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Merged
amuolo merged 7 commits into from
Oct 27, 2022
Merged

removal arithmetics #55

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546ae04
removal arithmetics
Oct 21, 2022
03c35bf
reset consts
Oct 25, 2022
b8d6e88
implement feedback part 1
Oct 26, 2022
2312bcb
finalized + hot fixes
Oct 26, 2022
22bd497
ReportGridOptions
dcolleoni Oct 26, 2022
54c5327
Merge branch 'develop' of https://github.com/Systemorph/IFRS17Calcula…
Oct 27, 2022
5a143ff
final fixes and feedback implementations
Oct 27, 2022
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2 changes: 1 addition & 1 deletion full-ifrs17-template/Constants/Consts.ipynb
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Expand Up @@ -25,4 +25,4 @@
]
}
]
}
}
2 changes: 1 addition & 1 deletion full-ifrs17-template/Initialization/InitSystemorphToMemory.ipynb
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Expand Up @@ -82,7 +82,7 @@
{
"cell_type": "code",
"source": [
"await UploadSimpleValueAsync(\"../Files/900.TransactionalData/SimpleValue_CH_2020_12.csv\")"
"//await UploadSimpleValueAsync(\"../Files/900.TransactionalData/SimpleValue_CH_2020_12.csv\") TODO: missing benchmarks"
]
},
{
Expand Down
37 changes: 14 additions & 23 deletions full-ifrs17-template/Test/IfrsVariablesTest.ipynb
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Expand Up @@ -142,21 +142,11 @@
"\n var expectedNotComputed = expected.Where(x => Math.Abs(x.Value) > BenchmarkPrecision).Select(x => x.ToIdentityString()).Except(computed.Select(x => x.ToIdentityString()));",
"\n var computedNotExpected = computed.Where(x => Math.Abs(x.Value) > BenchmarkPrecision).Select(x => x.ToIdentityString()).Except(expected.Select(x => x.ToIdentityString()));",
"\n if (expectedNotComputed.Any())",
"\n {",
"\n foreach (var error in expectedNotComputed)",
"\n {",
"\n var message = error.ToIdentityString();",
"\n errors.Add(new BenchmarkTestResult(\"Extra expected variable for: \"+ message));",
"\n }",
"\n }",
"\n errors.Add(new BenchmarkTestResult(\"Extra expected variable for: \" + error));",
"\n if (computedNotExpected.Any())",
"\n {",
"\n foreach (var error in computedNotExpected)",
"\n {",
"\n var message = error.ToIdentityString();",
"\n errors.Add(new BenchmarkTestResult(\"Extra computed variable for: \"+ message));",
"\n }",
"\n }",
"\n errors.Add(new BenchmarkTestResult(\"Extra computed variable for: \" + error));",
"\n ",
"\n var misMatchedVariables = expected.Concat(computed).AggregateOver().Where(x => Math.Abs(x.Value) > BenchmarkPrecision);",
"\n if (misMatchedVariables.Any())",
Expand Down Expand Up @@ -211,13 +201,8 @@
{
"cell_type": "code",
"source": [
"var errorList = new List<BenchmarkTestResult>();"
]
},
{
"cell_type": "code",
"source": [
"foreach (var g in bmFiles.GroupBy(x => (ReportingNode: x.ReportingNode, Year: x.Year, Month: x.Month)))",
"var errorList = new List<BenchmarkTestResult>();",
"\nforeach (var g in bmFiles.GroupBy(x => (ReportingNode: x.ReportingNode, Year: x.Year, Month: x.Month)))",
"\n{",
"\n var reportingNode = g.Key.ReportingNode;",
"\n var year = g.Key.Year;",
