $\"YieldCurve period NotApplicable not valid for AoC Step with AoC Type {s[0]} and Novelty {s[1]}.\",",
+ "\n (nameof(EconomicBasisNotFound), 1) => $\"EconomicBasis not valid for DataNode {s[0]}.\",",
+ "\n (nameof(AccountingVariableTypeNotFound), 1) => $\"AccountingVariableType {s[0]} not found.\",",
+ "\n (nameof(InvalidGric), 1) => $\"Invalid Group of Reinsurance Contract {s[0]} has been requested during calculation.\",",
+ "\n (nameof(InvalidGic), 1) => $\"Invalid Group of Insurance Contract {s[0]} has been requested during calculation.\",",
+ "\n (nameof(ReleasePatternNotFound), 2) => $\"Release pattern for Group of Contract {s[0]} and AmountType {s[1]} is not found.\",",
+ "\n (nameof(MissingPreviousPeriodData), 3) => $\"Data for previous period (Year: {s[0]}, Month: {s[1]}) is missing for Group of contracts: {s[2]}.\",",
+ "\n",
+ "\n // Scopes",
+ "\n (nameof(NotSupportedAocStepReference), 1) => $\"Unsupported reference AoC Step for AoC Type {s[0]}.\",",
+ "\n (nameof(MultipleEoP), 0) => $\"Closing Balance for both Csm and Lc are computed.\",",
+ "\n",
+ "\n // Data Completeness",
+ "\n (nameof(MissingDataAtPosting), 1) => $\"Missing imported data for {s[0]} DataNode.\",",
+ "\n (nameof(MissingCombinedLiability), 2) => $\"Missing Combined Liability AoC Type for DataNode {s[0]} and AmountType {s[1]}.\",",
+ "\n (nameof(MissingCoverageUnit), 1) => $\"Missing Coverage Unit cash flow for {s[0]} DataNode.\",",
+ "\n",
+ "\n // Index",
+ "\n (nameof(NegativeIndex), 0) => $\"Index was out of range. Must be non-negative.\", ",
+ "\n",
+ "\n // Default",
+ "\n (nameof(Generic), 1) => $\"{s[0]}\", ",
+ "\n _ => DefaultMessage",
+ "\n };",
+ "\n}"
],
"metadata": {},
"execution_count": 0,
diff --git a/ifrs17/DataModel/DataStructure.ipynb b/ifrs17/DataModel/DataStructure.ipynb
index 670d3565..a5cedb52 100644
--- a/ifrs17/DataModel/DataStructure.ipynb
+++ b/ifrs17/DataModel/DataStructure.ipynb
@@ -54,8 +54,8 @@
"\n#r \"nuget:Systemorph.Arithmetics,1.6.5\"",
"\n#r \"nuget:Systemorph.Workspace,1.6.4\"",
"\n#r \"nuget:Systemorph.InteractiveObjects,1.6.5\"",
- "\n#r \"nuget:Systemorph.SharePoint,1.6.5\"",
- "\n#r \"nuget:Systemorph.OneDrive,1.6.5\"",
+ "\n//#r \"nuget:Systemorph.SharePoint,1.6.5\"",
+ "\n//#r \"nuget:Systemorph.OneDrive,1.6.5\"",
"\n#r \"nuget:Systemorph.Scopes,1.6.5\"",
"\n#r \"nuget:Systemorph.Import,1.6.7\"",
"\n#r \"nuget:Systemorph.Test,1.6.5\"",
@@ -262,7 +262,7 @@
"public abstract record KeyedDimension : INamed {",
"\n [Key]",
"\n [IdentityProperty]",
- "\n [StringLength(16)]",
+ "\n [StringLength(50)]",
"\n public string SystemName { get; init; }",
"\n ",
"\n [NotVisible]",
@@ -505,7 +505,8 @@
"\n- It is a mandatory AoC Type as it is used to trigger the Run off of the cash flow. This is achieved by providing a cash flow of 0s. ",
"\n- It is the first AoC Type for the Combined Novelty and therefore it carries the contribution of combining In force and New business.",
"\n- Its present value is computed as telescoping difference with the last AoC Step for the In-Force novelty and the New Business novelty.",
- "\n- In the technical margin calculation it is used to merge the profitability of the In-Force and New business components, which may result in a forced switch."
+ "\n- In the technical margin calculation it is used to merge the profitability of the In-Force and New business components, which may result in a forced switch.",
+ "\n- If ReleasePattern is provided in the Cash Flows it must be provided for this AocType."
],
"metadata": {},
"execution_count": 0,
@@ -759,7 +760,7 @@
{
"cell_type": "code",
"source": [
- "public record LiabilityType : KeyedDimension, IHierarchicalDimension",
+ "public record LiabilityType : KeyedOrderedDimension, IHierarchicalDimension",
"\n{",
"\n [Dimension(typeof(LiabilityType))]",
"\n public string Parent { get; init; }",
@@ -914,7 +915,7 @@
{
"cell_type": "code",
"source": [
- "public record ProjectionConfiguration : KeyedDimension",
+ "public record ProjectionConfiguration : KeyedOrderedDimension",
"\n{",
"\n [IdentityProperty]",
"\n public int Shift { get; init; }",
@@ -1559,9 +1560,17 @@
"\n## Data Node Parameters",
"\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",
"\n
PremiumAllocation : 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
CashFlowPeriodicity : 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
InterpolationMethod : 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",
+ "\n
CashFlowPeriodicity : defines the periodicity of the provided cash flows, it is not a mandatory input column. 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. If the Cashflow file does not contain a specific CashflowPeriodicity, this parameter value is used for the whole of DataNode.",
+ "\n",
+ "\n
InterpolationMethod : defines the interpolation method to be applied to interpolate the cash flow from non-default (monthly) periodicity. It is not a mandatory input column, unless CashflowPeriodicity column is provided. Supported values can be found [here](../Constants/Enums#interpolation-method). When the *InterpolationMethod* is not present in the input file and it is required because *CashFlowPeriodicity* is not monthly, then the default value for the *InterpolationMethod* is applied. The default value is 'NotApplicable'.",
+ "\n",
+ "\n
ReleasePattern : defines the pattern of factors that will be used to defer and amortize any AmountType over the course of contract term. It is not a mandatory input. This pattern is used, if no *ReleasePattern* is provided in the Cashflows (which is specific for combinations of AmountType and EstimateType). If provided, the ReleasePattern needs at least a column with 'ReleasePattern0' header. The 'ReleasePattern0' corresponds to the first value of the AnnualCohort which is defined in [GroupOfContracts](#group-of-contracts). Pattern for multiple years can be provided by adding columns 'ReleasePattern1', 'ReleasePattern2' etc. Even if the ReleasePattern header is present, the values for any given DataNode are still optional.",
+ "\n",
+ "\n
EconomicBasisDriver : defines the economic basis that will be used in discounting any Release Pattern. It is not a mandatory input column. Supported values are the defined values for [EconomicBasis](#economic-basis). When the *EconomicBasisDriver* is not present in the input file, then the default value for the *EconomicBasisDriver* is applied. The default value is *Locked-in* rates for Building Block Approach, *Current* rates for Variable Fee Approach and Premium Allocation Approach for liabilities of incurred claims and *Nominal* for Premium Allocation Approach for liabilities of remaining coverage.",
+ "\n",
"\n
ReinsuranceCoverage : 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."
