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Merged
dcolleoni merged 20 commits into from
Nov 15, 2023
Merged

Base of Solvency calculation for fpna #419

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5f0d4c8
add RiskDriver
sbatka Oct 30, 2023
c0696e5
refactor AmountTypes, remove AssetAmountType add RiskDriver to DataM…
sbatka Nov 2, 2023
dfa75f2
Solvency variable in storage
sbatka Nov 2, 2023
fc471be
init
dcolleoni Nov 3, 2023
5680de6
wip
dcolleoni Nov 3, 2023
826ddcf
Merge branch 'develop' into Solvency
dcolleoni Nov 3, 2023
a7a0400
use generics in the storage and scope to fix an issue with the calcul…
dcolleoni Nov 3, 2023
f604451
chashflower test
dcolleoni Nov 3, 2023
4ad7384
clean up
dcolleoni Nov 6, 2023
ded1b51
wip
dcolleoni Nov 9, 2023
868b0fb
init using Import.WithFormat
dcolleoni Nov 9, 2023
c8a6a8f
some clean up
dcolleoni Nov 10, 2023
5139c61
some clean up
dcolleoni Nov 14, 2023
5160a9d
Merge remote-tracking branch 'origin/develop' into Solvency
dcolleoni Nov 14, 2023
cb02cc7
fix test and clean up
dcolleoni Nov 14, 2023
05231ec
add reference to template
dcolleoni Nov 14, 2023
b93681a
Merge branch 'improveOnSolvency' into Solvency
dcolleoni Nov 14, 2023
3b27edb
reset dataSource in ifrs17 tests
dcolleoni Nov 15, 2023
a7f2e21
data model and init
dcolleoni Nov 15, 2023
9ccada3
reset link to ifrs17ce
dcolleoni Nov 15, 2023
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57 changes: 28 additions & 29 deletions fpna-template/Files/AmountType.ipynb
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Expand Up @@ -55,42 +55,41 @@
"\nXC,Claims Incurred Pattern,",
"\nXN,Claims Paid Pattern,\"",
"\n;",
"\nvar assetAmountTypes = @\"@@AssetAmountType",
"\nSystemName,DisplayName,Parent",
"\nSH,Shares,",
"\nRE,Real Estate,",
"\nCH,Cash,",
"\nBO,Bonds,",
"\nCB,CouponBond,BO",
"\nCBC,Coupon,CB",
"\nCBF,FaceValue,CB\"",
"\n;",
"\n",
"\nvar solvencyBsAmountTypes = @\"@@SolvencyBsAmountType",
"\nSystemName,DisplayName,Parent",
"\nS2A,Solvency II Assets,",
"\nS2IA,Invested Assets,S2A",
"\nS2ASH,Shares,S2A",
"\nS2ARE,Real Estate,S2A",
"\nS2ACH,Cash,S2A",
"\nS2ABO,Bonds,S2A",
"\nS2AOT,Other Assets,S2A",
"\nS2L,Solvency II Liabilities,",
"\nS2TP,Technical Provisions,S2L",
"\nS2RM,Risk Margin,S2TP",
"\nS2BEL,Best Estimate Liability,S2TP",
"\nS2OF,Own Funds,S2L",
"\nS2SCR,SCR,S2OF",
"\nS2FC,Free Capital,S2OF\"",
"\nS2LTP,Technical Provisions,S2L",
"\nS2LRM,Risk Margin,S2LTP",
"\nS2LBEL,Best Estimate Liability,S2LTP",
"\nS2LOF,Own Funds,S2L",
"\nS2LSCR,SCR,S2LOF",
"\nS2LFC,Free Capital,S2LOF\"",
"\n;",
"\nvar ifrsBsAmountTypes = @\"@@IfrsBsAmountType",
"\nSystemName,DisplayName,Parent",
"\nIFRSA,IFRS17 Assets,",
"\nIFRSIA,Invested Assets,IFRSA",
"\nIFRSOCI,Asset OCI,IFRSA",
"\nIFRSL,IFRS17 Liabilites,",
"\nIFRSBE,Best Estimate Liabilities,IFRSL",
"\nIFRSBEL,BEL Book Value,IFRSBE",
"\nIFRSBELOCI,Best Estimate Liabilities OCI,IFRSBE",
"\nIFRSRA,Risk Adjustment,IFRSL",
"\nIFRSCSM,CSM,IFRSL",
"\nIFRSEQ,Shareholders Equity,",
"\nIFRSEQOCI,Net OCI Reserve,IFRSEQ",
"\nIFRSEQRE,Retained Earnings,IFRSEQ\"",
"\nIFA,IFRS Assets,",
"\nIFASH,Shares,IFA",
"\nIFARE,Real Estate,IFA",
"\nIFACH,Cash,IFA",
"\nIFABO,Bonds,IFA",
"\nIFAOT,Other Assets,IFA",
"\nIFAOCI,Asset OCI,IFA",
"\nIFL,IFRS Liabilites,",
"\nIFLBE,Best Estimate Liabilities,IFL",
"\nIFLBEV,BEL Book Value,IFLBE",
"\nIFLBEOCI,Best Estimate Liabilities OCI,IFLBE",
"\nIFLRA,Risk Adjustment,IFL",
"\nIFLCSM,CSM,IFL",
"\nIFLEQ,Shareholders Equity,",
