Scenario for parameters

ifrs17-template/Files/DataNodes/DataNodes_CH.csv

@@ -3,7 +3,7 @@ ReportingNode,,,,,,
 CH,,,,,,
 ,,,,,,
 @@InsurancePortfolio,,,,,,
-SystemName,DisplayName,ContractualCurrency,LineOfBusiness,ValuationApproach,OciType,
+SystemName,DisplayName,ContractualCurrency,LineOfBusiness,ValuationApproach,OciType,Scenario,
 DT,DT Complex CF,USD,ANN,BBA,Default,
 DT1,DT1 OCI,USD,ANN,BBA,Default,
 DT2,DT2 NOCI,USD,ANN,BBA,,
@@ -12,7 +12,7 @@ DT4,DT4 OCI,USD,ANN,BBA,Default,
 DT5,DT5 Simple Import,USD,ANN,BBA,Default,
 ,,,,,,
 @@GroupOfInsuranceContract,,,,,,
-SystemName,DisplayName,InsurancePortfolio,AnnualCohort,LiabilityType,Profitability,
+SystemName,DisplayName,InsurancePortfolio,AnnualCohort,LiabilityType,Profitability,Scenario,
 GicComplex,Gic test discounting,DT,2020,LRC,P,
 DT1.1,DT1.1 OCI LRC PA 0.8,DT1,2020,LRC,P,
 DT1.2,DT1.2 OCI LIC,DT1,2020,LIC,P,
@@ -26,13 +26,13 @@ DT4.1,DT4.1 CSM PA 0.8,DT4,2020,LRC,P,
 DT5.1,DT5.1 Simple Import on DT 4.1,DT5,2020,LRC,P,
 ,,,,,,
 @@ReinsurancePortfolio,,,,,,
-SystemName,DisplayName,ContractualCurrency,LineOfBusiness,ValuationApproach,OciType,
+SystemName,DisplayName,ContractualCurrency,LineOfBusiness,ValuationApproach,OciType,Scenario,
 DTR,DTR complex CF,USD,ANN,BBA,,
 DTR1,DTR1 OCI,USD,ANN,BBA,Default,
 DTR2,DTR2 NOCI,USD,ANN,BBA,,
 ,,,,,,
 @@GroupOfReinsuranceContract,,,,,,
-SystemName,DisplayName,ReinsurancePortfolio,AnnualCohort,LiabilityType,Profitability,Partner
+SystemName,DisplayName,ReinsurancePortfolio,AnnualCohort,LiabilityType,Profitability,Partner,Scenario,
 GricComplex,Gric test for discounting,DTR,2020,LRC,P,PT1
 DTR1.1,DTR1.1 OCI LRC,DTR1,2020,LRC,P,PT1
 DTR1.2,DTR1.2 OCI LIC,DTR1,2020,LIC,P,PT1

ifrs17-template/Files/Parameters/YieldCurve_2020_1.csv

@@ -0,0 +1,7 @@
+@@Main
+Year,Month,Scenario
+2020,1,
+@@YieldCurve
+Currency,Values0,Values1,Values2,Values3
+USD,0.002,0.002,0.002,0.002
+

ifrs17-template/Files/Parameters/YieldCurve_2020_12.csv

@@ -0,0 +1,7 @@
+@@Main
+Year,Month,Scenario
+2020,12,
+@@YieldCurve
+Currency,Values0,Values1,Values2,Values3
+USD,0.002,0.002,0.002,0.002
+

ifrs17-template/Files/Parameters/YieldCurve_2020_3.csv

@@ -0,0 +1,9 @@
+@@Main
+Year,Month,Scenario
+2020,3,
+@@YieldCurve
+Currency,Values0,Values1,Values2,Values3
+EUR,0.008685495,0.008685495,0.018498471,0.019966839
+CHF,0.002,0.002,0.002,0.002
+USD,0.002,0.002,0.002,0.002
+GBP,0.002,0.002,0.002,0.002

ifrs17-template/Files/Parameters/YieldCurve_2021_3.csv

@@ -0,0 +1,8 @@
+@@Main
+Year,Month,Scenario
+2021,3,
+@@YieldCurve
+Currency,Values0,Values1,Values2,Values3
+CHF,0.1,0.1,0.1,0.1
+USD,0.005,0.005,0.005,0.005
+GBP,0.005,0.005,0.005,0.005