@@ -1621,11 +1630,19 @@
"\n [Dimension(typeof(CashFlowPeriodicity))]",
"\n [Display(Order = 30)]",
"\n public CashFlowPeriodicity CashFlowPeriodicity { get; init; }",
- "\n ",
+ "\n",
"\n [Dimension(typeof(InterpolationMethod))]",
"\n [Display(Order = 40)]",
"\n public InterpolationMethod InterpolationMethod { get; init; }",
- "\n ",
+ "\n",
+ "\n [Dimension(typeof(EconomicBasis))]",
+ "\n [Display(Order = 50)]",
+ "\n public string EconomicBasisDriver {get; init;}",
+ "\n",
+ "\n [Conversion(typeof(PrimitiveArrayConverter))]",
+ "\n [Display(Order = 60)]",
+ "\n public double[] ReleasePattern {get; init;}",
+ "\n",
"\n}",
"\n",
"\npublic record InterDataNodeParameter : DataNodeParameter {",
@@ -1683,7 +1700,25 @@
"\n public State PreviousState { get; init; }",
"\n ",
"\n public bool IsReinsurance { get; init; }",
+ "\n",
"\n public DataNodeData(){}",
+ "\n",
+ "\n public DataNodeData(GroupOfContract dn)",
+ "\n {",
+ "\n DataNode = dn.SystemName;",
+ "\n ContractualCurrency = dn.ContractualCurrency;",
+ "\n FunctionalCurrency = dn.FunctionalCurrency;",
+ "\n LineOfBusiness = dn.LineOfBusiness;",
+ "\n ValuationApproach = dn.ValuationApproach;",
+ "\n OciType = dn.OciType;",
+ "\n Portfolio = dn.Portfolio;",
+ "\n AnnualCohort = dn.AnnualCohort;",
+ "\n LiabilityType = dn.LiabilityType;",
+ "\n Profitability = dn.Profitability;",
+ "\n Partner = dn.Partner;",
+ "\n IsReinsurance = dn.GetType().Name == nameof(GroupOfReinsuranceContract);",
+ "\n YieldCurveName = dn.YieldCurveName;",
+ "\n }",
"\n}"
],
"metadata": {},
@@ -1838,6 +1873,9 @@
"\n ",
"\n [NotVisible]",
"\n public string ValuationApproach { get; init; }",
+ "\n",
+ "\n [NotVisible]",
+ "\n public string LiabilityType { get; init; }",
"\n ",
"\n [NotVisible]",
"\n public int ProjectionPeriod { get; init; }",
@@ -1963,12 +2001,16 @@
"\n [Dimension(typeof(int), nameof(AccidentYear))]",
"\n [IdentityProperty]",
"\n public int AccidentYear { get; init; }",
- "\n ",
+ "\n",
+ "\n [NotVisible]",
+ "\n [Dimension(typeof(ServicePeriod))]",
+ "\n [IdentityProperty]",
+ "\n public ServicePeriod ServicePeriod { get; init; }",
+ "\n",
"\n [NotVisible]",
"\n [NoArithmetics(ArithmeticOperation.Scale)]",
"\n [Dimension(typeof(ProjectionConfiguration), nameof(Projection))]",
"\n [IdentityProperty]",
- "\n //[AggregateBy]",
"\n public string Projection { get; init;}",
"\n ",
"\n [NotVisible]",
@@ -2016,6 +2058,7 @@
"\n Partner = rv.Partner;",
"\n IsReinsurance = rv.IsReinsurance;",
"\n AccidentYear = rv.AccidentYear;",
+ "\n ServicePeriod = rv.ServicePeriod;",
"\n Projection = rv.Projection;",
"\n VariableType = rv.VariableType;",
"\n Novelty = rv.Novelty;",
diff --git a/ifrs17/Import/1ImportScope-Identities.ipynb b/ifrs17/Import/1ImportScope-Identities.ipynb
index f0432d13..63470857 100644
--- a/ifrs17/Import/1ImportScope-Identities.ipynb
+++ b/ifrs17/Import/1ImportScope-Identities.ipynb
@@ -113,14 +113,22 @@
{
"cell_type": "code",
"source": [
- "public interface AllCfIdentities : IScope // string represents a DataNode",
+ "public interface AllCfIdentities : IScope // Identity corresponds to the DataNode",
"\n{",
- "\n public IEnumerable ids => GetStorage().GetAllAocSteps(InputSource.Cashflow)",
- "\n .Select(aocStep => new ImportIdentity {",
- "\n AocType = aocStep.AocType,",
- "\n Novelty = aocStep.Novelty,",
- "\n DataNode = Identity",
- "\n });",
+ "\n IEnumerable ids => GetStorage().GetAllAocSteps(InputSource.Cashflow)",
+ "\n .Select(aocStep => new ImportIdentity {AocType = aocStep.AocType, Novelty = aocStep.Novelty, DataNode = Identity });",
+ "\n}"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "public interface GetParsedAocSteps : IScope",
+ "\n{",
+ "\n IEnumerable Values => GetStorage().GetRawVariables(Identity).Select(x => new AocStep(x.AocType, x.Novelty)).Distinct();",
"\n}"
],
"metadata": {},
@@ -133,88 +141,28 @@
"public interface GetIdentities : IScope",
"\n{",
"\n static ApplicabilityBuilder ScopeApplicabilityBuilder(ApplicabilityBuilder builder) =>",
- "\n builder.ForScope(s => s.WithApplicability(x => x.GetStorage().IsSecondaryScope(x.Identity))",
- "\n .WithApplicability(x => x.GetStorage().ImportFormat == ImportFormats.Actual)",
- "\n .WithApplicability(x => x.GetStorage().ImportFormat == ImportFormats.Cashflow)",
- "\n .WithApplicability(x => x.GetStorage().ImportFormat == ImportFormats.Opening)",
- "\n );",
+ "\n builder.ForScope(s => s.WithApplicability(x => x.GetStorage().ImportFormat == ImportFormats.Cashflow));",
"\n ",
- "\n private IEnumerable computedIdentities => new string[]{AocTypes.EA, AocTypes.AM, AocTypes.EOP}",
- "\n .Select(aocType => new ImportIdentity {",
- "\n AocType = aocType,",
- "\n Novelty = Novelties.C,",
- "\n DataNode = Identity",
- "\n });",
- "\n private IEnumerable allIdentities => ParsedIdentities.Concat(computedIdentities).Concat(SpecialIdentities).ToHashSet(); ",
- "\n ",
- "\n IEnumerable ParsedIdentities => Enumerable.Empty(); ",
- "\n IEnumerable SpecialIdentities => Enumerable.Empty();",
- "\n ",
- "\n //Set DataNode properties and ProjectionPeriod",
- "\n IEnumerable Identities => allIdentities.Select(id => id with { IsReinsurance = GetStorage().DataNodeDataBySystemName[id.DataNode].IsReinsurance,",
- "\n ValuationApproach = GetStorage().DataNodeDataBySystemName[id.DataNode].ValuationApproach",
- "\n });",
- "\n /* .SelectMany(id => Enumerable.Range(0,GetStorage().GetProjectionCount() + 1)",
- "\n .Select(pp => id with {ProjectionPeriod = pp })",
- "\n );*/",
- "\n}",
- "\n",
- "\npublic interface AllCashflowIdentities : GetIdentities",
- "\n{",
- "\n IEnumerable GetIdentities.SpecialIdentities => GetScope(Identity).ids;",
- "\n}",
+ "\n protected IEnumerable allIdentities => GetStorage().AocConfigurationByAocStep.Values.Select(x => new ImportIdentity {AocType = x.AocType, Novelty = x.Novelty, DataNode = Identity });",
"\n",
- "\n",
- "\npublic interface GetActualIdentities : GetIdentities",
- "\n{",
- "\n private IEnumerable actualEstimateTypes => GetStorage().EstimateTypesByImportFormat[ImportFormats.Actual];",
- "\n ",
- "\n IEnumerable GetIdentities.ParsedIdentities => GetStorage().GetIfrsVariables(Identity).Where(iv => actualEstimateTypes.Contains(iv.EstimateType)).Select(v => new ImportIdentity(v));",
- "\n IEnumerable GetIdentities.SpecialIdentities => GetScope(Identity).ids",
- "\n .Concat(GetStorage().GetAllAocSteps(InputSource.Opening)",
- "\n .Select(aocStep => new ImportIdentity {AocType = aocStep.AocType, ",
- "\n Novelty = aocStep.Novelty,",
- "\n DataNode = Identity",
- "\n }));",
+ "\n IEnumerable Identities => allIdentities.Select(id => id with { IsReinsurance = GetStorage().DataNodeDataBySystemName[id.DataNode].IsReinsurance,",
+ "\n ValuationApproach = GetStorage().DataNodeDataBySystemName[id.DataNode].ValuationApproach,",
+ "\n LiabilityType = GetStorage().DataNodeDataBySystemName[id.DataNode].LiabilityType });",
"\n}",
"\n",
"\npublic interface GetCashflowIdentities : GetIdentities",
"\n{",
- "\n private bool isReinsurance => GetStorage().DataNodeDataBySystemName[Identity].IsReinsurance; //clean up in the next PR",
- "\n ",
- "\n IEnumerable GetIdentities.ParsedIdentities => GetStorage().GetRawVariables(Identity).Select(v => new ImportIdentity(v));",
- "\n ",
- "\n IEnumerable GetIdentities.SpecialIdentities => ParsedIdentities.Where(id => id.Novelty != Novelties.C)",
- "\n .Select(id => id.Novelty).ToHashSet()",
- "\n .SelectMany(n => (n == Novelties.N ",
- "\n ? new string[]{AocTypes.IA, AocTypes.CF} //Add IA, CF, for New Business",
- "\n : isReinsurance ",
- "\n ? new string[]{AocTypes.IA, AocTypes.CF, AocTypes.YCU, AocTypes.CRU, AocTypes.RCU} //Add IA, CF, YCU, CRU, RCU for in force",
- "\n : new string[]{AocTypes.IA, AocTypes.CF, AocTypes.YCU}) //Add IA, CF, YCU,",
- "\n .Select(aocType => new ImportIdentity {",
- "\n AocType = aocType,",
- "\n Novelty = n,",
- "\n DataNode = Identity }))",
- "\n .Concat(new ImportIdentity {",
- "\n AocType = AocTypes.CF, //Add CF for Deferral",
- "\n Novelty = Novelties.C,",
- "\n DataNode = Identity",
- "\n }.RepeatOnce()) ",
- "\n .Concat(GetStorage().GetAllAocSteps(InputSource.Opening)",
- "\n .Select(aocStep => new ImportIdentity {AocType = aocStep.AocType, ",
- "\n Novelty = aocStep.Novelty,",
- "\n DataNode = Identity",
- "\n })); ",
- "\n}",
+ "\n private bool isReinsurance => GetStorage().DataNodeDataBySystemName[Identity].IsReinsurance;",
+ "\n private IEnumerable ParsedIdentities => GetScope(Identity).Values.Select(aocStep => new ImportIdentity {AocType = aocStep.AocType, Novelty = aocStep.Novelty, DataNode = Identity});",
+ "\n private IEnumerable rawVariableNovelties => GetStorage().GetRawVariables(Identity).Select(rv => rv.Novelty).Concat(Novelties.C.RepeatOnce()).ToHashSet();",
+ "\n private IEnumerable calculatedAocSteps => GetStorage().AocConfigurationByAocStep.Values.Where(x => (x.DataType.Contains(DataType.Calculated) || x.DataType.Contains(DataType.CalculatedTelescopic) ) &&",
+ "\n (!isReinsurance ? !ComputationHelper.ReinsuranceAocType.Contains(x.AocType) : true) &&",
+ "\n rawVariableNovelties.Contains(x.Novelty)).Select(x => new AocStep(x.AocType, x.Novelty));",
