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Filter identities to compute import scopes (#348)
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* clean up AocConfig

* refactor creation of identities

* ifrs17ce

* dimension

* dimension

* scopes and tests

* clean up

* test new novelty

* remove hardcoded novelties.N

* fix reference

* AocConfiguration - remove compulsory requirements

Add use case

* clean up

* improvements

* improvements

* improve GetReleasePattern + clear CSM-LC calc for PAA

# Conflicts:
#	ifrs17/Import/5ImportScope-ToIfrsVar.ipynb

* merge issue

* wip

* fixes AMF calc and fix test

* update bm iv

* filter for null

* adjust amf from ifrsvariable

* resolve conflict

* validate missing previous period data

* pr comments
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@dcolleoni
dcolleoni authored Jul 20, 2023
1 parent 08318fb commit f8c3cb5
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4 changes: 0 additions & 4 deletions ifrs17-template/Test/Data/IfrsVariableBenchmarks/BM_CH_2020_12__F.csv
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Expand Up @@ -4,14 +4,10 @@ Month,ReportingNode,Scenario,Year
@@F
AccidentYear,AmountType,AocType,DataNode,EconomicBasis,EstimateType,Novelty,Values0
,CU,AM,DT1.1,L,F,C,0.65623
,,AM,DT1.2,L,F,C,1
,CU,AM,DT1.3,L,F,C,0.65623
,CU,AM,DT2.1,L,F,C,0.65623
,,AM,DT2.2,L,F,C,1
,CU,AM,DTR1.1,L,F,C,0.65623
,,AM,DTR1.2,L,F,C,1
,CU,AM,DTR2.1,L,F,C,0.65623
,,AM,DTR2.2,L,F,C,1
,CU,AM,DT3.1,L,F,C,0.65623
,CU,AM,DT4.1,L,F,C,0.65623
,CU,AM,DT1.4,L,F,C,0.65623
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4 changes: 0 additions & 4 deletions ifrs17-template/Test/Data/IfrsVariableBenchmarks/BM_CH_2021_3__F.csv
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Expand Up @@ -4,14 +4,10 @@ Month,ReportingNode,Scenario,Year
@@F
AccidentYear,AmountType,AocType,DataNode,EconomicBasis,EstimateType,Novelty,Values0
,CU,AM,DT1.1,L,F,C,0.32249
,,AM,DT1.2,L,F,C,1
,CU,AM,DT1.3,L,F,C,0.32249
,CU,AM,DT2.1,L,F,C,0.32249
,,AM,DT2.2,L,F,C,1
,CU,AM,DTR1.1,L,F,C,0.32249
,,AM,DTR1.2,L,F,C,1
,CU,AM,DTR2.1,L,F,C,0.32249
,,AM,DTR2.2,L,F,C,1
,,AM,DT3.1,L,F,C,1
,CU,AM,DT4.1,L,F,C,0.32249
,CU,AM,DT1.4,L,F,C,0.32249
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11 changes: 6 additions & 5 deletions ifrs17-template/Test/IfrsVariablesTest.ipynb
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Expand Up @@ -281,9 +281,9 @@
"\n",
"\n //CompareAgainstBm",
"\n if(!computedVariables.Any() && bmVariables.Any())",
"\n errorList.Add(new BenchmarkTestResult(\"No variables are computed for EstimateType: \" + bmTableName));",
"\n errorList.Add(new BenchmarkTestResult(\"No variables are computed for: \"+reportingNode+year+month+scenario+\" and EstimateType: \" + bmTableName));",
"\n if(computedVariables.Any() && !bmVariables.Any())",
"\n errorList.Add(new BenchmarkTestResult(\"Empty benchmark provided for EstimateType: \" + bmTableName));",
"\n errorList.Add(new BenchmarkTestResult(\"Empty benchmark provided for: \"+reportingNode+year+month+scenario+\" and EstimateType: \" + bmTableName));",
"\n if(computedVariables.Any() && bmVariables.Any())",
"\n errorList = errorList.Concat(CompareAgainstBm(errorList, bmVariables, computedVariables)).Distinct().ToList();",
"\n }",
Expand Down Expand Up @@ -428,16 +428,17 @@
"cell_type": "code",
"source": [
"ProjectionCount = 5;",
"\nawait Import.FromFile(\"../Files/TransactionalData/NominalCashflows_CH_2020_12_Projection.csv\")",
"\nvar activity1 = await Import.FromFile(\"../Files/TransactionalData/NominalCashflows_CH_2020_12_Projection.csv\")",
"\n .WithFormat(ImportFormats.Cashflow)",
"\n .WithTarget(DataSource)",
"\n .WithActivityLog()",
"\n .ExecuteAsync();",
"\nawait Import.FromFile(\"../Files/TransactionalData/NominalCashflows_CH_2021_3_Projection.csv\")",