"\nIFLEQOCI,Net OCI Reserve,IFLEQ",
"\nIFLEQRE,Retained Earnings,IFLEQ\"",
"\n;"
],
"metadata": {},
Expand Down
56 changes: 46 additions & 10 deletions fpna-template/Files/Cashflows.ipynb
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Expand Up @@ -16,26 +16,56 @@
"nbformat": 4,
"nbformat_minor": 5,
"cells": [
{
"cell_type": "markdown",
"source": [
"# Cashflow Definition Input"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
"## Generic"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"var basicCashflows = @\"@@BasicCashflow",
"var CashflowsDefInput = @\"",
"\n@@Main",
"\nReportingNode,Year,Month,Scenario,",
"\nCH,2020,12,,",
"\n@@BasicCashflow",
"\nDataNode,AmountType,Shape,InitialValue,Length,Shift,Values0,Values1,Values2,Values3,Values4,",
"\nG.BBA.LRC.2020.P,PR,Constant,10000,5,0,,,,,",
"\nG.BBA.LRC.2020.P,PR,Linear,1000,4,1,0.5,0.5,0.5,0.5,",
"\n@@BoundedCashflow ",
"\nDataNode,AmountType,Shape,InitialValue,Length,Shift,Minimum,Maximum",
"\nG.BBA.LRC.2020.P,PR,Random,6000,4,1,100,400",
"\n@@ReferencedCashflow",
"\nDataNode,AmountType,AccidentYear,Shape,InitialValue,Length,Shift,ReferenceAmountType,Values0,Values1,Values2,Values3,Values4",
"\nG.BBA.LRC.2020.P,PR,,Reference,,,,PR,0.5,0.5,0.5,0.5,0.5",
"\nG.BBA.LRC.2020.P,AEM,,Reference,,,,PR,-0.5,-0.5,-0.5,-0.5,-0.5",
"\nG.BBA.LRC.2020.P,CL,,Reference,,,,PR,-0.25,-0.25,-0.25,-0.25,-0.25",
"\nG.BBA.LRC.2020.P,CL,,Reference,,,,AEM,0.5,0.5,0.5,0.5,0.5",
"\nG.BBA.LRC.2020.P,S2ASH,,Reference,,,,PR,1,1,1,1,1",
"\nG.BBA.LRC.2020.P,S2LTP,,Reference,,,,PR,3,3,3,4,5",
"\n\";"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"cell_type": "markdown",
"source": [
"var boundedCashflows = @\"@@BoundedCashflow ",
"\nDataNode,AmountType,Shape,InitialValue,Length,Shift,Minimum,Maximum",
"\nG.BBA.LRC.2020.P,PR,Random,6000,4,1,100,400",
"\n\";"
"## Solvency"
],
"metadata": {},
"execution_count": 0,
Expand All @@ -44,15 +74,21 @@
{
"cell_type": "code",
"source": [
"var referencedCashflows = @\"@@ReferencedCashflow",
"var SolvencyCashflowsDefInput = @\"",
"\n@@Main",
"\nReportingNode,Year,Month,Scenario,",
"\nCH,2020,12,,",
"\n@@BasicCashflow",
"\nDataNode,AmountType,Shape,InitialValue,Length,Shift,Values0,Values1,Values2,Values3,Values4,",
"\nG.BBA.LRC.2020.P,PR,Constant,10000,5,0,,,,,",
"\nG.BBA.LRC.2020.P,PR,Linear,1000,4,1,0.5,0.5,0.5,0.5,",
"\n@@ReferencedCashflow",
"\nDataNode,AmountType,AccidentYear,Shape,InitialValue,Length,Shift,ReferenceAmountType,Values0,Values1,Values2,Values3,Values4",
"\nG.BBA.LRC.2020.P,PR,,Reference,,,,PR,0.5,0.5,0.5,0.5,0.5",
"\nG.BBA.LRC.2020.P,AEM,,Reference,,,,PR,-0.5,-0.5,-0.5,-0.5,-0.5",
"\nG.BBA.LRC.2020.P,CL,,Reference,,,,PR,-0.25,-0.25,-0.25,-0.25,-0.25",
"\nG.BBA.LRC.2020.P,CL,,Reference,,,,AEM,0.5,0.5,0.5,0.5,0.5",
"\nG.BBA.LRC.2020.P,S2TP,,Reference,,,,PR,3,3,3,4,5",
"\n\";",
"\n"
"\n\";"
],
"metadata": {},
"execution_count": 0,
Expand Down
103 changes: 103 additions & 0 deletions fpna-template/Files/RiskDriver.ipynb
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@@ -0,0 +1,103 @@
{
"metadata": {
"authors": [],
"id": "QeoE_xy_RkWkEesq4zH7Yw",
"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": [
"# Risk Driver"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"var riskDrivers = @\"@@RiskDriver",
"\nSystemName,DisplayName,Parent",
"\nT,All Risks,",
"\nADJ,Adjustments to Risk,T",
"\nOPR,Operational Risk,T",
"\nBR,Basic Risk,T",
"\nMR,Market Risk,BR",
"\nEQR,Equity,MR",
"\nPPR,Property,MR",
"\nIRR,Interest Rate,MR",