+ "\n private IEnumerable specialIdentities => calculatedAocSteps.Select(x => new ImportIdentity {AocType = x.AocType, Novelty = x.Novelty, DataNode = Identity })",
+ "\n .Concat(GetStorage().GetAllAocSteps(InputSource.Opening).Select(aocStep => new ImportIdentity {AocType = aocStep.AocType, Novelty = aocStep.Novelty, DataNode = Identity}))",
+ "\n .Concat(GetStorage().AocConfigurationByAocStep.Values.Where(x => (!isReinsurance ? !ComputationHelper.ReinsuranceAocType.Contains(x.AocType) : true) && x.DataType.Contains(DataType.Calculated) && x.Novelty == Novelties.I).Select(aocStep => new ImportIdentity{AocType = aocStep.AocType, Novelty = aocStep.Novelty, DataNode = Identity}));",
"\n",
- "\npublic interface GetAllIdentities : GetIdentities",
- "\n{",
- "\n IEnumerable GetIdentities.SpecialIdentities => GetScope(Identity).ids",
- "\n .Concat(GetStorage().GetAllAocSteps(InputSource.Actual)",
- "\n .Select(aocStep => new ImportIdentity {AocType = aocStep.AocType, ",
- "\n Novelty = aocStep.Novelty,",
- "\n DataNode = Identity,",
- "\n }));",
+ "\n IEnumerable GetIdentities.allIdentities => ParsedIdentities.Concat(specialIdentities).Distinct(); ",
"\n}"
],
"metadata": {},
@@ -272,7 +220,7 @@
"source": [
"# AoC Step Structure",
"\n",
- "\nThe AoC Step structure is constructed from the data which is delivered as input. It is assumed that it depends only on the Group of Contrat (i.e. it is invariant across Amount types or Accident Year). "
+ "\nThe AoC Step structure is constructed from the data which is delivered as input. It is assumed that it depends only on the Group of Contract (i.e. it is invariant across Amount types or Accident Year). "
],
"metadata": {},
"execution_count": 0,
@@ -281,24 +229,30 @@
{
"cell_type": "markdown",
"source": [
- "## Parent AoC Step ",
- "\nThe **ParentAocStep** scope computes and provides an important piece of information for each [Identity](../DataModel/DataStructure#import-identity), i.e. for a certain [AoC Type](../DataModel/DataStructure#aoc-type) and [Novelty](../DataModel/DataStructure#novelty).",
+ "## Previous AoC Steps",
+ "\nThe **PreviousAocSteps** scope computes and provides an important piece of information for each [Identity](../DataModel/DataStructure#import-identity), i.e. for a certain [AoC Type](../DataModel/DataStructure#aoc-type) and [Novelty](../DataModel/DataStructure#novelty).",
"\n",
- "\nIt provides the list of the adjacent AoC Steps prior to Identity one. It can be more than one only for the step **CL** where a parent for each novelty is considered.",
- "\nParentAocStep is critical when computing the *telescoping* differences. ",
+ "\nIt provides the list of all previous AoC Steps up to the **BOP** step, whereby a Combined novelty will branch into the InForce and New Business (and all other novelties) AoC Types.",
"\n",
- "\nThey are defined as follows:",
+ "\nPreviousAocSteps is critical when computing aggregated values along the various dimensions (such as for example Line of Business) and ",
+ "\nis used to compute the Parent AoC Steps and the Reference AoC Steps.",
+ "\n",
+ "\nThe adjacent AoC Steps prior to Identity one is called Parent Aoc Step (PAS). Thus the PreviousAocSteps is the collection of the identity parents and their parents and so on until there is no parent.",
"\n",
"\n$$",
- "\n\\text{ParentAocStep}(\\text{AoC Step}) = \\left\\{",
- "\n\\begin{array}{cl}",
- "\n\\text{AoC Step with AoC Type YCU and Novelty I} & \\text{if AoC Type CRU} \\\\",
- "\n\\text{The last AoC Step with Data Type != Calculated and same Novelty as the AoC Step} & \\text{if AoC Type YCU} \\\\",
- "\n\\text{The AoC Step which comes before in terms of order (as defined by AoC Type)} & \\text{otherwise} \\\\",
- "\n\\end{array}",
- "\n\\right.",
+ "\n\\text{PreviousAocSteps}(\\rm{AocStep}) = \\{PAS_1, PAS_2, \\ldots\\}",
"\n$$",
- "\n"
+ "\nwhere",
+ "\n$$",
+ "\n\\rm{PAS}_1 = \\rm{ParentAocStep}(\\rm{AoC Step})",
+ "\n$$",
+ "\n$$",
+ "\n\\rm{PAS}_2 = \\rm{ParentAocStep}(\\rm{PAS}_1).",
+ "\n$$",
+ "\n",
+ "\nThis scope depends on the InputSource (Actual or Cashflow) for which the PreviousSteps are requested due to the Aoc Chain differences between Actual reports and the rest.",
+ "\n",
+ "\nThe exact structure being return depends on the **order** of the AoC Steps (which is set by the [AoC Step Configuration](../DataModel/DataStructure#aoc-configuration)), and on which AoC steps exist."
],
"metadata": {},
"execution_count": 0,
@@ -307,32 +261,19 @@
{
"cell_type": "code",
"source": [
- "public interface ParentAocStep : IScope<(ImportIdentity Id, string AmountType), ImportStorage>",
- "\n{",
- "\n static ApplicabilityBuilder ScopeApplicabilityBuilder(ApplicabilityBuilder builder) =>",
- "\n builder.ForScope(s => s.WithApplicability(x => x.Identity.AmountType != AmountTypes.CDR));",
- "\n ",
- "\n private HashSet ParsedAocSteps => GetScope(Identity.Id.DataNode).ParsedIdentities.Select(id => new AocStep(id.AocType, id.Novelty)).ToHashSet();",
- "\n private IEnumerable OrderedParsedAocSteps => ParsedAocSteps.Concat(CalculatedTelescopicAocStep).OrderBy(x => GetStorage().AocConfigurationByAocStep[x].Order);",
- "\n ",
- "\n private Dictionary> ParentParsedIdentities => GetPreviousIdentities(OrderedParsedAocSteps);",
+ "public interface PreviousAocSteps : IScope<(ImportIdentity Id, InputSource ScopeInputSource), ImportStorage> ",
+ "\n{ ",
"\n private AocStep identityAocStep => new AocStep(Identity.Id.AocType, Identity.Id.Novelty);",
- "\n ",
- "\n IEnumerable CalculatedTelescopicAocStep => GetStorage().GetCalculatedTelescopicAocSteps();",
- "\n ",
- "\n IEnumerable Values => ",
- "\n Identity.Id.AocType switch {",
- "\n AocTypes.CRU => new AocStep(AocTypes.YCU, Novelties.I).RepeatOnce(),",
- "\n AocTypes.YCU => OrderedParsedAocSteps.GetReferenceAocStepForCalculated(GetStorage().AocConfigurationByAocStep, identityAocStep).RepeatOnce(),",
- "\n _ => ParentParsedIdentities.TryGetValue(identityAocStep, out var parents) ? parents : Enumerable.Empty(),",
- "\n };",
- "\n}",
- "\n",
- "\npublic interface ParentAocStepForCreditRisk : ParentAocStep",
- "\n{",
- "\n IEnumerable ParentAocStep.CalculatedTelescopicAocStep => ",
- "\n GetStorage().GetCalculatedTelescopicAocSteps().Where(aoc => aoc.AocType != AocTypes.CRU);",
- "\n}"
+ "\n private int aocStepOrder => GetStorage().AocConfigurationByAocStep[identityAocStep].Order;",
+ "\n private HashSet allAocSteps => GetStorage().GetAllAocSteps(Identity.ScopeInputSource).ToHashSet();",
+ "\n IEnumerable Values => allAocSteps.Contains(identityAocStep)",
+ "\n ? GetScope(Identity.Id.DataNode).Identities.Select(id => new AocStep(id.AocType, id.Novelty)).Distinct()",
+ "\n .Where(aoc => allAocSteps.Contains(aoc) && ",
+ "\n GetStorage().AocConfigurationByAocStep[aoc].Order < aocStepOrder && ",
+ "\n (Identity.Id.Novelty != Novelties.C ? aoc.Novelty == Identity.Id.Novelty : true) )",
+ "\n .OrderBy(aoc => GetStorage().AocConfigurationByAocStep[aoc].Order)",
+ "\n : Enumerable.Empty();",
+ "\n} "
],
"metadata": {},
"execution_count": 0,
@@ -341,26 +282,27 @@
{
"cell_type": "markdown",
"source": [
- "## Reference AoC Step",
+ "## Parent AoC Step ",
+ "\nThe **ParentAocStep** scope computes and provides an important piece of information for each [Identity](../DataModel/DataStructure#import-identity), i.e. for a certain [AoC Type](../DataModel/DataStructure#aoc-type) and [Novelty](../DataModel/DataStructure#novelty).",
"\n",
- "\nThe **ReferenceAocStep** scope provides the AoC Step from which to retrieve the data in order to compute its value (e.g. AoC Step EA retrieves Present Values, while AoC Step YCU retrieves Nominal).",
+ "\nIt provides the list of the adjacent AoC Steps prior to Identity one. It can be more than one only for the step **CL** where a parent for each novelty is considered.",
+ "\nParentAocStep is critical when computing the *telescoping* differences. ",
"\n",
"\nThey are defined as follows:",
"\n",
"\n$$",
- "\n\\text{ReferenceAocStep}(\\text{AoC Step}) = \\left\\{",
+ "\n\\text{ParentAocStep}(\\text{AoC Step}) = \\left\\{",
"\n\\begin{array}{cl}",
- "\n\\text{self} & \\text{if AoC Step InputSource is not Calculated} \\\\",
- "\n\\text{The last AoC Step with Data Type != Calculated and same Novelty as the input AoC Step} ~, & \\text{if AoC Type } \\in \\text{\\{RCU, CF, IA, YCU, CRU\\}} \\\\",
- "\n\\text{AoC Step with AoC Type CF and Novelty as the AoC Step} & \\text{if AoC Type EA} \\\\",
- "\n\\text{AoC Step with AoC Type CL and Novelty C} & \\text{if AoC Type $\\in$ \\{AM, EOP\\}} \\\\",
- "\n\\text{empty} & \\text{if AoC Type is BOP} \\\\",
- "\n\\text{log NotSupportedAocStepReference error} & \\text{otherwise} \\\\",
+ "\n\\text{empty} & \\text{if AoC Type BOP or is of DataType Calculated} \\\\",
+ "\n\\text{Last of previous AoC Step for each Novelty} & \\text{if not BOP or Calculated but it is the first Combined AoC Step} \\\\",
+ "\n\\text{Last of previous AoC Step of the same Novelty} & \\text{if not BOP or Calculated and not the first Combined AoC Step} \\\\",
"\n\\end{array}",
"\n\\right.",
"\n$$",
"\n",
- "\nwhere the last AoC Step is obtained by ordering the AoC Steps according to their order (as defined by its AoC Type) and taking the last one."