"\nvar activity2 = await Import.FromFile(\"../Files/TransactionalData/NominalCashflows_CH_2021_3_Projection.csv\")",
"\n .WithFormat(ImportFormats.Cashflow)",
"\n .WithTarget(DataSource)",
"\n .WithActivityLog()",
"\n .ExecuteAsync();"
"\n .ExecuteAsync();",
"\n(Activity1: activity1.Status, Errors1:activity1.Errors, Activity2:activity2.Status, Errors2:activity2.Errors)"
],
"metadata": {},
"execution_count": 0,
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1 change: 1 addition & 0 deletions ifrs17-template/Test/ReimportTest.ipynb
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Expand Up @@ -308,6 +308,7 @@
"\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\";"
],
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7 changes: 6 additions & 1 deletion ifrs17-template/Test/ScenarioYieldCurveImportTest.ipynb
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Expand Up @@ -634,8 +634,13 @@
"\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,
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5 changes: 4 additions & 1 deletion ifrs17/Constants/Validations.ipynb
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Expand Up @@ -80,7 +80,8 @@
"\n ReinsuranceCoverageDataNode, DuplicateInterDataNode, DuplicateSingleDataNode, InvalidDataNode, InvalidDataNodeForOpening, InvalidCashFlowPeriodicity, MissingInterpolationMethod, InvalidInterpolationMethod, InvalidEconomicBasisDriver, InvalidReleasePattern,",
"\n // Storage",
"\n DataNodeNotFound, PartnerNotFound, PeriodNotFound, RatingNotFound, CreditDefaultRateNotFound, MissingPremiumAllocation, ReinsuranceCoverage, ",
"\n YieldCurveNotFound, YieldCurvePeriodNotApplicable, EconomicBasisNotFound, AccountingVariableTypeNotFound, InvalidGric, InvalidGic, ",
"\n YieldCurveNotFound, YieldCurvePeriodNotApplicable, EconomicBasisNotFound, AccountingVariableTypeNotFound, InvalidGric, InvalidGic, ReleasePatternNotFound,",
"\n MissingPreviousPeriodData,",
"\n // Scopes",
"\n NotSupportedAocStepReference, MultipleEoP,",
"\n // Data completeness",
Expand Down Expand Up @@ -176,6 +177,8 @@
"\n (Error.AccountingVariableTypeNotFound , 1) => $\"AccountingVariableType {s[0]} not found.\",",
"\n (Error.InvalidGric , 1) => $\"Invalid Group of Reinsurance Contract {s[0]} has been requested during calculation.\",",
"\n (Error.InvalidGic , 1) => $\"Invalid Group of Insurance Contract {s[0]} has been requested during calculation.\",",
"\n (Error.ReleasePatternNotFound , 2) => $\"Release pattern for Group of Contract {s[0]} and AmountType {s[1]} is not found.\",",
"\n (Error.MissingPreviousPeriodData , 3) => $\"Data for previous period (Year: {s[0]}, Month: {s[1]}) is missing for Group of contracts: {s[2]}.\",",
"\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.\",",
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28 changes: 17 additions & 11 deletions ifrs17/Import/2ImportScope-PresentValue.ipynb
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Expand Up @@ -520,13 +520,13 @@
"public interface PresentValue : IWithGetValueFromValues { ",
"\n static ApplicabilityBuilder ScopeApplicabilityBuilder(ApplicabilityBuilder builder) =>",
"\n builder.ForScope<PresentValue>(s => s",
"\n .WithApplicability<ComputePresentValueWithIfrsVariable>(x => x.GetStorage().ImportFormat != ImportFormats.Cashflow || x.GetStorage().IsSecondaryScope(x.Identity.Id.DataNode))",
"\n .WithApplicability<PresentValueFromDiscountedCashflow>(x => (x.Identity.Id.AocType == AocTypes.BOP && x.Identity.Id.Novelty != Novelties.C) || x.Identity.Id.AocType == AocTypes.EOP)",
"\n .WithApplicability<CashflowAocStep>(x => x.Identity.Id.AocType == AocTypes.CF)",
"\n .WithApplicability<PresentValueWithInterestAccretion>(x => x.Identity.Id.AocType == AocTypes.IA)",
