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Merged
sbatka merged 16 commits into from
Jun 27, 2023
Merged

Contract Term #327

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9e380eb
add Constructor to DataNodeData
sbatka Jun 21, 2023
c6ec8fa
keep despite constructor (otherwise the DataNodeParameter not mapped …
sbatka Jun 21, 2023
5e2e5c6
try ExtendDataNodeData method
sbatka Jun 21, 2023
cdd5fbd
remove double run of Imports
sbatka Jun 21, 2023
4a9ed6c
include ContractTerm
sbatka Jun 22, 2023
c733563
adapt Importers
sbatka Jun 22, 2023
170a387
fix
sbatka Jun 23, 2023
2280cab
refactor a bit
sbatka Jun 23, 2023
bcaf179
go back on the Scope "NominalDeferrable"
sbatka Jun 23, 2023
457ae68
doku
sbatka Jun 26, 2023
468d8d5
add deferral to ReportVariables
sbatka Jun 26, 2023
99f4386
formatting
sbatka Jun 26, 2023
879570a
add deferral to LRC report
sbatka Jun 26, 2023
841ab35
cleanup spaces
sbatka Jun 26, 2023
b531bec
reword doku
sbatka Jun 26, 2023
8f5de70
reset commenting out
sbatka Jun 27, 2023
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9 changes: 9 additions & 0 deletions ifrs17/DataModel/DataStructure.ipynb
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Expand Up @@ -1412,6 +1412,8 @@
"\n",
"\nA Group of Contract is a set of contracts with the same Annual Cohort, Liability Type, Profitability and Partner (in case the contracts are done with a re-insurer).",
"\n",
"\nContractTerm : defines the term that the given Contract is valid for in whole number of months. It can be used to compute the deferrable or amortized positions in the Balance Sheet. It is not a mandatory input, even if column header 'ContractTerm' is present. The default value is 0.",
"\n",
"\nVarious Group of Contracts are put together into portfolios."
],
"metadata": {},
Expand Down Expand Up @@ -1448,6 +1450,10 @@
"\n public string YieldCurveName { get; init; }",
"\n ",
"\n public virtual string Partner { get; init; }",
"\n ",
"\n [NotVisible]",
"\n [Dimension(typeof(int), nameof(ContractTerm))]",
"\n public int ContractTerm { get; init; }",
"\n}"
],
"metadata": {},
Expand Down Expand Up @@ -1700,7 +1706,10 @@
"\n public State PreviousState { get; init; }",
"\n ",
"\n public bool IsReinsurance { get; init; }",
"\n public int ContractTerm { get; init; }",
"\n",
"\n public DataNodeData(){}",
"\n",
"\n}"
],
"metadata": {},
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6 changes: 3 additions & 3 deletions ifrs17/Import/3ImportScope-Actuals.ipynb
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Expand Up @@ -376,7 +376,7 @@
{
"cell_type": "markdown",
"source": [
"# Deferrable as cumulated discounted cash flow",
"## Deferrable as cumulated discounted cash flow",
"\nThe cumulated discounted cash flow (CDC) or Present Value of deferral amount types is considered within this approach. ",
"\nThe AoC Chain coincides with the one defined for Present Values. In addition, an Amortization step is computed using a release pattern defined in input (in the [DataNodeParameter](../DataModel/DataStructure#data-node-parameters) or as cash flow). ",
"\n",
Expand Down Expand Up @@ -456,7 +456,7 @@
{
"cell_type": "markdown",
"source": [
"# Deferrable undiscounted",
"## Deferrable undiscounted",
"\nThe nominal cash flow of deferral amount types is considered within this approach. ",
"\nAs Present Values are not used here, this methodology allows to amortize and release expenses occurring in different months within the reporting period. ",
"\nThis is achieved by applying a shift to the release pattern. For this reason, this approach is to be used with a release pattern defined in the [DataNodeParameter](../DataModel/DataStructure#data-node-parameters).",
Expand Down Expand Up @@ -547,7 +547,7 @@
"\n}",
"\n",
"\npublic interface AmDeferrable : NominalDeferrable{",
"\n private AocStep referenceAocStep => GetScope<ReferenceAocStep>(Identity.Id).Value;//CL,C",
"\n private AocStep referenceAocStep => GetScope<ReferenceAocStep>(Identity.Id).Value; //CL,C",
"\n private double referenceCashflow => GetScope<NominalDeferrable>((Identity.Id with {AocType = referenceAocStep.AocType, Novelty = referenceAocStep.Novelty}, Identity.MonthlyShift)).Value;",
"\n",
"\n double NominalDeferrable.Value => -1d * referenceCashflow * GetScope<CurrentPeriodAmortizationFactor>((Identity.Id, AmountTypes.DAE, Identity.MonthlyShift), o => o.WithContext(EconomicBasis)).Value;",
Expand Down
100 changes: 91 additions & 9 deletions ifrs17/Import/5ImportScope-ToIfrsVar.ipynb
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Expand Up @@ -74,6 +74,15 @@
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
"## Pv"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
Expand Down Expand Up @@ -106,6 +115,15 @@
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
"## Nominal"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