+ "\nwhere the last AoC Step is obtained by ordering the AoC Steps according to their order (as defined by its AoC Type) and taking the last one.",
+ "\nNote that the DataType of an AocStep is defined in the [AoC Step Configuration](../DataModel/DataStructure#aoc-configuration) table.",
+ "\n"
],
"metadata": {},
"execution_count": 0,
@@ -369,28 +311,20 @@
{
"cell_type": "code",
"source": [
- "public interface ReferenceAocStep : IScope ",
+ "public interface ParentAocStep : IScope<(ImportIdentity Id, string AmountType, InputSource ScopeInputSource), ImportStorage>",
"\n{",
- "\n private IEnumerable OrderedParsedAocSteps => GetScope(Identity.DataNode).ParsedIdentities",
- "\n .Select(id => new AocStep(id.AocType, id.Novelty))",
- "\n .Distinct()",
- "\n .OrderBy(aocStep => GetStorage().AocConfigurationByAocStep[aocStep].Order);",
- "\n private AocStep identityAocStep => new AocStep(Identity.AocType, Identity.Novelty);",
- "\n private AocStep GetReferenceAocStep(string aocType) {",
- "\n return aocType switch {",
- "\n AocTypes.RCU or AocTypes.CF or AocTypes.IA or AocTypes.YCU or AocTypes.CRU => OrderedParsedAocSteps.GetReferenceAocStepForCalculated(GetStorage().AocConfigurationByAocStep, identityAocStep),",
- "\n AocTypes.EA => new AocStep(AocTypes.CF, Identity.Novelty),",
- "\n AocTypes.AM or AocTypes.EOP => new AocStep(AocTypes.CL, Novelties.C),",
- "\n AocTypes.BOP => GetStorage().GetShift(Identity.ProjectionPeriod) >= MonthInAYear && Identity.Novelty == Novelties.I ? new AocStep(AocTypes.CL, Novelties.C) : new AocStep(default, default), //BOP, C has DataType == Calculated. See ReferenceAocStep condition.",
- "\n _ => (AocStep)ApplicationMessage.Log(Error.NotSupportedAocStepReference, Identity.AocType),",
- "\n };",
- "\n }",
+ "\n private IEnumerable CalculatedAocStep => GetStorage().AocConfigurationByAocStep.Where(kvp => kvp.Value.DataType.Contains(DataType.Calculated)).Select(kvp => kvp.Key);",
+ "\n ",
+ "\n private IEnumerable TelescopicStepToBeRemoved => Identity.AmountType == AmountTypes.CDR ? Enumerable.Empty() : GetStorage().AocConfigurationByAocStep.Where(kvp => kvp.Value.AocType == AocTypes.CRU).Select(kvp => kvp.Key);",
+ "\n private IEnumerable PreviousAocStepsNotCalculated => GetScope((Identity.Id, Identity.ScopeInputSource)).Values.Where(aoc => !CalculatedAocStep.Concat(TelescopicStepToBeRemoved).Contains(aoc));",
+ "\n private bool IsFirstCombinedStep => Identity.Id.Novelty == Novelties.C && !PreviousAocStepsNotCalculated.Any(aoc => aoc.Novelty == Novelties.C);",
+ "\n private bool IsCalculatedStep => CalculatedAocStep.Contains(new AocStep(Identity.Id.AocType, Identity.Id.Novelty));",
"\n",
- "\n // The Reference AocStep from which get data (Nominal or PV) to compute",
- "\n AocStep Value => GetStorage().AocConfigurationByAocStep[identityAocStep].DataType == DataType.Calculated ",
- "\n || GetStorage().AocConfigurationByAocStep[identityAocStep].DataType == DataType.CalculatedTelescopic ",
- "\n ? GetReferenceAocStep(Identity.AocType)",
- "\n : identityAocStep;",
+ "\n IEnumerable Values => (Identity.Id.AocType == AocTypes.BOP || IsCalculatedStep, IsFirstCombinedStep) switch {",
+ "\n (true, _ ) => Enumerable.Empty(),",
+ "\n (false, true) => PreviousAocStepsNotCalculated.GroupBy(g => g.Novelty, (g, val) => val.Last()),",
+ "\n (false, false) => PreviousAocStepsNotCalculated.Last(aoc => aoc.Novelty == Identity.Id.Novelty).RepeatOnce(),",
+ "\n };",
"\n}"
],
"metadata": {},
@@ -400,26 +334,24 @@
{
"cell_type": "markdown",
"source": [
- "## Previous AoC Steps",
- "\nThe **PreviousAocSteps** scope computes and provides another important piece of information for each [Identity](../DataModel/DataStructure#import-identity), i.e. for a certain [AoC Type](../DataModel/DataStructure#aoc-type) and [Novelty](../DataModel/DataStructure#novelty).",
+ "## Reference AoC Step",
"\n",
- "\nIt provides the list of all previous AoC Steps up to the **BOP** step, whereby a Combined novelty will branch into the InForce and New Business AoC Types.",
+ "\nThe **ReferenceAocStep** scope provides the AoC Step from which to retrieve the data in order to compute its value (e.g. AoC Step EA retrieves Present Values, while AoC Step YCU retrieves Nominal).",
"\n",
- "\nPreviousAocSteps is critical when computing aggregated values along the various dimensions (such as for example Line of Business) and ",
- "\nis formed by the ParentAocStep and its parent and so on until there is no parent.",
+ "\nThey are defined as follows:",
"\n",
"\n$$",
- "\n\\text{PreviousAocSteps}(\\rm{AocStep}) = \\{PAS_1, PAS_2, \\ldots\\}",
- "\n$$",
- "\nwhere",
- "\n$$",
- "\n\\rm{PAS}_1 = \\rm{ParentAocStep}(\\rm{AoC Step})",
- "\n$$",
- "\n$$",
- "\n\\rm{PAS}_2 = \\rm{ParentAocStep}(\\rm{PAS}_1).",
+ "\n\\text{ReferenceAocStep}(\\text{AoC Step}) = \\left\\{",
+ "\n\\begin{array}{cl}",
+ "\n\\text{The last AoC Step with Data Type != Calculated} ~, & \\text{if AoC Step is of DataType Calculated or CalculatedTelescopic} \\\\",
+ "\n\\text{As defined by a custom setting} & \\text{otherwise if provided custom settings} \\\\",
+ "\n\\text{self} & \\text{all other cases} \\\\",
+ "\n\\end{array}",
+ "\n\\right.",
"\n$$",
"\n",
- "\nThis scope depends on the InputSource (Actual or Cashflow) for which the PreviousSteps are requested due to the AocChain differences between Actual reports and the rest."
+ "\nwhere the last AoC Step is obtained by ordering the AoC Steps according to their order (as defined by its AoC Type) and taking the last one.",
+ "\nCustom settings for the Reference AoC Step is given in [helper variables](../Utils/ImportCalculationMethods#helper-variables-used-in-calculation) and can be overwritten in custom projects. "
],
"metadata": {},
"execution_count": 0,
@@ -428,30 +360,45 @@
{
"cell_type": "code",
"source": [
- "public interface PreviousAocSteps : IScope<(ImportIdentity Id, InputSource ScopeInputSource), ImportStorage> ",
- "\n{ ",
- "\n private AocStep identityAocStep => new AocStep(Identity.Id.AocType, Identity.Id.Novelty);",
- "\n private int aocStepOrder => GetStorage().AocConfigurationByAocStep[identityAocStep].Order;",
- "\n private HashSet allAocSteps => GetStorage().GetAllAocSteps(Identity.ScopeInputSource).ToHashSet();",
- "\n IEnumerable Values => allAocSteps.Contains(identityAocStep)",
- "\n ? GetScope(Identity.Id.DataNode).Identities",
- "\n .Select(id => new AocStep(id.AocType, id.Novelty))",
- "\n .Distinct()",
- "\n .Where(aoc => allAocSteps.Contains(aoc) && ",
- "\n GetStorage().AocConfigurationByAocStep[aoc].Order < aocStepOrder && ",
- "\n (Identity.Id.Novelty != Novelties.C ? aoc.Novelty == Identity.Id.Novelty : true) )",
- "\n .OrderBy(aoc => GetStorage().AocConfigurationByAocStep[aoc].Order)",
- "\n : Enumerable.Empty();",
- "\n} "
- ],
- "metadata": {},
- "execution_count": 0,
- "outputs": []
- },
- {
- "cell_type": "markdown",
- "source": [
- "The exact structure being return depends on the **order** of the AoC Steps (which is set by the [AoC Type](../DataModel/DataStructure#aoc-type)), and on which AoC steps exist."