Expand All @@ -244,13 +229,13 @@
"\n var mainTab = bmDataTable.Tables[Main].Rows.First();",
"\n if(!ValidateMainTab(mainTab, reportingNode, year, month))",
"\n throw new Exception(\"Metadata and main tab of the Benchmark are different.\");",
"\n ",
"\n",
"\n var bmTableName = bmDataTable.Tables.Single(x => x.TableName != Main).TableName;",
"\n var bmVariables = bmDataTable.Tables[bmTableName].Rows.Select(x => CreateVariable(x, partition));",
"\n ",
"\n",
"\n //Get the computed Data",
"\n var computedVariables = computedVariablesByEstimateType.TryGetValue(bmTableName, out var ret) ? ret : Enumerable.Empty<IfrsVariable>();",
"\n ",
"\n",
"\n if(!computedVariables.Any()) ",
"\n errorList.Add(new BenchmarkTestResult(\"No variables are computed for EstimateType: \" + bmTableName, 0, 0));",
"\n //CompareAgainstBm",
Expand All @@ -264,7 +249,13 @@
{
"cell_type": "code",
"source": [
"errorList.Count().Should().Be(0)"
"errorList.Count().Should().Be(0);"
]
},
{
"cell_type": "code",
"source": [
"errorList"
]
},
{
Expand Down
6 changes: 3 additions & 3 deletions full-ifrs17-template/Test/MapTemplateAndImportTest.ipynb
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Expand Up @@ -150,7 +150,7 @@
"\n// check that exporter generates only the desired columns ",
"\nvar extension = \".xlsx\";",
"\nvar stream = await Project.FileStorage.ReadAsync(filename + extension);",
"\nvar tables = await DataSetReader.ReadFromStream(stream).WithContentType(extension).ExecuteAsync();",
"\nvar tables = (await DataSetReader.ReadFromStream(stream).WithContentType(extension).ExecuteAsync()).DataSet;",
"\nvar mainCols = new[]{nameof(PartitionByReportingNode.ReportingNode)};",
"\nvar portfolioCols = new[]{nameof(Portfolio.SystemName),nameof(Portfolio.DisplayName),nameof(Portfolio.ContractualCurrency),",
"\n nameof(Portfolio.LineOfBusiness),nameof(Portfolio.OciType),nameof(Portfolio.ValuationApproach)};",
Expand Down Expand Up @@ -236,7 +236,7 @@
"\n// check that exporter generates only the desired columns ",
"\nvar extension = \".xlsx\";",
"\nvar stream = await Project.FileStorage.ReadAsync(filename + extension);",
"\nvar tables = await DataSetReader.ReadFromStream(stream).WithContentType(extension).ExecuteAsync();",
"\nvar tables = (await DataSetReader.ReadFromStream(stream).WithContentType(extension).ExecuteAsync()).DataSet;",
"\nvar mainCols = new[]{nameof(PartitionByReportingNodeAndPeriod.ReportingNode),",
"\n nameof(PartitionByReportingNodeAndPeriod.Year),",
"\n nameof(PartitionByReportingNodeAndPeriod.Month)};",
Expand Down Expand Up @@ -316,7 +316,7 @@
"\n// check that exporter generates only the desired columns ",
"\nvar extension = \".xlsx\";",
"\nvar stream = await Project.FileStorage.ReadAsync(filename + extension);",
"\nvar tables = await DataSetReader.ReadFromStream(stream).WithContentType(extension).ExecuteAsync();",
"\nvar tables = (await DataSetReader.ReadFromStream(stream).WithContentType(extension).ExecuteAsync()).DataSet;",
"\nvar mainCols = new[]{nameof(PartitionByReportingNodeAndPeriod.ReportingNode),",
"\n nameof(PartitionByReportingNodeAndPeriod.Year),",
"\n nameof(PartitionByReportingNodeAndPeriod.Month),",
