Close Imports Template
" + ] + }, + { + "cell_type": "markdown", + "source": [ + "All imports are triggered via theImport command. Several options can be fluently appended to customize the import action:",
+ "\n- FromFile() : accepts a string as input (eg. \"../Files/TransactionalData/Openings_CH_2020_12.csv\"). It corresponds the file to be imported complete with the path",
+ "\n- WithFormat() : accepts a string as input (eg. \"Cashflow\" or \"Actual\"). It is used to trigger the desired import logic for the current file. Full list of avalaible ImportFormat can be found [here](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Constants/Consts#import-formats)",
+ "\n- WithFileStorage() : defined the drive from where the input files is retrieved. In this example we use the project file storage (new files have to be uploaded into the project), other options are SharePoint and OneDrive. ",
+ "\n- WithTarget() : target drive where the results are stored. In this example we use our in-memory set up",
+ "\n"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "# Set up data and configuration",
+ "\n",
+ "\nThe data source is initialized and the whole IFRS 17 Calculation Engine code is compiled. "
+ ]
+ },
+ {
+ "cell_type": "code",
+ "source": [
+ "#!eval-notebook \"../Initialization/InitSystemorphToMemory\""
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "source": [
+ "# DataNode and Parameters",
+ "\n",
+ "\nNew Data Nodes and Parameters are imported here.",
+ "\nTo easily generate these files, please refer to the **Map Template** files exported [here](../Export/MapTemplate). Edit them at your wish and import them back into the solution through the following cells. ", + "\n
For the **ImportFormat**, the following options are expected:", + "\n- ImportFormats.DataNode : [Portfolios](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/DataModel/DataStructure#portfolios) and [Group of Contracts](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/DataModel/DataStructure#group-of-contracts)", + "\n- ImportFormats.DataNodeState : the [state of a data node](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/DataModel/DataStructure#data-node-state) can be either active or inactive.", + "\n- ImportFormats.DataNodeParameter : parameters are described [here](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/DataModel/DataStructure#data-node-parameters). For **Group of Insurance Contracts** a default [Premium Allocation factor](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Import/ImportScopeCalculation#experience-adjustment-on-premium) of 1 is applied if the parameter is not imported.", + "\n" + ] + }, + { + "cell_type": "code", + "source": [ + "var pathToFile = \"../Files/DataNodes/DataNodes_CH.csv\";" + ] + }, + { + "cell_type": "code", + "source": [ + "var format = ImportFormats.DataNode;" + ] + }, + { + "cell_type": "code", + "source": [ + "await Import.FromFile(pathToFile).WithFormat(format).WithTarget(DataSource).ExecuteAsync()" + ] + }, + { + "cell_type": "markdown", + "source": [ + "# Transactional Data", + "\n", + "\nTransactional data are imported here. ", + "\n
For the **ImportFormat**, the following options are expected:", + "\n- ImportFormats.Opening : for opening values in a Fair Value Approach", + "\n- ImportFormats.Cashflow : nominal cash flows", + "\n- ImportFormats.Actual : written actuals, payable and receivables. ", + "\n- ImportFormats.SimpleValue : direct import of pre-calculated Present Value and Actual values for all reports - no calculation is triggered -" + ] + }, + { + "cell_type": "code", + "source": [ + "var pathToFile = \"../Files/TransactionalData/Openings_CH_2020_12.csv\";" + ] + }, + { + "cell_type": "code", + "source": [ + "var format = ImportFormats.Opening;" + ] + }, + { + "cell_type": "code", + "source": [ + "await Import.FromFile(pathToFile).WithFormat(format).WithTarget(DataSource).ExecuteAsync()" + ] + }, + { + "cell_type": "markdown", + "source": [ + "# Workspace reset" + ] + }, + { + "cell_type": "code", + "source": [ + "Workspace.Reset(x => x.ResetInitializationRules().ResetCurrentPartitions());" + ] + } + ] +} \ No newline at end of file diff --git a/full-ifrs17-template/Initialization/InitSystemorphBaseToMemory.ipynb b/full-ifrs17-template/Initialization/InitSystemorphBaseToMemory.ipynb index e910c089..46ba277c 100644 --- a/full-ifrs17-template/Initialization/InitSystemorphBaseToMemory.ipynb +++ b/full-ifrs17-template/Initialization/InitSystemorphBaseToMemory.ipynb @@ -29,7 +29,7 @@ { "cell_type": "code", "source": [ - "#!import \"../Constants/Consts\"", + "#!import \"../Constants/CalculationEngine\"", "\n#!eval calculationEngine" ] }, @@ -106,7 +106,7 @@ { "cell_type": "code", "source": [ - "await Import.FromFile(\"../Files/300.ReportingNodes/ReportingNodes.csv\").WithType
The cash flow is entered in the columns named
ValuesN where N goes from 0 to the lenght of cash flow. The Value0 corresponds to January of the Year entered in the **Main** section for every combination of AocType and Novelty. "
]
},
@@ -64,12 +64,12 @@
"source": [
"An Actuals file is named **Actuals** *\\_
+
+
Full IFRS 17 Template
-Systemorph's IFRS 17 [Calculation Engine](https://portal.systemorph.cloud/api/project/ifrs17ce/env/dev/) is a tool to conduct all the essential IFRS 17 calculations given some key figures. +**Full IFRS 17 Template** uses our [**IFRS 17 Calculation Engine**](https://portal.systemorph.cloud/api/project/ifrs17/env/v1.0.0/) to import several use-cases and show the results. -Systemorph's *Full IFRS 17 Template* uses our IFRS 17 Calculation Engine to import several use-cases and show the results. +**IFRS 17 Calculation Engine** is a tool to conduct all the essential IFRS 17 calculations given some key figures. # Get Started -Interact with this *Full IFRS 17 Template* after having cloned the project +Clone this project to start interacting with it. # Supporting Material -Check out the [video]() (this is a youtube link or the video is embedded) +Check out our video series. You can get started here: +[
](https://www.youtube.com/watch?v=M1B5AyYvXT8)
-Check out our IFRS 17 initiative [here](landing page)
+For more information on our IFRS 17 initiative check out our [IFRS 17 page](*landing page*).