"\n .WithApplicability<EmptyValuesAocStep>(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<ComputePresentValueWithIfrsVariable>(x => x.GetStorage().ImportFormat != ImportFormats.Cashflow || x.GetStorage().IsSecondaryScope(x.Identity.Id.DataNode))",
"\n .WithApplicability<PresentValueFromDiscountedCashflow>(x => (x.Identity.Id.AocType == AocTypes.BOP && x.Identity.Id.Novelty != Novelties.C) || x.Identity.Id.AocType == AocTypes.EOP)",
"\n .WithApplicability<CashflowAocStep>(x => x.Identity.Id.AocType == AocTypes.CF)",
"\n .WithApplicability<PresentValueWithInterestAccretion>(x => x.Identity.Id.AocType == AocTypes.IA)",
"\n .WithApplicability<EmptyValuesAocStep>(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();",
Expand Down Expand Up @@ -903,10 +903,16 @@
"\npublic interface AmfFromIfrsVariable : CurrentPeriodAmortizationFactor{",
"\n private double amortizationFactorForAmountType => GetStorage().GetValue(Identity.Id, Identity.AmountType, EstimateType, EconomicBasis, ",
"\n Identity.patternShift == 0 ? null : Identity.patternShift, Identity.Id.ProjectionPeriod); //TODO shift of 0 is a valid value",
"\n double CurrentPeriodAmortizationFactor.Value => Math.Abs(amortizationFactorForAmountType) >= Precision",
"\n ? amortizationFactorForAmountType ",
"\n : GetStorage().GetValue(Identity.Id, null, EstimateType, EconomicBasis, Identity.patternShift == 0 ? null : Identity.patternShift, Identity.Id.ProjectionPeriod);",
"\n string CurrentPeriodAmortizationFactor.EffectiveAmountType => Math.Abs(amortizationFactorForAmountType) >= Precision ? Identity.AmountType : null;",
"\n ",
"\n private double amortizationFactorFromPattern => GetStorage().GetValue(Identity.Id, null, EstimateType, EconomicBasis, Identity.patternShift == 0 ? null : Identity.patternShift, Identity.Id.ProjectionPeriod);",
"\n ",
"\n private double amortizationFactorForCu => GetStorage().GetValue(Identity.Id, AmountTypes.CU, EstimateType, EconomicBasis, ",
"\n Identity.patternShift == 0 ? null : Identity.patternShift, Identity.Id.ProjectionPeriod);",
"\n",
"\n double CurrentPeriodAmortizationFactor.Value => Math.Abs(amortizationFactorForAmountType) >= Precision ? amortizationFactorForAmountType ",
"\n : Math.Abs(amortizationFactorFromPattern) >= Precision ? amortizationFactorFromPattern : amortizationFactorForCu;",
"\n string CurrentPeriodAmortizationFactor.EffectiveAmountType => Math.Abs(amortizationFactorForAmountType) >= Precision ? Identity.AmountType ",
"\n : Math.Abs(amortizationFactorFromPattern) >= Precision ? null : AmountTypes.CU;",
"\n}"
],
"metadata": {},
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6 changes: 3 additions & 3 deletions ifrs17/Import/3ImportScope-Actuals.ipynb
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Expand Up @@ -348,7 +348,7 @@
"\n private double AmortizationFactor => GetScope<DiscountedAmortizationFactorForDeferrals>(Identity, o => o.WithContext(EconomicBasis)).Value;",
"\n private double AggregatedDeferrable => GetScope<PreviousAocSteps>((Identity, InputSource.Actual)).Values",
"\n .Sum(aocStep => GetScope<DeferrableActual>(Identity with {AocType = aocStep.AocType, Novelty = aocStep.Novelty}).Value);",
"\n double DeferrableActual.Value => -1d * AggregatedDeferrable * AmortizationFactor;",
"\n double DeferrableActual.Value => Math.Abs(AggregatedDeferrable) > Precision ? -1d * AggregatedDeferrable * AmortizationFactor : default;",
"\n}",
"\n",
"\npublic interface EndOfPeriodDeferrable : DeferrableActual{",
Expand Down Expand Up @@ -450,7 +450,7 @@
"\n private double AmortizationFactor => GetScope<DiscountedAmortizationFactorForDeferrals>(Identity, o => o.WithContext(EconomicBasis)).Value;",
"\n private double AggregatedValue => GetScope<PreviousAocSteps>((Identity, InputSource.Cashflow)).Values",
