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amuolo merged 3 commits into from
Jan 10, 2023
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Improving present value documentation #164

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62896aa
add reporting node parents
Jan 9, 2023
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picture
Jan 10, 2023
1693c69
better documentation
Jan 10, 2023
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42 changes: 32 additions & 10 deletions PresentValueSeries/PresentValue - Episode 2.ipynb
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Original file line number Diff line number Diff line change
Expand Up @@ -31,9 +31,33 @@
{
"cell_type": "markdown",
"source": [
"> IFRS 17 is a new accounting standard for insurance contracts. It is an economic accounting approach, replacing the nominal accounting of the previous standard IFRS 4, that is, the economic value of the insurance products is considered. The focus is on the liabilities of an insurance company, namely the insurance policies. ",
"> The International Financial Reporting Standard (IFRS) 17 is the new economic accounting standard for insurance contracts. It entails that the **economic value of insurance products** is considered, ",
"\n> as opposed to the previous nominal accounting standard IFRS 4. The focus is on the liabilities of an insurance company, namely the insurance policies. ",
"\n>",
"\n> This means being able to answer to the question: ",
"\n> ",
"\n> *what is the value of an issued insurance contract today?*",
"\n",
"\n</p>"
"\n> For this reason, IFRS 17 is based on the idea of computing the Present Value of the insurance contracts. ",
"\n> This is the money you or someone else would pay for all these insurance policies today. ",
"\n> Calculating present value, and understanding its evolution over time, is the basis for computing IFRS 17 financials. ",
"\n",
"\n</p>",
"\n<br/>",
"\n",
"\nThe aim of this notebook is to illustrate the IFRS 17 *Present Value* calculation using Systemorph Cloud Technology. Present Values are the amount of money that someone would pay in the present day for the contracts of the group up to their run off. The starting point are the so called *Nominal Cash flows*, which express the amounts of cash and cash equivalents being transferred into and out of a business. Cash flow values are **discounted** according to the *Yield Curve* provided as economic input in order to take into account the corresponding Interest Accretion, and the discounted figures are **cumulated** to find the **Present Values**. ",
"\n",
"\nThe IFRS 17 standard prescribes that the accounting statements are based on the value of a group of insurance contracts at the beginning of the period (BoP), their development throughout the period, and the value at the end of the period (EoP). While the period is typically a quarter, the **Analysis of Change** (AoC) from BoP to EoP per group of contract is made considering for each step the variation of the cash flow so as to enhance the readability of the value changes. To this aim it is necessary to **evaluate the Present Value difference** (or delta) between each step, yielding the figures shown in the resulting report.",
"\n",
"\nThe company portfolio value change throughout one period is given by the following standard steps:",
"\n",
"\n1. Beginning of Period (BOP): starting value of the portfolio as of December last year (in the Year to Date view), ",
"\n2. Model Corrections (MC): change of the portfolio value based on the model change,",
"\n3. Cash Flow (CF): release of the expected cash flow for the current period",
"\n4. Interest Accretion (IA): change of the nominal cash flow due to the economic interest rate",
"\n5. Assumption Update (AU): change in (non-)financial assumptions (insurance risks, expenses, other non-economic)",
"\n6. Experience Variance (EV): value adjustments following insurance related events which took place (e.g. mortality),",
"\n7. End of Period (EOP): portfolio value at the end of the current period."