+ "// The Reference AocStep from which the data (Nominal or PV) is retrieved to to compute the current AoC Step",
+ "\npublic interface ReferenceAocStep : IScope",
+ "\n{",
+ "\n static ApplicabilityBuilder ScopeApplicabilityBuilder(ApplicabilityBuilder builder) =>",
+ "\n builder.ForScope(s => s.WithApplicability(x => x.GetStorage().GetShift(x.Identity.ProjectionPeriod) >= MonthInAYear));",
+ "\n",
+ "\n protected AocStep identityAocStep => new AocStep(Identity.AocType, Identity.Novelty);",
+ "\n",
+ "\n protected IEnumerable referenceForCalculated => GetScope((Identity, InputSource.Cashflow)).Values",
+ "\n .GroupBy(g => g.Novelty, (g, val) => val.Last(aocStep => GetStorage().AocConfigurationByAocStep[aocStep].DataType != DataType.Calculated",
+ "\n && GetStorage().AocConfigurationByAocStep[aocStep].DataType != DataType.CalculatedTelescopic));",
+ "\n ",
+ "\n protected bool IsCalculatedAocStep => GetStorage().AocConfigurationByAocStep[identityAocStep].DataType == DataType.Calculated || GetStorage().AocConfigurationByAocStep[identityAocStep].DataType == DataType.CalculatedTelescopic;",
+ "\n",
+ "\n IEnumerable Values => (",
+ "\n IsCalculatedAocStep, ",
+ "\n ComputationHelper.ReferenceAocSteps.TryGetValue(identityAocStep, out var CustomDefinedReferenceAocStep) //IsCustomDefined",
+ "\n ) switch {",
+ "\n (true, false) => referenceForCalculated.Any(x => x.Novelty == Novelties.C) ? referenceForCalculated.Where(x => x.Novelty == Novelties.C) : referenceForCalculated,",
+ "\n (true, true) => CustomDefinedReferenceAocStep,",
+ "\n (false, _) => identityAocStep.RepeatOnce(),",
+ "\n };",
+ "\n}",
+ "\n",
+ "\npublic interface ReferenceAocStepForProjections : ReferenceAocStep",
+ "\n{",
+ "\n private bool IsInforce => Identity.Novelty == Novelties.I;",
+ "\n",
+ "\n IEnumerable ReferenceAocStep.Values => (",
+ "\n IsCalculatedAocStep, ",
+ "\n ComputationHelper.ReferenceAocSteps.TryGetValue(identityAocStep, out var CustomDefinedReferenceAocStep), //IsCustomDefined",
+ "\n IsInforce",
+ "\n ) switch {",
+ "\n (true, false, false) => referenceForCalculated.Any(x => x.Novelty == Novelties.C) ? referenceForCalculated.Where(x => x.Novelty == Novelties.C) : referenceForCalculated,",
+ "\n (true, false, true) or (false, false, true) => new []{new AocStep(AocTypes.CL, Novelties.C)},",
+ "\n (true, true, _) or (false, true, true) => CustomDefinedReferenceAocStep,",
+ "\n (false, true, false) or (false, false, false) => identityAocStep.RepeatOnce(),",
+ "\n };",
+ "\n}"
],
"metadata": {},
"execution_count": 0,
diff --git a/ifrs17/Import/2ImportScope-PresentValue.ipynb b/ifrs17/Import/2ImportScope-PresentValue.ipynb
index 3bf1b601..582f681f 100644
--- a/ifrs17/Import/2ImportScope-PresentValue.ipynb
+++ b/ifrs17/Import/2ImportScope-PresentValue.ipynb
@@ -131,7 +131,7 @@
"\n private string EconomicBasis => GetContext();",
"\n ",
"\n private double[] YearlyYieldCurve => EconomicBasis switch {",
- "\n EconomicBases.N => Enumerable.Empty().ToArray(),",
+ "\n EconomicBases.N => new [] { 0d },",
"\n _ => GetStorage().GetYearlyYieldCurve(Identity, EconomicBasis),",
"\n };",
"\n ",
@@ -164,18 +164,57 @@
"public interface NominalCashflow : IScope<(ImportIdentity Id, string AmountType, string EstimateType, int? AccidentYear), ImportStorage>",
"\n{",
"\n static ApplicabilityBuilder ScopeApplicabilityBuilder(ApplicabilityBuilder builder) =>",
- "\n builder.ForScope(s => s.WithApplicability(x => x.GetStorage().GetCdr().Contains(x.Identity.AmountType) && x.Identity.Id.AocType == AocTypes.CF)",
- "\n .WithApplicability(x => x.GetStorage().GetCdr().Contains(x.Identity.AmountType))",
- "\n .WithApplicability(x => x.GetStorage().GetShift(x.Identity.Id.ProjectionPeriod) >= MonthInAYear && x.Identity.Id.AocType == AocTypes.BOP && x.Identity.Id.Novelty == Novelties.I));",
+ "\n builder.ForScope(s => s",
+ "\n .WithApplicability(x =>",
+ "\n (x.Identity.Id.AocType != AocTypes.CL && x.Identity.Id.AocType != AocTypes.EOP) && // if AocType is NOT CL AND NOT EOP AND",
+ "\n x.Identity.Id.Novelty != Novelties.I && // if Novelty is NOT inforce AND",
+ "\n x.GetStorage().GetShift(x.Identity.Id.ProjectionPeriod) >= MonthInAYear && // if it is projection >= 1 Year AND",
+ "\n !(x.Identity.AccidentYear.HasValue && MonthInAYear * x.Identity.AccidentYear >= (MonthInAYear * x.GetStorage().CurrentReportingPeriod.Year + x.GetStorage().GetShift(x.Identity.Id.ProjectionPeriod))) // if it DOES NOT (have AY and with AY >= than projected FY)",
+ "\n )",
+ "\n .WithApplicability(x =>",
+ "\n (x.Identity.Id.AocType == AocTypes.BOP || x.Identity.Id.AocType == AocTypes.CF || x.Identity.Id.AocType == AocTypes.IA) && // if AocType is BOP, CF or IA (or not in telescopic) AND",
+ "\n x.Identity.Id.Novelty == Novelties.I && // if Novelty is inforce AND",
+ "\n x.Identity.Id.LiabilityType == LiabilityTypes.LIC && // if LiabilityType is LIC AND",
+ "\n x.GetStorage().GetShift(x.Identity.Id.ProjectionPeriod) >= MonthInAYear && // if it is projection >= 1 Year AND",
+ "\n (x.Identity.AccidentYear.HasValue && MonthInAYear * x.Identity.AccidentYear >= (MonthInAYear * x.GetStorage().CurrentReportingPeriod.Year + x.GetStorage().GetShift(x.Identity.Id.ProjectionPeriod))) // if it DOES (have AY and with AY >= than projected FY)",
+ "\n )",
+ "\n .WithApplicability(x =>",
+ "\n x.Identity.Id.LiabilityType == LiabilityTypes.LRC && // if LiabilityType is LRC",
+ "\n x.GetStorage().GetShift(x.Identity.Id.ProjectionPeriod) >= MonthInAYear && // if it is projection >= 1 Year AND",
+ "\n (x.Identity.AccidentYear.HasValue && MonthInAYear * x.Identity.AccidentYear < (MonthInAYear * x.GetStorage().CurrentReportingPeriod.Year + x.GetStorage().GetShift(x.Identity.Id.ProjectionPeriod))) // if it DOES (have AY and with AY < than projected FY)",
+ "\n )",
+ "\n .WithApplicability(x =>",
+ "\n (x.Identity.Id.AocType == AocTypes.BOP || x.Identity.Id.AocType == AocTypes.CF || x.Identity.Id.AocType == AocTypes.IA) && // if AocType is BOP, CF or IA (or not in telescopic) AND",
+ "\n (x.Identity.Id.Novelty != Novelties.I && x.Identity.Id.Novelty != Novelties.C) && // if Novelty is NOT inforce AND",
+ "\n x.Identity.Id.LiabilityType == LiabilityTypes.LRC && // if LiabilityType is LRC AND",
+ "\n x.GetStorage().GetShift(x.Identity.Id.ProjectionPeriod) >= MonthInAYear && // if it is projection >= 1 Year AND",
+ "\n (x.Identity.AccidentYear.HasValue && MonthInAYear * x.Identity.AccidentYear >= (MonthInAYear * x.GetStorage().CurrentReportingPeriod.Year + x.GetStorage().GetShift(x.Identity.Id.ProjectionPeriod))) // if it DOES (have AY and with AY >= than projected FY)",
+ "\n )",
+ "\n .WithApplicability(x =>",
+ "\n (x.Identity.Id.AocType == AocTypes.CF) && // if AocType is CF AND",
+ "\n x.Identity.Id.LiabilityType == LiabilityTypes.LRC && x.Identity.AccidentYear.HasValue && // if LiabilityType is LRC with AY defined",
+ "\n x.GetStorage().GetShift(x.Identity.Id.ProjectionPeriod) == 0 && // if it is projection == 0 AND",
+ "\n !(MonthInAYear * x.Identity.AccidentYear == (MonthInAYear * x.GetStorage().CurrentReportingPeriod.Year + x.GetStorage().GetShift(x.Identity.Id.ProjectionPeriod))) // if AY == projected FY",
+ "\n )",
+ "\n .WithApplicability(x => x.GetStorage().GetCdr().Contains(x.Identity.AmountType) && x.Identity.Id.AocType == AocTypes.CF)",