"\n .Sum(aocStep => GetScope<DiscountedDeferrable>(Identity with {AocType = aocStep.AocType, Novelty = aocStep.Novelty}).Value);",
"\n double DiscountedDeferrable.Value => -1d * AggregatedValue * AmortizationFactor;",
"\n double DiscountedDeferrable.Value => Math.Abs(AggregatedValue) > Precision ? -1d * AggregatedValue * AmortizationFactor : default;",
"\n}",
"\n",
"\npublic interface DeferrableEoP : DiscountedDeferrable {",
Expand Down Expand Up @@ -558,7 +558,7 @@
"\n private IEnumerable<AocStep> referenceAocSteps => GetScope<ReferenceAocStep>(Identity.Id).Values; //Reference step of AM,C is CL,C",
"\n private double referenceCashflow => referenceAocSteps.Sum(refAocStep => GetScope<NominalDeferrable>((Identity.Id with {AocType = refAocStep.AocType, Novelty = refAocStep.Novelty}, Identity.MonthlyShift)).Value);",
"\n",
"\n double NominalDeferrable.Value => -1d * referenceCashflow * GetScope<CurrentPeriodAmortizationFactor>((Identity.Id, AmountTypes.DAE, Identity.MonthlyShift), o => o.WithContext(EconomicBasis)).Value;",
"\n double NominalDeferrable.Value => Math.Abs(referenceCashflow) > Precision ? -1d * referenceCashflow * GetScope<CurrentPeriodAmortizationFactor>((Identity.Id, AmountTypes.DAE, Identity.MonthlyShift), o => o.WithContext(EconomicBasis)).Value : default;",
"\n}",
"\n",
"\npublic interface EopDeferrable : NominalDeferrable{",
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6 changes: 3 additions & 3 deletions ifrs17/Import/4ImportScope-TechnicalMargin.ipynb
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Expand Up @@ -270,7 +270,7 @@
"\n ",
"\n protected string estimateType => GetContext();",
"\n [NotVisible] string EconomicBasis => EconomicBases.L;",
"\n double Value => GetScope<TechnicalMarginAmountType>((Identity.DataNode, estimateType)).Values",
"\n double Value => GetScope<TechnicalMarginAmountType>((Identity.DataNode, estimateType)).Values ////TODO. PAA should use PR-Revenue and DAE-Allocated (allocated to the period)? ",
"\n .Sum(at => GetScope<PresentValue>((Identity, at, EstimateTypes.BE, (int?)null), o => o.WithContext(EconomicBasis)).Value) +",
"\n GetScope<PresentValue>((Identity, (string)null, EstimateTypes.RA, (int?)null), o => o.WithContext(EconomicBasis)).Value;",
"\n ",
Expand Down Expand Up @@ -338,7 +338,7 @@
"\n static ApplicabilityBuilder ScopeApplicabilityBuilder(ApplicabilityBuilder builder) =>",
"\n builder.ForScope<TechnicalMarginForAM>(s => s.WithApplicability<TechnicalMarginForAmForPaa>(x => x.Identity.ValuationApproach == ValuationApproaches.PAA)); ",
"\n ",
"\n double TechnicalMargin.Value => -1d * AggregatedValue * GetScope<CurrentPeriodAmortizationFactor>((Identity, AmountTypes.CU, 0), o => o.WithContext(EconomicBasis)).Value;",
"\n double TechnicalMargin.Value => Math.Abs(AggregatedValue) > Precision ? -1d * AggregatedValue * GetScope<CurrentPeriodAmortizationFactor>((Identity, AmountTypes.CU, 0), o => o.WithContext(EconomicBasis)).Value : default;",
"\n}",
"\n",
"\npublic interface TechnicalMarginForAmForPaa : TechnicalMargin{",
Expand Down Expand Up @@ -769,7 +769,7 @@
"\n",
"\npublic interface LossRecoveryComponentForAm : LossRecoveryComponent{",
"\n private string economicBasis => GetScope<TechnicalMargin>(Identity).EconomicBasis;",
"\n double LossRecoveryComponent.Value => -1d * AggregatedValue * GetScope<CurrentPeriodAmortizationFactor>((Identity, AmountTypes.CU, 0), o => o.WithContext(economicBasis)).Value;",
"\n double LossRecoveryComponent.Value => Math.Abs(AggregatedValue) > Precision ? -1d * AggregatedValue * GetScope<CurrentPeriodAmortizationFactor>((Identity, AmountTypes.CU, 0), o => o.WithContext(economicBasis)).Value : default;",
"\n}",
"\n",
"\npublic interface LossRecoveryComponentForEop : LossRecoveryComponent{",
Expand Down
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