"\nSPR,Spread,MR",
"\nCUR,Currency,MR",
"\nCOR,Concentration,MR",
"\nHR,Health Insurance Risk,BR",
"\nHSR,Health Similar to Life Techniques Risk,HR",
"\nHDIS,Disability Morbidity Heath SLT Risk,HSR",
"\nHMOR,Mortality Heath SLT Risk,HSR",
"\nHLON,Longevity Heath SLT Risk,HSR",
"\nHLAP,Lapse Heath SLT Risk,HSR",
"\nHEXP,Expenses Heath SLT Risk,HSR",
"\nHREV,Revision Heath SLT Risk,HSR",
"\nHCAT,Catastrophe Heath SLT Risk,HR",
"\nHNR,Health Not Similar to Life Techniques Risk,HR",
"\nHPRR,Premium Reserve Heath NSLT Risk,HNR",
"\nHLAP,Lapse Heath NSLT Risk,HNR",
"\nLIR,Life Insurance Risk,BR",
"\nLMOR,Mortality Life Risk,LIR",
"\nLDIS,Disability Morbidity Life Risk,LIR",
"\nLLON,Longevity Life Risk,LIR",
"\nLLAP,Lapse Life Risk,LIR",
"\nLEXP,Expenses Life Risk,LIR",
"\nLREV,Revision Life Risk,LIR",
"\nLCAT,Catastrophe Life Risk,LIR",
"\nNR,Non-Life Insurance Risk,BR",
"\nNPRR,Premium Reserve Non-Life Risk,NR",
"\nNLAP,Lapse Non-Life Risk,NR",
"\nNCAT,Catastrophe Non-Life Risk,NR",
"\nDR,Counterparty Default Risk,BR",
"\nIR,Intangible Risk,BR\"",
"\n;"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
"# Risk Driver Correlation Matrix"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"var riskDriverCorrelationMatrix = @\"@@BoundedCashflow ",
"\nDataNode,RiskDriver,AmountType,Shape,InitialValue,Length,Shift,Minimum,Maximum",
"\nDT1,LIR,PPR,Costant,0.75,5,0,-1,1",
"\nDT1,LIR,LDIS,Costant,0.75,5,0,-1,1",
"\nDT1,MR,LIR,Costant,0.75,5,0,-1,1",
"\nDT1,MR,HSR,Costant,0.75,5,0,-1,1",
"\nDT1,LIR,HSR,Costant,0.75,5,0,-1,1",
"\n\";",
"\n"
],
"metadata": {},
"execution_count": 0,
"outputs": []
}
]
}
57 changes: 53 additions & 4 deletions ...template/Import/CloseImportTemplate.ipynb → ...late/Import/FpnaCloseImportTemplate.ipynb
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Expand Up @@ -55,8 +55,8 @@
{
"cell_type": "code",
"source": [
"var reportingNode = \"DE\";",
"\nvar year = 2022;",
"var reportingNode = \"CH\";",
"\nvar year = 2020;",
"\nvar month = 12;",
"\nvar importFormat = ImportFormats.Cashflow;",
"\nvar periodicity = Periodicity.Monthly;",
Expand Down Expand Up @@ -124,6 +124,15 @@
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"storage.CashflowDefinitions"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
Expand Down Expand Up @@ -203,7 +212,16 @@
"cell_type": "code",
"source": [
"var referenced = cashflowVariables.Where(x => x.Layer.Contains(\"Reference\"));",
"\nreferenced.AggregateOver()"
"\nreferenced"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
"# debug Solvency"
],
"metadata": {},
"execution_count": 0,
Expand All @@ -212,7 +230,38 @@
{
"cell_type": "code",
"source": [
""
"var solvencystorage = new SolvencyStorage(args, DataSource, Workspace);",
"\nawait solvencystorage.InitializeAsync();",
"\nsolvencystorage.CashflowDefinitions"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"public interface IModel : IMutableScopeWithStorage<SolvencyStorage>{}",
"\nvar solvencyUniverse = Scopes.ForStorage(solvencystorage).ToScope<IModel>();"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"var solvencyIdentities = solvencystorage.Identities;"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
"var cashflowVariables = Scopes.ForIdentities(solvencyIdentities, solvencystorage).ToScopes<ComputeSolvency>().SelectMany(x => x.FpaVariables).ToArray();",
"\ncashflowVariables"
],
"metadata": {},
"execution_count": 0,
Expand Down
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