ifrs17-template/Import/CloseImportTemplate.ipynb

@@ -91,6 +91,7 @@
                 "\n- ImportFormats.DataNode : [Portfolios](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/DataModel/DataStructure#portfolios) and [Group of Contracts](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/DataModel/DataStructure#group-of-contracts)",
                 "\n- ImportFormats.DataNodeState : the [state of a data node](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/DataModel/DataStructure#data-node-state) can be either active or inactive.",
                 "\n- ImportFormats.DataNodeParameter : parameters are described [here](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/DataModel/DataStructure#data-node-parameters). For **Group of Insurance Contracts** a default [Premium Allocation factor](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Import/ImportScopeCalculation#experience-adjustment-on-premium) of 1 is applied if the parameter is not imported.",
+                "\n- ImportFormat.YieldCurve : TODO",
                 "\n"
             ],
             "metadata": {},

ifrs17-template/Initialization/InitSystemorphRefDataToMemory.ipynb

@@ -154,7 +154,12 @@
         {
             "cell_type": "code",
             "source": [
-                "await Import.FromFile(\"../Files/Parameters/YieldCurve.csv\").WithType<YieldCurve>().SnapshotMode().WithTarget(DataSource).ExecuteAsync()"
+                "//await Import.FromFile(\"../Files/Parameters/YieldCurve.csv\").WithType<YieldCurve>().SnapshotMode().WithTarget(DataSource).ExecuteAsync()",
+                "\nvar log1 = await Import.FromFile(\"../Files/Parameters/YieldCurve_2020_1.csv\").WithType<YieldCurve>().SnapshotMode().WithTarget(DataSource).ExecuteAsync();",
+                "\nvar log2 = await Import.FromFile(\"../Files/Parameters/YieldCurve_2020_3.csv\").WithType<YieldCurve>().SnapshotMode().WithTarget(DataSource).ExecuteAsync();",
+                "\nvar log3 = await Import.FromFile(\"../Files/Parameters/YieldCurve_2020_12.csv\").WithType<YieldCurve>().SnapshotMode().WithTarget(DataSource).ExecuteAsync();",
+                "\nvar log4 = await Import.FromFile(\"../Files/Parameters/YieldCurve_2021_3.csv\").WithType<YieldCurve>().SnapshotMode().WithTarget(DataSource).ExecuteAsync();",
+                "\nlog1.Merge(log2).Merge(log3).Merge(log4)"
             ],
             "metadata": {},
             "execution_count": 0,