Expand Down
13 changes: 4 additions & 9 deletions full-ifrs17-template/Test/SpecificationsFinancialPerformance.ipynb
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Expand Up @@ -133,13 +133,8 @@
{
"cell_type": "code",
"source": [
"var identities = reportStorage.GetIdentities(period, reportingNode, null, currencyType);"
]
},
{
"cell_type": "code",
"source": [
"identities"
"var identities = reportStorage.GetIdentities(period, reportingNode, null, currencyType);",
"\nidentities"
]
},
{
Expand Down Expand Up @@ -197,8 +192,8 @@
"\n .WithQuerySource(DataSource)",
"\n .SliceRowsBy(\"VariableType\", \"EstimateType\")",
"\n .SliceColumnsBy(CurrencyGrouper(currencyType), \"LiabilityType\",\"GroupOfContract\")",
"\n .ReportGridOptions(reportHeight: 900, headerColumnWidth: 500, groupDefaultExpanded: 3)",
"\n .ToReport() with { Height = 600 }"
"\n .WithGridOptions( o => o.WithDefaultColumn( c => c.WithWidth(260) ) with {GroupDefaultExpanded = 3, Height = 900, OnGridReady = null} )",
"\n .ToReport()"
]
},
{
Expand Down
20 changes: 10 additions & 10 deletions full-ifrs17-template/Test/SpecificationsImportCashflows.ipynb
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Expand Up @@ -268,14 +268,14 @@
{
"cell_type": "code",
"source": [
"var expectedInterest = yearlyYieldCurve.Select( yc => (1 + yc)^( 1.0 / 12.0) );",
"var expectedInterest = yearlyYieldCurve.Select( yc => Math.Pow(1 + yc, 1.0 / 12.0) );",
"\nexpectedInterest"
]
},
{
"cell_type": "code",
"source": [
"from yc in yearlyYieldCurve select (1 + yc)^( 1.0 / 12.0 ) "
"from yc in yearlyYieldCurve select Math.Pow(1 + yc, 1.0 / 12.0)"
]
},
{
Expand All @@ -299,7 +299,7 @@
{
"cell_type": "code",
"source": [
"var expectedDiscount = yearlyYieldCurve.Select( yc => (1 + yc)^( -1.0 / 12.0) );",
"var expectedDiscount = yearlyYieldCurve.Select( yc => Math.Pow(1 + yc, -1.0 / 12.0) );",
"\nexpectedDiscount"
]
},
Expand Down Expand Up @@ -710,7 +710,7 @@
{
"cell_type": "code",
"source": [
"var nominalClaims = nominalICO.Values + nominalNIC.Values + nominalALE.Values + nominalULE.Values;"
"var nominalClaims = Sum( Sum(nominalICO.Values, nominalNIC.Values), Sum(nominalALE.Values, nominalULE.Values) );"
]
},
{
Expand Down Expand Up @@ -1015,7 +1015,7 @@
{
"cell_type": "code",
"source": [
"var expectedPresentValueMC_PR = discountedMC_PR.Values - discountedBoP_PR.Values;"
"var expectedPresentValueMC_PR = Subtract(discountedMC_PR.Values, discountedBoP_PR.Values);"
]
},
{
Expand Down Expand Up @@ -1097,7 +1097,7 @@
{
"cell_type": "code",
"source": [
"var expectedPresentValueCF_PR = -1.0 * cfNominalReference_PR.Values;"
"var expectedPresentValueCF_PR = Multiply(-1.0, cfNominalReference_PR.Values);"
]
},
{
Expand Down Expand Up @@ -1428,7 +1428,7 @@
{
"cell_type": "code",
"source": [
"var expectedPresentValueYCU_PR = ycReferenceDiscountedEop - discountedYcParent.Values;"
"var expectedPresentValueYCU_PR = Subtract(ycReferenceDiscountedEop, discountedYcParent.Values);"
]
},
{
Expand Down Expand Up @@ -1579,7 +1579,7 @@
{
"cell_type": "code",
"source": [
"var expectedPresentValueCRU = cruExpectedDiscountedCDR - discountedCruParent.Values;"