],
"metadata": {},
"execution_count": 0,
Expand All @@ -42,13 +66,9 @@
{
"cell_type": "markdown",
"source": [
"<br/>",
"The AoC chain for two consecutive periods looks like this",
"\n",
"\nThe aim of this notebook is to illustrate the IFRS 17 *Present Value* calculation using Systemorph Cloud Technology. Present Values are the amount of money that someone would pay in the present day for the contracts of the group up to their run off. The starting point are the so called *Nominal Cash flows*, which express the amounts of cash and cash equivalents being transferred into and out of a business. Cash flow values are **discounted** according to the *Yield Curve* provided as economic input in order to take into account the corresponding Interest Accretion, and the discounted figures are **cumulated** to find the **Present Values**. ",
"\n",
"\nThe IFRS 17 standard prescribes that the accounting statements are based on the value of a group of insurance contracts at the beginning of the period (BoP), their development throughout the period, and the value at the end of the period (EoP). While the period is typically a quarter, the **Analysis of Change** (AoC) from BoP to EoP per group of contract is made considering for each step the variation of the cash flow so as to enhance the readability of the value changes. To this aim it is necessary to **evaluate the Present Value difference** (or delta) between each step, yielding the figures shown in the resulting report.",
"\n",
"\nThis process is pictorially represented in the flowchart below"
"\n<center><img src=\"./AnalysisOfChange.png\" width=\"85%\" style=\"float:center;\">"
],
"metadata": {},
"execution_count": 0,
Expand All @@ -57,7 +77,9 @@
{
"cell_type": "markdown",
"source": [
"<center><img src=\"https://stacdnsmcwe.blob.core.windows.net/content/IFRS17CalculationEngine/Images/PresentValueOfCashFlow/Flowchart.png\" width=\"30%\" style=\"float:center;\">"
"This process is pictorially represented in the flowchart below",
"\n",
"\n<center><img src=\"https://stacdnsmcwe.blob.core.windows.net/content/IFRS17CalculationEngine/Images/PresentValueOfCashFlow/Flowchart.png\" width=\"50%\" style=\"float:center;\">"
],
"metadata": {},
"execution_count": 0,
Expand Down Expand Up @@ -217,7 +239,7 @@
{
"cell_type": "markdown",
"source": [
"<br/><br/><br/><br/><br/><br/><br/><br/><br/><br/><br/><br/><br/><br/><br/>",
"<br/><br/><br/><br/>",
"\n",
"\n# View imported Data"
],
Expand Down
44 changes: 33 additions & 11 deletions PresentValueSeries/PresentValue - Episode 3.ipynb
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -31,9 +31,33 @@
{
"cell_type": "markdown",
"source": [
"> IFRS 17 is a new accounting standard for insurance contracts. It is an economic accounting approach, replacing the nominal accounting of the previous standard IFRS 4, that is, the economic value of the insurance products is considered. The focus is on the liabilities of an insurance company, namely the insurance policies. ",
"> The International Financial Reporting Standard (IFRS) 17 is the new economic accounting standard for insurance contracts. It entails that the **economic value of insurance products** is considered, ",
"\n> as opposed to the previous nominal accounting standard IFRS 4. The focus is on the liabilities of an insurance company, namely the insurance policies. ",
"\n>",
"\n> This means being able to answer to the question: ",
"\n> ",
"\n> *what is the value of an issued insurance contract today?*",
"\n",
"\n</p>"
"\n> For this reason, IFRS 17 is based on the idea of computing the Present Value of the insurance contracts. ",
"\n> This is the money you or someone else would pay for all these insurance policies today. ",
"\n> Calculating present value, and understanding its evolution over time, is the basis for computing IFRS 17 financials. ",
"\n",
"\n</p>",
"\n<br/>",
"\n",
"\nThe aim of this notebook is to illustrate the IFRS 17 *Present Value* calculation using Systemorph Cloud Technology. Present Values are the amount of money that someone would pay in the present day for the contracts of the group up to their run off. The starting point are the so called *Nominal Cash flows*, which express the amounts of cash and cash equivalents being transferred into and out of a business. Cash flow values are **discounted** according to the *Yield Curve* provided as economic input in order to take into account the corresponding Interest Accretion, and the discounted figures are **cumulated** to find the **Present Values**. ",
"\n",
"\nThe IFRS 17 standard prescribes that the accounting statements are based on the value of a group of insurance contracts at the beginning of the period (BoP), their development throughout the period, and the value at the end of the period (EoP). While the period is typically a quarter, the **Analysis of Change** (AoC) from BoP to EoP per group of contract is made considering for each step the variation of the cash flow so as to enhance the readability of the value changes. To this aim it is necessary to **evaluate the Present Value difference** (or delta) between each step, yielding the figures shown in the resulting report.",
"\n",
"\nThe company portfolio value change throughout one period is given by the following standard steps:",
"\n",
"\n1. Beginning of Period (BOP): starting value of the portfolio as of December last year (in the Year to Date view), ",
"\n2. Model Corrections (MC): change of the portfolio value based on the model change,",
"\n3. Cash Flow (CF): release of the expected cash flow for the current period",
"\n4. Interest Accretion (IA): change of the nominal cash flow due to the economic interest rate",
"\n5. Assumption Update (AU): change in (non-)financial assumptions (insurance risks, expenses, other non-economic)",
"\n6. Experience Variance (EV): value adjustments following insurance related events which took place (e.g. mortality),",
"\n7. End of Period (EOP): portfolio value at the end of the current period."
