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e2ece84
Distinguish YieldCurve by Name
AlekseiNekrasov Dec 13, 2022
67136bb
Enhance DataStructure.DataNodeData with YieldCurveName string; edit Q…
AlekseiNekrasov Dec 14, 2022
d1ebb6f
Fix LoadCurrentYieldCurveAsync Task
AlekseiNekrasov Dec 19, 2022
25e8460
new test
AlekseiNekrasov Dec 19, 2022
8deb3a4
Additional tests + args edit (yieldCurveName)
AlekseiNekrasov Dec 19, 2022
3d25b50
Additional tests + args edit (yieldCurveName)
AlekseiNekrasov Dec 19, 2022
59653d9
Clean up and renaming variables
AlekseiNekrasov Dec 19, 2022
516aea8
Merge branch 'yieldCurve' of https://github.com/Systemorph/IFRS17Calc…
AlekseiNekrasov Dec 19, 2022
d45b761
Merge branch 'develop' into yieldCurve
AlekseiNekrasov Dec 19, 2022
f9e456e
Add new condition to prevent failure while retrieving data from Yield…
AlekseiNekrasov Dec 19, 2022
b34c6ed
Next improvements. But I propose to throw an exception!
AlekseiNekrasov Dec 19, 2022
01f4dba
Change to ValuationApproaches.VFA, add additional condition to post a…
AlekseiNekrasov Dec 20, 2022
6a8ca19
Merge remote-tracking branch 'origin/develop' into yieldCurve
AlekseiNekrasov Dec 20, 2022
e77328f
Organize Unit test differently
AlekseiNekrasov Dec 20, 2022
159d692
Add a general Error.YieldCurveNotFound error message
AlekseiNekrasov Dec 20, 2022
89519ce
Try to bring back the corrupted NB
AlekseiNekrasov Dec 20, 2022
bd76591
Take Sara's QueriesTest.nb
AlekseiNekrasov Dec 20, 2022
2c7178b
New try - QueriesTest.ipynb
AlekseiNekrasov Dec 20, 2022
06344cc
Bring back a test NO YieldCurve
AlekseiNekrasov Dec 20, 2022
09e9c0c
Bring back a test NO YieldCurve
AlekseiNekrasov Dec 20, 2022
d4c8e5f
Merge branch 'yieldCurve' of https://github.com/Systemorph/IFRS17Calc…
AlekseiNekrasov Dec 20, 2022
1f2c093
Remove unneeded cell in QueriesTest.ipynb
AlekseiNekrasov Dec 20, 2022
37e0293
Test ValuationApproach + fix test numbers
AlekseiNekrasov Dec 21, 2022
5332f89
Merge remote-tracking branch 'origin/develop' into yieldCurve_AS
Dec 23, 2022
d2d8d9e
queries fix and reset QueriesTest
Dec 23, 2022
478c641
delete empty cell
Dec 23, 2022
2db0432
change test substitude first
Dec 23, 2022
fcc213d
second cell
Dec 23, 2022
0257c7b
last cell
Dec 23, 2022
d3b2553
formatting like Alexey
Dec 23, 2022
7c86c0d
fix test
Jan 3, 2023
d315ee8
lean up tests
Jan 3, 2023
29280bd
MonthInAYear
Jan 3, 2023
4291380
delete print Activity
Jan 3, 2023
37375c8
reset validations
Jan 3, 2023
89f4394
update Storage
Jan 5, 2023
e833773
fix test and new query
Jan 6, 2023
145ebb8
string typo
Jan 6, 2023
0721c04
updated test. all green
Jan 6, 2023
191e14f
update test to consider other valuation approaches than BBA
Jan 9, 2023
25b6180
Get rid of meaningless check ups (data that we get must consist of th…
AlekseiNekrasov Jan 9, 2023
1267df7
Rename dataNodeParameters -> dataNodeTestData
AlekseiNekrasov Jan 10, 2023
0c48535
Don't enter BM to the failing test, set default expected values
AlekseiNekrasov Jan 10, 2023
1e79fe2
properly test VFA
Jan 10, 2023
42a8d79
modify VFA test
Jan 10, 2023
435f547
last comment Davide
Jan 10, 2023
2de77c7
Merge remote-tracking branch 'origin/develop' into yieldCurve_AS
AlekseiNekrasov Jan 10, 2023
4ffa435
Fix last YC test
AlekseiNekrasov Jan 11, 2023
a48caff
improve test for different currencies
Jan 11, 2023
1e55cd0
renaming and avoid extra loop
Jan 11, 2023
30958f4
rename and nominalized tuple
Jan 11, 2023
2a4a93b
test improved
Jan 12, 2023
88d3519
extra test different years months
Jan 12, 2023
97a36ae
Merge remote-tracking branch 'origin/develop' into yieldCurve_AS
Jan 12, 2023
b4c37d6
MonthInAYiear and its test
Jan 13, 2023
9c5292f
test improved
Jan 13, 2023
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12 changes: 6 additions & 6 deletions ifrs17-template/Test/ImportStorageTest.ipynb
Original file line number Diff line number Diff line change
Expand Up @@ -427,15 +427,15 @@
"cell_type": "code",
"source": [
"var sampleGic = new GroupOfInsuranceContract(){Portfolio = \"P1\"};",
"\nvar inputDataGic = new GroupOfInsuranceContract[]{ sampleGic with {SystemName = \"Gross1\", LiabilityType = LiabilityTypes.LRC},",
"\n sampleGic with {SystemName = \"Gross2\", LiabilityType = LiabilityTypes.LRC},",