"var expectedPresentValueCRU = Subtract(cruExpectedDiscountedCDR, discountedCruParent.Values);"
]
},
{
Expand Down Expand Up @@ -1648,8 +1648,8 @@
{
"cell_type": "code",
"source": [
"var expectedPresentValueCL_PR = Test.GetScope<DiscountedCashflow>((idCL, \"PR\", \"BE\", (int?)null)).Values -",
"\n clParents.Select(aocStep => Test.GetScope<DiscountedCashflow>((idCL with {AocType = aocStep.AocType, Novelty = aocStep.Novelty}, \"PR\", \"BE\", (int?)null)).Values).Aggregate();"
"var expectedPresentValueCL_PR = Subtract(Test.GetScope<DiscountedCashflow>((idCL, \"PR\", \"BE\", (int?)null)).Values,",
"\n clParents.Select(aocStep => Test.GetScope<DiscountedCashflow>((idCL with {AocType = aocStep.AocType, Novelty = aocStep.Novelty}, \"PR\", \"BE\", (int?)null)).Values).Aggregate());"
]
},
{
Expand Down
21 changes: 11 additions & 10 deletions ifrs17/DataModel/DataStructure.ipynb
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Expand Up @@ -43,16 +43,17 @@
{
"cell_type": "code",
"source": [
"#r \"nuget:Systemorph.Workspace,1.4.1\"",
"\n#r \"nuget:Systemorph.Scopes,1.4.0\"",
"\n#r \"nuget:Systemorph.Import,1.4.0\"",
"\n#r \"nuget:Systemorph.Test,1.4.0\"",
"\n#r \"nuget:Systemorph.Export,1.4.0\"",
"\n#r \"nuget:Systemorph.DataSetReader,1.4.0\"",
"\n#r \"nuget:Systemorph.DataSource,1.4.1\"",
"\n#r \"nuget:Systemorph.DataSource.Conversions,1.4.1\"",
"\n#r \"nuget:Systemorph.Reporting,1.4.0\"",
"\n#r \"nuget:Systemorph.DomainDesigner,1.4.0\""
"#r \"nuget:Systemorph.Arithmetics,1.5.4\"",
"\n#r \"nuget:Systemorph.Workspace,1.5.0\"",
"\n#r \"nuget:Systemorph.Scopes,1.5.2\"",
"\n#r \"nuget:Systemorph.Import,1.5.0\"",
"\n#r \"nuget:Systemorph.Test,1.5.2\"",
"\n#r \"nuget:Systemorph.Export,1.5.0\"",
"\n#r \"nuget:Systemorph.DataSetReader,1.5.0\"",
"\n#r \"nuget:Systemorph.DataSource,1.5.0\"",
"\n#r \"nuget:Systemorph.DataSource.Conversions,1.5.0\"",
"\n#r \"nuget:Systemorph.Reporting,1.5.2\"",
"\n#r \"nuget:Systemorph.DomainDesigner,1.5.0\""
]
},
{
Expand Down
21 changes: 11 additions & 10 deletions ifrs17/Import/ImportScopeCalculation.ipynb
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Expand Up @@ -441,7 +441,7 @@
"\n ",
"\n double[] Interest => YearlyYieldCurve.Select(rate => Math.Pow(1d + rate, 1d / 12d) + Perturbation).ToArray(); ",
"\n ",
"\n double[] Discount => Interest^(-1);",
"\n double[] Discount => Interest.Select(x => Math.Pow(x, -1)).ToArray();",
"\n}"
]
},
Expand Down Expand Up @@ -484,7 +484,7 @@
"\n ret[i] = Math.Exp(-nonPerformanceRiskRate) * ret.ElementAtOrDefault(i + 1) + NominalClaimsCashflow[i] - NominalClaimsCashflow.ElementAtOrDefault(i + 1);",
"\n return ret; } } ",
"\n ",
"\n double[] NominalCashflow.Values => PvCdrDecumulated - NominalClaimsCashflow;",
"\n double[] NominalCashflow.Values => Subtract(PvCdrDecumulated, NominalClaimsCashflow);",
"\n}",
"\n",
"\npublic interface AllClaimsCashflow : NominalCashflow",
Expand Down Expand Up @@ -600,7 +600,7 @@
"\n .Where(cf => cf.Count() > 0)",
"\n .Aggregate();",
"\n ",
"\n double[] Values => CurrentValues - PreviousValues;",
"\n double[] Values => Subtract(CurrentValues, PreviousValues);",
"\n}"
]
},
Expand Down Expand Up @@ -702,7 +702,7 @@