+ "\n .WithApplicability(x => x.GetStorage().GetCdr().Contains(x.Identity.AmountType))",
+ "\n );",
+ "\n",
+ "\n IEnumerable referenceAocSteps => GetScope(Identity.Id).Values;",
+ "\n double[] Values => referenceAocSteps.Select(refAocStep => GetStorage().GetValues(Identity.Id with {AocType = refAocStep.AocType, Novelty = refAocStep.Novelty}, Identity.AmountType, Identity.EstimateType, Identity.AccidentYear))",
+ "\n .AggregateDoubleArray();",
+ "\n}",
"\n",
- "\n AocStep referenceAocStep => GetScope(Identity.Id).Value;",
- "\n double[] Values => GetStorage().GetValues(Identity.Id with {AocType = referenceAocStep.AocType, Novelty = referenceAocStep.Novelty}, Identity.AmountType, Identity.EstimateType, Identity.AccidentYear);",
+ "\npublic interface EmptyNominalCashflow : NominalCashflow",
+ "\n{",
+ "\n double[] NominalCashflow.Values => Enumerable.Empty().ToArray();",
"\n}",
"\n",
"\npublic interface CreditDefaultRiskNominalCashflow : NominalCashflow",
"\n{",
- "\n private double[] NominalClaimsCashflow => GetStorage().GetClaims()",
- "\n .Select(claim => GetStorage().GetValues(Identity.Id with {AocType = referenceAocStep.AocType, Novelty = referenceAocStep.Novelty}, claim, Identity.EstimateType, Identity.AccidentYear))",
+ "\n private double[] NominalClaimsCashflow => referenceAocSteps.SelectMany(refAocStep =>",
+ "\n GetStorage().GetClaims()",
+ "\n .Select(claim => GetStorage().GetValues(Identity.Id with {AocType = refAocStep.AocType, Novelty = refAocStep.Novelty}, claim, Identity.EstimateType, Identity.AccidentYear)))",
"\n .AggregateDoubleArray();",
"\n ",
"\n private string cdrBasis => Identity.AmountType == AmountTypes.CDR ? EconomicBases.C : EconomicBases.L;",
@@ -192,15 +231,10 @@
"\n",
"\npublic interface AllClaimsCashflow : NominalCashflow",
"\n{",
- "\n double[] NominalCashflow.Values => GetStorage().GetClaims()",
- "\n .Select(claim => GetStorage().GetValues(Identity.Id with {AocType = referenceAocStep.AocType, Novelty = referenceAocStep.Novelty}, claim, Identity.EstimateType, Identity.AccidentYear))",
+ "\n double[] NominalCashflow.Values => referenceAocSteps.SelectMany(refAocStep =>",
+ "\n GetStorage().GetClaims()",
+ "\n .Select(claim => GetStorage().GetValues(Identity.Id with {AocType = refAocStep.AocType, Novelty = refAocStep.Novelty}, claim, Identity.EstimateType, Identity.AccidentYear)))",
"\n .AggregateDoubleArray();",
- "\n}",
- "\n",
- "\npublic interface ProjectionBopNominalCashflow : NominalCashflow",
- "\n{ ",
- "\n ImportIdentity subImportIdentity => Identity.Id with {AocType = AocTypes.CL, Novelty = Novelties.C};",
- "\n double[] NominalCashflow.Values => GetStorage().GetValues(subImportIdentity, Identity.AmountType, Identity.EstimateType, Identity.AccidentYear);",
"\n}"
],
"metadata": {},
@@ -344,7 +378,7 @@
"\n string EconomicBasis => GetContext();",
"\n private double[] CurrentValues => GetScope(Identity).Values;",
"\n ",
- "\n private double[] PreviousValues => (GetScope((Identity.Id, Identity.AmountType)))",
+ "\n private double[] PreviousValues => (GetScope((Identity.Id, Identity.AmountType, InputSource.Cashflow)))",
"\n .Values",
"\n .Select(aoc => GetScope((Identity.Id with {AocType = aoc.AocType, Novelty = aoc.Novelty}, Identity.AmountType, Identity.EstimateType, Identity.Accidentyear)).Values)",
"\n .Where(cf => cf.Count() > 0)",
@@ -360,7 +394,7 @@
{
"cell_type": "markdown",
"source": [
- "## Present Value",
+ "## Valuation Period ",
"\n",
"\nThe present value ($\\rm{PV}$) can be determined by taking the appropriate elements of the cumulated discounted cash flows. This is done as function of the two [projection parameters](../DataModel/DataStructure#projection-configuration) $\\rm{Shift}$ ($S$) and $\\rm{TimeStep}$ ($TS$):",
"\n",
@@ -390,11 +424,17 @@
"public interface IWithGetValueFromValues : IScope<(ImportIdentity Id, string AmountType, string EstimateType, int? AccidentYear), ImportStorage>",
"\n{",
"\n private int shift => GetStorage().GetShift(Identity.Id.ProjectionPeriod);",
- "\n private int timeStep => GetStorage().GetTimeStep(Identity.Id.ProjectionPeriod);",
- "\n ",
- "\n public double GetValueFromValues(double[] Values)",
+ "\n private int timeStep => ",
+ "\n Identity.Id.LiabilityType == LiabilityTypes.LRC && ",
+ "\n Identity.AccidentYear.HasValue && ",
+ "\n (MonthInAYear * Identity.AccidentYear == (MonthInAYear * GetStorage().CurrentReportingPeriod.Year + GetStorage().GetShift(Identity.Id.ProjectionPeriod)))",
+ "\n ? int.MaxValue",
+ "\n : GetStorage().GetTimeStep(Identity.Id.ProjectionPeriod);",
+ "\n",
+ "\n public double GetValueFromValues(double[] Values, string overrideValuationPeriod = null)",
"\n {",
- "\n return GetStorage().GetValuationPeriod(Identity.Id) switch {",
+ "\n var valuationPeriod = Enum.TryParse(overrideValuationPeriod, out ValuationPeriod ret) ? ret : GetStorage().GetValuationPeriod(Identity.Id);",
+ "\n return valuationPeriod switch {",
"\n ValuationPeriod.BeginningOfPeriod => Values.ElementAtOrDefault(shift),",
"\n ValuationPeriod.MidOfPeriod => Values.ElementAtOrDefault(shift + Convert.ToInt32(Math.Round(timeStep / 2d, MidpointRounding.AwayFromZero)) - 1),",
"\n ValuationPeriod.Delta => Values.Skip(shift).Take(timeStep).Sum(),",
@@ -491,6 +531,70 @@
"execution_count": 0,
"outputs": []
},
+ {
+ "cell_type": "markdown",
+ "source": [
+ "In case the Interest Accretion step is computed without using a cash flow like for In Force contribution in Contractual Service Margin and Loss Component computed by the [Technical Margin](4ImportScope-TechnicalMargin#technical-margin). Interest Accretion factor is computed by: ",
+ "\n",
+ "\n$$",
+ "\nIAF = \\prod _{i = S}^{S + TS - 1} \\text{Monthly }IF_i ~,",
+ "\n$$",
+ "\nwhere $\\text{Monthly }IF_i$ is computed through the [Yield Curve](#interest-and-discount-rates-and-factors) using a specified Economic Basis (Current or Locked-in) specified in the scope computation that uses this factor. The current Interest Accretion factor is applied to the aggregated value over the previus AoC Steps to compute the Interest Accreation amount. "
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "public interface InterestAccretionFactor : IScope{",
+ "\n private int timeStep => GetStorage().GetTimeStep(Identity.ProjectionPeriod);",
+ "\n private int shift => GetStorage().GetShift(Identity.ProjectionPeriod);",
+ "\n ",
+ "\n double GetInterestAccretionFactor(string economicBasis) ",
+ "\n {",
+ "\n double[] monthlyInterestFactor = GetScope(Identity, o => o.WithContext(economicBasis)).Interest;",
+ "\n return Enumerable.Range(shift,timeStep).Select(i => monthlyInterestFactor.GetValidElement(i/12)).Aggregate(1d, (x, y) => x * y ) - 1d;",
+ "\n }",
+ "\n}"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "### New Business Interest Accretion for Liabilities",
+ "\n",
+ "\nFor in-force liabilities positions (i.e. Novelty is I), interest can be accreted from the beginning of the period, as the in-force reserve is already present from day one.",
+ "\nInstead, new business (and perhaps other Novelties behaving similarly) comes during the period, and therefore the interest accretion might use a different logic.",
+ "\nThe most commong approach is to use the nominal cash flows and recalculate the interest accordingly. The Scope below can be used as reference, but it is not active in the default calculation engine."