],
"metadata": {},
"execution_count": 0,
Expand All @@ -42,13 +66,9 @@
{
"cell_type": "markdown",
"source": [
"<br/>",
"\n",
"\nThe aim of this notebook is to illustrate the IFRS 17 *Present Value* calculation using Systemorph Cloud Technology. Present Values are the amount of money that someone would pay in the present day for the contracts of the group up to their run off. The starting point are the so called *Nominal Cash flows*, which express the amounts of cash and cash equivalents being transferred into and out of a business. Cash flow values are **discounted** according to the *Yield Curve* provided as economic input in order to take into account the corresponding Interest Accretion, and the discounted figures are **cumulated** to find the **Present Values**. ",
"The AoC chain for two consecutive periods looks like this",
"\n",
"\nThe IFRS 17 standard prescribes that the accounting statements are based on the value of a group of insurance contracts at the beginning of the period (BoP), their development throughout the period, and the value at the end of the period (EoP). While the period is typically a quarter, the **Analysis of Change** (AoC) from BoP to EoP per group of contract is made considering for each step the variation of the cash flow so as to enhance the readability of the value changes. To this aim it is necessary to **evaluate the Present Value difference** (or delta) between each step, yielding the figures shown in the resulting report.",
"\n",
"\nThis process is pictorially represented in the flowchart below"
"\n<center><img src=\"./AnalysisOfChange.png\" width=\"85%\" style=\"float:center;\">"
],
"metadata": {},
"execution_count": 0,
Expand All @@ -57,7 +77,9 @@
{
"cell_type": "markdown",
"source": [
"<center><img src=\"https://stacdnsmcwe.blob.core.windows.net/content/IFRS17CalculationEngine/Images/PresentValueOfCashFlow/Flowchart.png\" width=\"40%\" style=\"float:center;\">"
"This process is pictorially represented in the flowchart below",
"\n",
"\n<center><img src=\"https://stacdnsmcwe.blob.core.windows.net/content/IFRS17CalculationEngine/Images/PresentValueOfCashFlow/Flowchart.png\" width=\"50%\" style=\"float:center;\">"
],
"metadata": {},
"execution_count": 0,
Expand Down Expand Up @@ -271,7 +293,7 @@
{
"cell_type": "markdown",
"source": [
"<br/><br/><br/><br/><br/><br/><br/><br/><br/><br/><br/><br/><br/><br/><br/>",
"<br/><br/><br/><br/><br/><br/><br/><br/><br/>",
"\n",
"\n# View imported Data"
],
Expand Down Expand Up @@ -345,7 +367,7 @@
{
"cell_type": "code",
"source": [
"await Report.ForDataCube(nominals.ToReportType()).SliceRowsBy(\"AmountType\",\"AocType\").SliceColumnsBy(\"Index\").WithQuerySource(Workspace).ToBarChart().ExecuteAsync()"
"await Report.ForDataCube(nominals.ToReportType()).SliceRowsBy(\"AmountType\",\"AocType\").SliceColumnsBy(\"Index\").WithQuerySource(Workspace).ToBarChart().WithColorScheme(Palettes.Brewer.PuBu3).ExecuteAsync()"
],
"metadata": {},
"execution_count": 0,
Expand Down