ifrs17-template/Test/ScenarioParameterTest.ipynb

@@ -0,0 +1,181 @@
+{
+    "metadata": {
+        "authors": [],
+        "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": [
+                "# Context"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "#!eval-notebook \"../Initialization/InitSystemorphToMemory\""
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "Workspace.Reset(x => x.ResetInitializationRules().ResetCurrentPartitions());",
+                "\nWorkspace.Initialize(x => x.FromSource(DataSource));",
+                "\nvar defaultVarsBE = Workspace.Query<IfrsVariable>();"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "markdown",
+            "source": [
+                "# Yield Curve Scenario"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "var yieldCurve = @\"",
+                "\n@@YieldCurve",
+                "\nCurrency,Year,Month,Scenario,Values0,Values1,Values2,Values3",
+                "\nEUR,2020,3,,0.008685495,0.008685495,0.018498471,0.019966839",
+                "\nCHF,2020,3,,0.002,0.002,0.002,0.002",
+                "\nCHF,2021,3,,0.1,0.1,0.1,0.1",
+                "\nUSD,2021,3,,0.005,0.005,0.005,0.005",
+                "\nUSD,2020,12,,0.002,0.002,0.002,0.002",
+                "\nUSD,2020,3,,0.002,0.002,0.002,0.002",
+                "\nUSD,2020,1,,0.002,0.002,0.002,0.002",
+                "\nEUR,2018,3,MTUP10pct,0.009554045,0.009554045,0.020348318,0.021963523",
+                "\nCHF,2018,3,MTUP10pct,0.0022,0.0022,0.0022,0.0022",
+                "\nCHF,2019,3,MTUP10pct,0.11,0.11,0.11,0.11",
+                "\nUSD,2019,3,MTUP10pct,0.0055,0.0055,0.0055,0.0055",
+                "\nUSD,2018,12,MTUP10pct,0.0022,0.0022,0.0022,0.0022",
+                "\nUSD,2018,3,MTUP10pct,0.0022,0.0022,0.0022,0.0022",
+                "\nUSD,2018,1,MTUP10pct,0.0022,0.0022,0.0022,0.0022",
+                "\nEUR,2020,12,MTUP10pct,0.009554045,0.009554045,0.020348318,0.021963523",
+                "\nCHF,2020,12,MTUP10pct,0.0022,0.0022,0.0022,0.0022",
+                "\nCHF,2021,3,MTUP10pct,0.11,0.11,0.11,0.11",
+                "\nUSD,2021,3,MTUP10pct,0.0055,0.0055,0.0055,0.0055",
+                "\nUSD,2020,12,MTUP10pct,0.0022,0.0022,0.0022,0.0022",
+                "\nUSD,2020,3,MTUP10pct,0.0022,0.0022,0.0022,0.0022",
+                "\nUSD,2020,1,MTUP10pct,0.0022,0.0022,0.0022,0.0022\";"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "var log = await Import.FromString(yieldCurve).WithFormat(ImportFormats.YieldCurve).WithTarget(DataSource).ExecuteAsync();",
+                "\nWorkspace.Reset(x => x.ResetInitializationRules().ResetCurrentPartitions());",
+                "\nWorkspace.Initialize(x => x.FromSource(DataSource));",
+                "\nlog.Warnings.Count().Should().Be(6);"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "markdown",
+            "source": [
+                "## Test 2020Q4 with Scenario MTUP10pct"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "log"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "var argsBestEstimate = new ImportArgs (\"CH\",2020, 12, Periodicity.Quarterly, null, ImportFormats.Cashflow);",
+                "\nvar defaultPartition = (Guid)(await DataSource.Partition.GetKeyForInstanceAsync<PartitionByReportingNodeAndPeriod>(argsBestEstimate)); ",
+                "\n",
+                "\nvar scenarioArgs = new ImportArgs (\"CH\",2020, 12, Periodicity.Quarterly, \"MTUP10pct\", ImportFormats.Cashflow);",
+                "\nawait Workspace.Partition.SetAsync<PartitionByReportingNodeAndPeriod>(scenarioArgs);",
+                "\nawait DataSource.Partition.SetAsync<PartitionByReportingNodeAndPeriod>(scenarioArgs);",
+                "\nvar diffIfrsVars = Workspace.Query<IfrsVariable>().Except(defaultVarsBE.Where(x => x.Partition == defaultPartition).ToArray(), IfrsVariableComparer.Instance());",
+                "\ndiffIfrsVars.ToArray().Length.Should().NotBe(0);"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "markdown",
+            "source": [
+                "## Test 2021Q1 with Scenario MTUP10pct"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "var argsBestEstimate = new ImportArgs (\"CH\",2021, 3, Periodicity.Quarterly, null, ImportFormats.Cashflow);",
+                "\nvar defaultPartition = (Guid)(await DataSource.Partition.GetKeyForInstanceAsync<PartitionByReportingNodeAndPeriod>(argsBestEstimate)); ",
+                "\n",
+                "\nvar scenarioArgs = new ImportArgs (\"CH\",2021, 3, Periodicity.Quarterly, \"MTUP10pct\", ImportFormats.Cashflow);",
+                "\nawait Workspace.Partition.SetAsync<PartitionByReportingNodeAndPeriod>(scenarioArgs);",
+                "\nawait DataSource.Partition.SetAsync<PartitionByReportingNodeAndPeriod>(scenarioArgs);",
+                "\nvar diffIfrsVars = Workspace.Query<IfrsVariable>().Except(defaultVarsBE.Where(x => x.Partition == defaultPartition).ToArray(), IfrsVariableComparer.Instance());",
+                "\ndiffIfrsVars.ToArray().Length.Should().NotBe(0);"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "markdown",
+            "source": [
+                "## Robustness: Reimport does not trigger Calculations"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        },
+        {
+            "cell_type": "code",
+            "source": [
+                "var log = await Import.FromString(yieldCurve).WithFormat(ImportFormats.YieldCurve).WithTarget(DataSource).ExecuteAsync();",
+                "\nWorkspace.Reset(x => x.ResetInitializationRules().ResetCurrentPartitions());",
+                "\nWorkspace.Initialize(x => x.FromSource(DataSource));",
+                "\nlog.Warnings.Count().Should().Be(1);"
+            ],
+            "metadata": {},
+            "execution_count": 0,
+            "outputs": []
+        }
+    ]
+}