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "public interface NewBusinessInterestAccretion : IScope",
+ "\n{",
+ "\n private int timeStep => GetStorage().GetTimeStep(Identity.ProjectionPeriod);",
+ "\n private int shift => GetStorage().GetShift(Identity.ProjectionPeriod);",
+ "\n",
+ "\n double GetInterestAccretion(double[] values, string economicBasis) ",
+ "\n {",
+ "\n var monthlyInterestFactor = GetScope(Identity, o => o.WithContext(economicBasis)).Interest;",
+ "\n return values.NewBusinessInterestAccretion(monthlyInterestFactor, timeStep, shift);",
+ "\n }",
+ "\n}"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
{
"cell_type": "markdown",
"source": [
@@ -523,13 +627,13 @@
"public interface PresentValue : IWithGetValueFromValues { ",
"\n static ApplicabilityBuilder ScopeApplicabilityBuilder(ApplicabilityBuilder builder) =>",
"\n builder.ForScope(s => s",
- "\n .WithApplicability(x => x.GetStorage().ImportFormat != ImportFormats.Cashflow || x.GetStorage().IsSecondaryScope(x.Identity.Id.DataNode))",
- "\n .WithApplicability(x => (x.Identity.Id.AocType == AocTypes.BOP && x.Identity.Id.Novelty != Novelties.C) || x.Identity.Id.AocType == AocTypes.EOP)",
- "\n .WithApplicability(x => x.Identity.Id.AocType == AocTypes.CF)",
- "\n .WithApplicability(x => x.Identity.Id.AocType == AocTypes.IA)",
- "\n .WithApplicability(x => ComputationHelper.AocTypeWithNoPv.Contains(x.Identity.Id.AocType) ||",
- "\n (x.Identity.Id.AocType == AocTypes.CRU && !x.GetStorage().GetCdr().Contains(x.Identity.AmountType)) ) ",
- "\n );",
+ "\n .WithApplicability(x => x.GetStorage().ImportFormat != ImportFormats.Cashflow || x.GetStorage().IsSecondaryScope(x.Identity.Id.DataNode))",
+ "\n .WithApplicability(x => (x.Identity.Id.AocType == AocTypes.BOP && x.Identity.Id.Novelty != Novelties.C) || x.Identity.Id.AocType == AocTypes.EOP)",
+ "\n .WithApplicability(x => x.Identity.Id.AocType == AocTypes.CF)",
+ "\n .WithApplicability(x => x.Identity.Id.AocType == AocTypes.IA)",
+ "\n .WithApplicability(x => ComputationHelper.AocStepWithNoPv.Contains(new AocStep(x.Identity.Id.AocType, x.Identity.Id.Novelty)) ||",
+ "\n (x.Identity.Id.AocType == AocTypes.CRU && !x.GetStorage().GetCdr().Contains(x.Identity.AmountType)) )",
+ "\n );",
"\n ",
"\n [NotVisible][IdentityProperty][Dimension(typeof(EconomicBasis))]",
"\n string EconomicBasis => GetContext();",
@@ -574,11 +678,50 @@
{
"cell_type": "markdown",
"source": [
- "## Current and Locked",
- "\n",
- "\nPV Current and PV Locked below basically hold the Present Values [PV](#present-value) computed using the **Current** yield curves and the **Locked** yield curves, respectively.",
+ "## Wrapper over Accident Year",
+ "\nPresent Value are here collected for all available Accident Year for any combination of [Amount Type](../DataModel/DataStructure#amount-type) and [Estimate Type](../DataModel/DataStructure#estimate-type) specified in input (scope identity). In addition, the sum of present values over the available Accident Years is also provided. "
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "public interface PvAggregatedOverAccidentYear : IScope<(ImportIdentity Id, string AmountType, string EstimateType), ImportStorage>",
+ "\n{ ",
+ "\n [IdentityProperty][NotVisible][Dimension(typeof(EconomicBasis))]",
+ "\n string EconomicBasis => GetContext();",
+ "\n ",
+ "\n private int?[] accidentYears => GetStorage().GetAccidentYears(Identity.Id.DataNode, Identity.Id.ProjectionPeriod).ToArray(); ",
+ "\n ",
+ "\n [NotVisible]",
+ "\n (string AmountType, string EstimateType, int? AccidentYear, double Value)[] PresentValues => accidentYears.Select(ay => ",
+ "\n (Identity.AmountType, Identity.EstimateType, ay, GetScope((Identity.Id, Identity.AmountType, Identity.EstimateType, ay), o => o.WithContext(EconomicBasis)).Value))",
+ "\n .ToArray();",
+ "\n ",
+ "\n double Value => PresentValues.Sum(pv => pv.Value);",
+ "\n}"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "# Best Estimate"
+ ],
+ "metadata": {},
+ "execution_count": 0,
+ "outputs": []
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "PV Current and PV Locked below basically hold the Present Values [PV](#present-value) computed using the **Current** yield curves and the **Locked** yield curves, respectively.",
"\n",
- "\nValues are available for each AmountType (by calling PvLocked.ByAmountType):",
+ "\nValues are available for each AmountType and AccidentYear (by calling PvLocked.PresentValues):",
"\n",
"\n$$",
"\n\\text{PV Locked}(\\text{AoC step}, \\text{Amount Type}) = \\text{PV}(\\text{AoC step}, \\text{Amount Type})|_{\\text{Economic Base = L}}",
@@ -588,18 +731,9 @@
"\n\\text{PV Current}(\\text{AoC step}, \\text{Amount Type}) = \\text{PV}(\\text{AoC step}, \\text{Amount Type})|_{\\text{Economic Base = C}}",
"\n$$",
"\n",
+ "\nAggregated present values are also available through summing over Amount Types and Accident Year (by calling PvLocked.PresentValues.Sum(pv => pv.Value)).",
"\n",
- "\nAnd aggregated values are also available as the sum over all [Amount Types](../DataModel/DataStructure#amount-type) (by calling PvLocked.Value):",
- "\n",
- "\n$$",
- "\n\\text{PV Locked}(\\text{AoC step}) = \\sum_{\\text{Amount Types}} \\text{PV}(\\text{AoC step}, \\text{Amount Type})|_{\\text{Economic Base = L}}",
- "\n$$",
- "\n",
- "\n$$",
- "\n\\text{PV Current}(\\text{AoC step}) = \\sum_{\\text{Amount Types}} \\text{PV}(\\text{AoC step}, \\text{Amount Type})|_{\\text{Economic Base = C}}",
- "\n$$",
- "\n",
- "\nThese are used in the BBA methodology, whereby in the CSM calculations only PV Locked is used, and both of them are stored in the database under the [IfrsVariable](../DataModel/DataStructure#ifrs-variable) data structure."
+ "\nPV Current and PV Locked are both computed in the BBA methodology, although the CSM calculations uses only PV Locked for BBA valuation approach and PV Current for VFA valuation approach. Depending on the valuation approach Present Values Locked and/or Present Values current are stored in the database under the [IfrsVariable](../DataModel/DataStructure#ifrs-variable) data structure."
],
"metadata": {},
"execution_count": 0,
@@ -615,15 +749,11 @@
"\n ",
"\n [IdentityProperty][NotVisible][Dimension(typeof(EstimateType))]",
"\n string EstimateType => EstimateTypes.BE;",
- "\n ",
- "\n private int?[] accidentYears => GetStorage().GetAccidentYears(Identity.DataNode).ToArray(); ",
- "\n ",
+ "\n ",
"\n [NotVisible]",
- "\n PresentValue[] PresentValues => GetScope(Identity.DataNode).BeAmountTypes",
- "\n .SelectMany(at => accidentYears",
- "\n .Select(ay => GetScope((Identity, at, EstimateType, ay), o => o.WithContext(EconomicBasis))))",
- "\n .ToArray();",
- "\n double Value => PresentValues.Aggregate().Value;",
+ "\n (string AmountType, string EstimateType, int? AccidentYear, double Value)[] PresentValues => GetScope(Identity.DataNode).BeAmountTypes",
+ "\n .SelectMany(at => GetScope((Identity, at, EstimateType), o => o.WithContext(EconomicBasis)).PresentValues",
+ "\n ).ToArray();",
"\n}"
],
"metadata": {},
@@ -640,31 +770,17 @@
"\n ",
"\n [IdentityProperty][NotVisible][Dimension(typeof(EstimateType))]",
"\n string EstimateType => EstimateTypes.BE;",
- "\n ",
- "\n private int?[] accidentYears => GetStorage().GetAccidentYears(Identity.DataNode).ToArray();",
- "\n ",
+ "\n",
"\n [NotVisible]",
- "\n PresentValue[] PresentValues => GetScope(Identity.DataNode).BeAmountTypes",
- "\n .SelectMany(at => accidentYears",
- "\n .Select(ay => GetScope((Identity, at, EstimateType, ay), o => o.WithContext(EconomicBasis))))",
- "\n .ToArray();",
- "\n ",
- "\n double Value => PresentValues.Aggregate().Value;",
+ "\n (string AmountType, string EstimateType, int? AccidentYear, double Value)[] PresentValues => GetScope(Identity.DataNode).BeAmountTypes",
+ "\n .SelectMany(at => GetScope((Identity, at, EstimateType), o => o.WithContext(EconomicBasis)).PresentValues",
+ "\n ).ToArray();",
"\n}"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
- {
- "cell_type": "markdown",
- "source": [
- "## Nominal"
- ],
- "metadata": {},
- "execution_count": 0,
- "outputs": []
- },
{
"cell_type": "code",
"source": [
@@ -675,15 +791,10 @@
"\n [IdentityProperty][NotVisible][Dimension(typeof(EstimateType))]",
"\n string EstimateType => EstimateTypes.BE;",
"\n ",
- "\n private int?[] accidentYears => GetStorage().GetAccidentYears(Identity.DataNode).ToArray();",
- "\n ",
"\n [NotVisible]",
- "\n PresentValue[] PresentValues => GetScope(Identity.DataNode).BeAmountTypes",
- "\n .SelectMany(at => accidentYears",
- "\n .Select(ay => GetScope((Identity, at, EstimateType, ay), o => o.WithContext(EconomicBasis))))",
- "\n .ToArray();",
- "\n ",
- "\n double Value => PresentValues.Aggregate().Value;",
+ "\n (string AmountType, string EstimateType, int? AccidentYear, double Value)[] PresentValues => GetScope(Identity.DataNode).BeAmountTypes",
+ "\n .SelectMany(at => GetScope((Identity, at, EstimateType), o => o.WithContext(EconomicBasis)).PresentValues",
+ "\n ).ToArray();",
"\n}"
],
"metadata": {},
@@ -721,12 +832,9 @@
"\n ",
"\n [IdentityProperty][NotVisible][Dimension(typeof(EstimateType))]",
"\n string EstimateType => EstimateTypes.RA;",
- "\n ",
- "\n private int?[] accidentYears => GetStorage().GetAccidentYears(Identity.DataNode).ToArray(); ",
- "\n ",
- "\n PresentValue[] PresentValues => accidentYears.Select(ay => GetScope((Identity, (string)null, EstimateType, ay), o => o.WithContext(EconomicBasis))).ToArray();",
- "\n ",
- "\n double Value => PresentValues.Aggregate().Value;",
+ "\n",
+ "\n [NotVisible]",
+ "\n (string AmountType, string EstimateType, int? AccidentYear, double Value)[] PresentValues => GetScope((Identity, (string)null, EstimateType), o => o.WithContext(EconomicBasis)).PresentValues;",
"\n}"
],
"metadata": {},
@@ -744,11 +852,8 @@
"\n [IdentityProperty][NotVisible][Dimension(typeof(EstimateType))]",
"\n string EstimateType => EstimateTypes.RA;",
"\n ",
- "\n private int?[] accidentYears => GetStorage().GetAccidentYears(Identity.DataNode).ToArray(); ",
- "\n ",
- "\n PresentValue[] PresentValues => accidentYears.Select(ay => GetScope((Identity, (string)null, EstimateType, ay), o => o.WithContext(EconomicBasis))).ToArray(); ",
- "\n ",
- "\n double Value => PresentValues.Aggregate().Value;",
+ "\n [NotVisible]",
+ "\n (string AmountType, string EstimateType, int? AccidentYear, double Value)[] PresentValues => GetScope((Identity, (string)null, EstimateType), o => o.WithContext(EconomicBasis)).PresentValues;",
"\n}"
],
"metadata": {},
@@ -765,12 +870,8 @@
"\n [IdentityProperty][NotVisible][Dimension(typeof(EstimateType))]",
"\n string EstimateType => EstimateTypes.RA;",
"\n ",
- "\n private int?[] accidentYears => GetStorage().GetAccidentYears(Identity.DataNode).ToArray();",
- "\n ",
"\n [NotVisible]",
- "\n PresentValue[] PresentValues => accidentYears.Select(ay => GetScope((Identity, (string)null, EstimateType, ay), o => o.WithContext(EconomicBasis))).ToArray();",
- "\n ",
- "\n double Value => PresentValues.Aggregate().Value;",
+ "\n (string AmountType, string EstimateType, int? AccidentYear, double Value)[] PresentValues => GetScope((Identity, (string)null, EstimateType), o => o.WithContext(EconomicBasis)).PresentValues;",
"\n}"
],
"metadata": {},
@@ -791,29 +892,7 @@
{
"cell_type": "markdown",
"source": [
- "## Coverage Units",
- "\n",
- "\nThe coverage unit (CU) of a GIC is introduced in the standard as the quantity of the service provided in that GIC. The service is",
- "\nmeasured by considering the quantity of benefits provided as well as the expected coverage period of the GIC.",
- "\n",
- "\nThe cash flows of coverage units are retrieved from the discounted cash flows with [EstimateType](../DataModel/DataStructure#estimate-type) CU."