"\n sampleGic with {SystemName = \"Gross3\", LiabilityType = LiabilityTypes.LRC},",
"\nvar inputDataGic = new GroupOfInsuranceContract[]{ sampleGic with {SystemName = \"Gross1\", LiabilityType = LiabilityTypes.LRC, ContractualCurrency = \"CHF\", ValuationApproach = \"BBA\"},",
"\n sampleGic with {SystemName = \"Gross2\", LiabilityType = LiabilityTypes.LRC, ContractualCurrency = \"CHF\", ValuationApproach = \"BBA\"},",
"\n sampleGic with {SystemName = \"Gross3\", LiabilityType = LiabilityTypes.LRC, ContractualCurrency = \"CHF\", ValuationApproach = \"BBA\"},",
"\n };",
"\n",
"\nvar sampleGric = new GroupOfReinsuranceContract(){Portfolio = \"ReP1\"};",
"\nvar inputDataGric = new GroupOfReinsuranceContract[]{ sampleGric with {SystemName = \"Reins1\", LiabilityType = LiabilityTypes.LRC},",
"\n sampleGric with {SystemName = \"Reins2\", LiabilityType = LiabilityTypes.LRC},",
"\n sampleGric with {SystemName = \"Reins3\", LiabilityType = LiabilityTypes.LRC},",
"\nvar inputDataGric = new GroupOfReinsuranceContract[]{ sampleGric with {SystemName = \"Reins1\", LiabilityType = LiabilityTypes.LRC, ContractualCurrency = \"CHF\", ValuationApproach = \"BBA\"},",
"\n sampleGric with {SystemName = \"Reins2\", LiabilityType = LiabilityTypes.LRC, ContractualCurrency = \"CHF\", ValuationApproach = \"BBA\"},",
"\n sampleGric with {SystemName = \"Reins3\", LiabilityType = LiabilityTypes.LRC, ContractualCurrency = \"CHF\", ValuationApproach = \"BBA\"},",
"\n };",
"\nvar sampleDnState = new DataNodeState {Partition = reportingNodePartition.Id, Year = args.Year, Month = args.Month, State = State.Active};",
"\nvar inputDataState = new DataNodeState[]{ sampleDnState with {DataNode = \"Gross1\"} ,",
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2 changes: 2 additions & 0 deletions ifrs17/DataModel/DataStructure.ipynb
Original file line number Diff line number Diff line change
Expand Up @@ -1648,6 +1648,8 @@
"\n public string LiabilityType { get; init; }",
"\n public string Profitability { get; init; }",
"\n public string Partner { get; init; }",
"\n public string YieldCurveName { get; init; }",
"\n ",
"\n ",
"\n //DataNodeState",
"\n public int Year { get; init; }",
Expand Down
8 changes: 4 additions & 4 deletions ifrs17/Import/ImportStorage.ipynb
Original file line number Diff line number Diff line change
Expand Up @@ -301,21 +301,21 @@
"\n ",
"\n public IEnumerable<AocStep> GetAllAocSteps(InputSource source) => aocStepByInputSource[source];",
"\n public IEnumerable<AocStep> GetCalculatedTelescopicAocSteps() => AocConfigurationByAocStep.Where(kvp => kvp.Value.DataType == DataType.CalculatedTelescopic).Select(kvp => kvp.Key);",
"\n ",
"\n",
"\n //YieldCurve",
"\n public double[] GetYearlyYieldCurve(ImportIdentity id, string economicBasis) {",
"\n var yc = GetYieldCurve(id, economicBasis);",
"\n return yc.Values.Skip(args.Year - yc.Year).ToArray(); //Check if the returned array is empty? Log Warning?",
"\n }",
"\n ",
"\n public YieldCurve GetYieldCurve(ImportIdentity id, string economicBasis) => (economicBasis, GetYieldCurvePeriod(id)) switch {",
"\n (EconomicBases.C, PeriodType.BeginningOfPeriod) => CurrentYieldCurve[DataNodeDataBySystemName[id.DataNode].ContractualCurrency][PreviousPeriod],",
"\n (EconomicBases.C, PeriodType.EndOfPeriod) => CurrentYieldCurve[DataNodeDataBySystemName[id.DataNode].ContractualCurrency][CurrentPeriod],",
"\n (EconomicBases.C, PeriodType.BeginningOfPeriod) => CurrentYieldCurve[id.DataNode][PreviousPeriod],",
"\n (EconomicBases.C, PeriodType.EndOfPeriod) => CurrentYieldCurve[id.DataNode][CurrentPeriod],",
"\n (EconomicBases.L, _ ) => LockedInYieldCurve[id.DataNode],",
"\n (_, PeriodType.NotApplicable) => (YieldCurve)ApplicationMessage.Log(Error.YieldCurvePeriodNotApplicable, id.AocType, id.Novelty),",
"\n (_, _) => (YieldCurve)ApplicationMessage.Log(Error.EconomicBasisNotFound, id.DataNode)",
"\n };",
"\n ",
"\n",
"\n //int Identity.ProjectionPeriod ",
"\n public int GetProjectionCount() => ProjectionConfiguration.Count();",
"\n public int GetShift(int projectionPeriod) => ProjectionConfiguration[projectionPeriod].Shift;",
Expand Down
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