Expand All @@ -128,6 +146,15 @@
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
"## RiskAdjustment"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
Expand Down Expand Up @@ -160,6 +187,15 @@
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
"## Actuals"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
Expand Down Expand Up @@ -200,6 +236,16 @@
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
"## Deferrable",
"\n### Actual"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
Expand All @@ -221,6 +267,15 @@
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
"### Cashflow"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
Expand Down Expand Up @@ -256,6 +311,15 @@
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
"### Deferrable"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
Expand All @@ -270,6 +334,15 @@
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
"### Amortzation Factor"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
Expand Down Expand Up @@ -310,6 +383,15 @@
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
"## Experience Adj. for Premium"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
Expand Down Expand Up @@ -350,6 +432,15 @@
"execution_count": 0,
"outputs": []
},
{
"cell_type": "markdown",
"source": [
"## Tm"
],
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
Expand Down Expand Up @@ -405,15 +496,6 @@
"metadata": {},
"execution_count": 0,
"outputs": []
},
{
"cell_type": "code",
"source": [
""
],
"metadata": {},
"execution_count": 0,
"outputs": []
}
]
}
2 changes: 2 additions & 0 deletions ifrs17/Import/ImportStorage.ipynb
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Expand Up @@ -306,6 +306,8 @@
"\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 public DataNodeData GetDataNodeData(ImportIdentity id) => DataNodeDataBySystemName[id.DataNode];",
"\n",
"\n //YieldCurve",
"\n public double[] GetYearlyYieldCurve(ImportIdentity id, string economicBasis) {",
"\n var yc = GetYieldCurve(id, economicBasis);",
Expand Down
12 changes: 10 additions & 2 deletions ifrs17/Import/Importers.ipynb
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Expand Up @@ -1017,6 +1017,8 @@
"\n",
"\n var yieldCurveColumnGroupOfInsuranceContract = dataSet.Tables.Contains(nameof(GroupOfInsuranceContract)) && dataSet.Tables[nameof(GroupOfInsuranceContract)].Columns.Any(x => x.ColumnName == nameof(GroupOfInsuranceContract.YieldCurveName));",
"\n var yieldCurveColumnGroupOfReinsuranceContract = dataSet.Tables.Contains(nameof(GroupOfReinsuranceContract)) && dataSet.Tables[nameof(GroupOfReinsuranceContract)].Columns.Any(x => x.ColumnName == nameof(GroupOfReinsuranceContract.YieldCurveName));",
"\n var contractTermColumnGroupOfInsuranceContract = dataSet.Tables.Contains(nameof(GroupOfInsuranceContract)) && dataSet.Tables[nameof(GroupOfInsuranceContract)].Columns.Any(x => x.ColumnName == nameof(GroupOfInsuranceContract.ContractTerm));",
"\n var contractTermColumnGroupOfReinsuranceContract = dataSet.Tables.Contains(nameof(GroupOfReinsuranceContract)) && dataSet.Tables[nameof(GroupOfReinsuranceContract)].Columns.Any(x => x.ColumnName == nameof(GroupOfReinsuranceContract.ContractTerm));",
"\n",
"\n var importLogGroupOfContracts = await Import.FromDataSet(dataSet)",
"\n .WithType<GroupOfInsuranceContract>((dataset, datarow) => {",
Expand All @@ -1040,7 +1042,10 @@
"\n Portfolio = pf,",
"\n YieldCurveName = yieldCurveColumnGroupOfInsuranceContract",
"\n ? datarow.Field<string>(nameof(GroupOfContract.YieldCurveName)) ",
"\n : (string)null };",
"\n : (string)null,",
"\n ContractTerm = contractTermColumnGroupOfInsuranceContract",
"\n ? Convert.ToInt32(datarow.Field<string>(nameof(GroupOfContract.ContractTerm))) ",
"\n : default };",
"\n return ExtendGroupOfContract(gic, datarow);",
"\n })",
"\n .WithType<GroupOfReinsuranceContract>((dataset, datarow) => {",
Expand All @@ -1065,7 +1070,10 @@
"\n Partner = datarow.Field<string>(nameof(GroupOfContract.Partner)),",
"\n YieldCurveName = yieldCurveColumnGroupOfReinsuranceContract",
"\n ? datarow.Field<string>(nameof(GroupOfContract.YieldCurveName)) ",
"\n : (string)null };",
"\n : (string)null,",
"\n ContractTerm = contractTermColumnGroupOfReinsuranceContract",
"\n ? Convert.ToInt32(datarow.Field<string>(nameof(GroupOfContract.ContractTerm))) ",
"\n : default };",
"\n return ExtendGroupOfContract(gric, datarow);",
"\n })",
"\n .WithTarget(workspace)",
Expand Down
3 changes: 2 additions & 1 deletion ifrs17/Utils/Queries.ipynb
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Expand Up @@ -318,7 +318,8 @@
"\n Profitability = dn.Profitability,",
"\n Partner = dn.Partner,",
"\n IsReinsurance = dn.GetType() == typeof(GroupOfReinsuranceContract),",
"\n YieldCurveName = dn.YieldCurveName",
"\n YieldCurveName = dn.YieldCurveName,",
"\n ContractTerm = dn.ContractTerm",
"\n };",
"\n }",
"\n );",
Expand Down