"\npublic interface IWithInterestAccretionForCreditRisk : IScope<(ImportIdentity Id, string AmountType, string EstimateType, int? AccidentYear), ImportStorage>",
"\n{",
"\n private double[] nominalClaimsCashflow => GetScope<AllClaimsCashflow>(Identity).Values;",
"\n private double[] nominalValuesCreditRisk => -1 * GetScope<CreditDefaultRiskNominalCashflow>(Identity with {Id = Identity.Id with {AocType = AocTypes.CF}}).Values;",
"\n private double[] nominalValuesCreditRisk => Multiply(-1, GetScope<CreditDefaultRiskNominalCashflow>(Identity with {Id = Identity.Id with {AocType = AocTypes.CF}}).Values);",
"\n private double[] monthlyInterestFactor => GetScope<MonthlyRate>(Identity.Id).Interest;",
"\n private double nonPerformanceRiskRate => GetStorage().GetNonPerformanceRiskRate(Identity.Id);",
"\n ",
Expand All @@ -717,7 +717,7 @@
"\n effectCreditRisk[i] = interestOnClaimsCashflow[i] - interestOnClaimsCashflowCreditRisk[i];",
"\n }",
"\n ",
"\n return effectCreditRisk - nominalValuesCreditRisk;",
"\n return Subtract(effectCreditRisk, nominalValuesCreditRisk);",
"\n }",
"\n}"
]
Expand Down Expand Up @@ -785,7 +785,7 @@
"\npublic interface CashflowAocStep : PresentValue",
"\n{",
"\n [NotVisible]",
"\n double[] PresentValue.Values => -1d * GetScope<NominalCashflow>(Identity).Values;",
"\n double[] PresentValue.Values => Multiply(-1d, GetScope<NominalCashflow>(Identity).Values);",
"\n}",
"\n",
"\npublic interface PresentValueWithInterestAccretion : PresentValue, IWithInterestAccretion",
Expand Down Expand Up @@ -1337,7 +1337,9 @@
"\n string EstimateType => EstimateTypes.BEPA;",
"\n string EconomicBasis => EconomicBases.L;",
"\n ",
"\n PresentValue[] ByAmountType => GetStorage().GetPremiums().Select(pr => GetStorage().GetPremiumAllocationFactor(Identity) * GetScope<PresentValue>((Identity, pr, EstimateTypes.BE, (int?)null), o => o.WithContext(EconomicBasis))).ToArray(); ",
"\n PresentValue[] ByAmountType => GetStorage().GetPremiums().Select(pr => ",
"\n Multiply( GetStorage().GetPremiumAllocationFactor(Identity), ",
"\n GetScope<PresentValue>((Identity, pr, EstimateTypes.BE, (int?)null), o => o.WithContext(EconomicBasis)) ) ).ToArray(); ",
"\n}",
"\n",
"\npublic interface DefaultValueBeExperienceAdjustmentForPremium : BeExperienceAdjustmentForPremium",
Expand All @@ -1356,9 +1358,8 @@
"\n .WithApplicability<DefaultValueActualExperienceAdjustmentForPremium>(x => x.Identity.AocType != AocTypes.CF));",
"\n ",
"\n public ActualBase[] ByAmountTypeAndEstimateType => GetStorage().GetPremiums().SelectMany(pr => ",
"\n GetStorage().ExperienceAdjustEstimateTypeMapping.Keys",
"\n .Select(et => GetStorage().GetPremiumAllocationFactor(Identity) * ",
"\n GetScope<ActualBase>((Identity, pr, et, (int?)null)))).ToArray(); ",
"\n GetStorage().ExperienceAdjustEstimateTypeMapping.Keys.Select(et => ",
"\n Multiply(GetStorage().GetPremiumAllocationFactor(Identity), GetScope<ActualBase>((Identity, pr, et, (int?)null))) ) ).ToArray();",
"\n}",
"\n",
"\npublic interface DefaultValueActualExperienceAdjustmentForPremium : ActualExperienceAdjustmentForPremium",
Expand Down
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