- ],
- "metadata": {},
- "execution_count": 0,
- "outputs": []
- },
- {
- "cell_type": "code",
- "source": [
- "public interface CoverageUnitCashflow : IScope",
- "\n{ ",
- "\n [NotVisible] string EconomicBasis => GetContext();",
- "\n ",
- "\n [IdentityProperty][NotVisible][Dimension(typeof(EstimateType))]",
- "\n string EstimateType => EstimateTypes.CU;",
- "\n ",
- "\n double[] Values => GetScope((Identity, (string)null, EstimateType, (int?)null)).Values;",
- "\n}"
+ "## Monthly AM Factor"
],
"metadata": {},
"execution_count": 0,
@@ -822,7 +901,15 @@
{
"cell_type": "markdown",
"source": [
- "## Amortization Factor"
+ "The calculation of the Amortization factors uses a release pattern defined in input. ",
+ "\nA generic pattern specific for a certain GIC can be input through the [Single Data Node Parameter](../DataModel/#data-node-parameters) through the Release Pattern fields. It is possible to also define release pattern specific for an AmountType. For example a coverage units pattern for the calculaiton of Contractual service margin, a premium pattern for the Premium allocation approach, and a deferral pattern for deferrable expenses. ",
+ "\nThe calculation gives priority to the specific pattern and falls back to the general pattern provided as Data node parameter if absent. ",
+ "\n",
+ "\n**Specific AmountType**",
+ "\n",
+ "\nFor valuation approaches BBA and VFA the coverage unit (CU) of a GIC is introduced in the standard as the quantity of the service provided in that GIC. The service is measured by considering the quantity of benefits provided as well as the expected coverage period of the GIC.",
+ "\n",
+ "\nThe cash flows of coverage units are retrieved from the discounted (with Locked-in, Current, or undiscounted) and cumulated cash flows with [EstimateType](../DataModel/DataStructure#estimate-type) P and [AmountType](../DataModel/DataStructure#amount-type) CU. The pattern for the AoC Step CL,C is considered. "
],
"metadata": {},
"execution_count": 0,
@@ -831,16 +918,20 @@
{
"cell_type": "markdown",
"source": [
- "For a certain GIC, the monthly Amortization Factors $\\text{Monthly }AF_i$ are computed from the cash flows of the underlying coverage unit for that GIC:",
+ "**Calculation**",
+ "\n",
+ "\nFor a certain GIC, the monthly Amortization Factors $\\text{Monthly }AF_i$ are computed from the provided pattern for that GIC:",
"\n",
"\n$$",
- "\n\\text{Monthly }AF_i = 1 - \\frac{ \\text{Nominal}_i(CL)} {\\text{CDC}_i(CL) } ~.",
+ "\n\\text{Monthly }AF_i = Max\\left(0, 1 - \\frac{ \\text{Nominal}_i} {\\text{CDC}_i }\\right) ~.",
"\n$$",
"\n",
"\nwhere:",
"\n- $i$ denotes a monthly period;",
- "\n- the nominal cash flows $\\text{Nominal}_i(CL)$ are the nominal cash flows of the coverage unit for the AoC Step **Combined Liability** (CL) (input data);",
- "\n- and the corresponding cumulated discounted cash flows $\\text{CDC}_i$ are defined [above](#cumulated-discounted-cash-flows)."
+ "\n- the nominal pattern $\\text{Nominal}_i$ is the monthly nominal pattern provided as input data;",
+ "\n- $\\text{CDC}_i$ is the corresponding cumulated discounted cash flows as defined [above](#cumulated-discounted-cash-flows). The discounting factors (Locked-in, Current, Nominal or undiscounted) is controlled by the EconomicBasis parameter following Ifrs 17 standards : Locked-in for BBA, Current for VFA, Current for PAA-LIC or taken from [EconomicBasisDriver](../DataModel/DataStructure#data-node-parameters) when the choice is left to the user. ",
+ "\n",
+ "\nOccasionally, it is required to shift the relase pattern to a certain period in order to correctly compute the release. Here we allow the $\\text{Nominal}_i$ to be shifted arbitrarily. The shift is considered also in the calculationof the corresponding $\\text{CDC}_i$ term and it is controlled by the computation of the specific release (Deferral, Premium, Contractual service margin)."
],
"metadata": {},
"execution_count": 0,
@@ -849,20 +940,21 @@
{
"cell_type": "code",
"source": [
- "public interface MonthlyAmortizationFactorCashflow : IScope",
+ "public interface MonthlyAmortizationFactorCashflow : IScope<(ImportIdentity Id, string AmountType, int patternShift), ImportStorage>",
"\n{",
- "\n private double[] NominalCuCashflow => GetScope((Identity with {AocType = AocTypes.CL}, (string)null, EstimateTypes.CU, (int?)null)).Values;",
- "\n private double[] DiscountedCuCashflow => Multiply(-1d, GetScope(Identity with {AocType = AocTypes.CL}, o => o.WithContext(EconomicBasis)).Values);",
+ "\n (string EffectiveAmountType, double[] Values) releasePattern => GetStorage().GetReleasePattern(Identity.Id, Identity.AmountType, Identity.patternShift);",
+ "\n",
+ "\n private PeriodType periodType => GetStorage().GetPeriodType(Identity.AmountType, EstimateTypes.P);",
+ "\n private double[] monthlyDiscounting => GetScope(Identity.Id).Discount;",
+ "\n private double[] cdcPattern => releasePattern.Values.ComputeDiscountAndCumulate(monthlyDiscounting, periodType); ",
"\n ",
"\n [NotVisible] string EconomicBasis => GetContext();",
"\n ",
- "\n double[] MonthlyAmortizationFactors => Identity.AocType switch {",
- "\n AocTypes.AM => NominalCuCashflow.Zip(DiscountedCuCashflow, //Extract to an other scope with month in the identity to avoid Zip?",
- "\n (nominal, discountedCumulated) => Math.Abs(discountedCumulated) >= Precision ",
- "\n ? 1 - nominal / discountedCumulated ",
- "\n : 0).ToArray(),",
- "\n _ => Enumerable.Empty().ToArray(),",
- "\n };",
+ "\n double[] MonthlyAmortizationFactors => Identity.Id.AocType switch {",
+ "\n AocTypes.AM when releasePattern.Values?.Any() ?? false => releasePattern.Values.Zip(cdcPattern, //Extract to an other scope with month in the identity to avoid Zip?",
+ "\n (nominal, discountedCumulated) => Math.Abs(discountedCumulated) >= Precision ? Math.Max(0, 1 - nominal / discountedCumulated) : 0).ToArray(),",
+ "\n _ => Enumerable.Empty().ToArray(),",
+ "\n };",
"\n}"
],
"metadata": {},
@@ -872,7 +964,8 @@
{
"cell_type": "markdown",
"source": [
- "For a certain projection period - defined by the Shift, $S$, and the Time-Step, $TS$, parameters - the Amortization Factor is then given by the product of the corresponding monthly amortization factors:",
+ "## Current Period AM actor",
+ "\nFor a certain projection period - defined by the Shift, $S$, and the Time-Step, $TS$, parameters - the Amortization Factor is then given by the product of the corresponding monthly amortization factors:",
"\n",
"\n$$",
"\nAF = 1 - \\prod _{i = S}^{S + TS - 1} \\text{Monthly }AF_i ~.",
@@ -889,31 +982,42 @@
{
"cell_type": "code",
"source": [
- "public interface CurrentPeriodAmortizationFactor : IScope",
+ "public interface CurrentPeriodAmortizationFactor : IScope<(ImportIdentity Id, string AmountType, int patternShift), ImportStorage>",
"\n{",
"\n static ApplicabilityBuilder ScopeApplicabilityBuilder(ApplicabilityBuilder builder) =>",
"\n builder.ForScope