-# Report
+For an overview of the **Full IFRS 17 Template** project refer to the [OverviewIFRS17Template](https://portal.systemorph.cloud/project/full-ifrs-17-template/env/v1.0.0/OverviewIFRS17Template)
-Check out the IFRS 17 reports computed for our use-cases [here](./Report/Reports)
+# Report
-# Testing
+Check out the IFRS 17 reports computed for our mock use-cases [here](https://portal.systemorph.cloud/project/full-ifrs-17-template/env/v1.0.0/Report/Reports).
-If you want a step by step guide into the calculation logic, please go to the "Specification" notebook you are interested in:
-- [Cashflow Calculation](./Test/SpecificationsImportCashflows)
-- [Actuals Calculation](./Test/SpecificationsImportActuals)
-- [Technical Margin Calculation](./Test/SpecificationsTechnicalMargin)
-- [Financial Performance Calculation](./Test/SpecificationsFinancialPerformance)
+Check out the our mock data set by exporting excel MapTemplates [here](https://portal.systemorph.cloud/project/full-ifrs-17-template/env/v1.0.0/Export/MapTemplate).
# Got Questions
-For support around the IFRS 17 CalculationEngine get in contact with our Community:
+For support around the IFRS 17 CalculationEngine get in contact with our [Community](). (*TODO -link to the community page(IFRS17 landing page)*)-
+
+# Contributing
+
+All work on the **Full IFRS 17 Template** happens directly on [GitHub](https://github.com/Systemorph/IFRS17CalculationEngine).
-- [Community]() -link to the community page-
-- [Evangelists]() -link to Evangelists page-
\ No newline at end of file
+This project adheres to overall [General Terms & Conditions for Systemorph Cloud]() TODO link to terms and conditions file.
\ No newline at end of file
diff --git a/full-ifrs17-template/Report/Reports.ipynb b/full-ifrs17-template/Report/Reports.ipynb
index 7528d59f..5d9ef4db 100644
--- a/full-ifrs17-template/Report/Reports.ipynb
+++ b/full-ifrs17-template/Report/Reports.ipynb
@@ -20,9 +20,8 @@
{
"cell_type": "markdown",
"source": [
- "Reports
", - "\n", - "\n" + "", + "\nReports
" ] }, { @@ -30,7 +29,7 @@ "source": [ "For demonstration purposes we import here data for 7 *Group of Insurance Contract* (GIC) and 4 *Group of Reinsurance Contract* (GRIC) - the import is triggered in the [Set up data and configuration](#set-up-data-and-configuration).", "\nThe imported data set consists of cashflows, actuals, and parameters for two consecutive periods (Year 2020-Quarter 4 and Year 2021-Quarter 1)", - "\n
Input files can be found in the **File** directory. You are invited to change them or upload your own. ", + "\n
Input files can be found in the **File** directory. You are invited to change them or upload your own or to add new data in the [CloseImportTemplate](../Import/CloseImportTemplate) notebook. ", "\n
For simplicity, we import the same transactional data for all GICs and GRICs. Each *Group of Contracts* produces different figures due to differences in parameters such as *Liability Type*, *Oci type* or *Premium allocation factor* to Contractual Service Margin.", "\n", "\nFollow the instructions below for a guided interaction with the reports." @@ -45,7 +44,7 @@ { "cell_type": "code", "source": [ - "#!eval-notebook \"../Initialization/InitSystemorphToMemory\"" + "#!eval-notebook \"../Import/CloseImportTemplate\"" ] }, { @@ -60,7 +59,7 @@ "source": [ "# Best Estimate", "\n", - "\nPresent values of the [best-estimate](https://portal.systemorph.cloud/project/ifrs17ce/env/dev/Report/ReportScopes#best-estimate) future cashflows are shown here in an Analysis of Change report.", + "\nPresent values of the [best-estimate](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Report/ReportScopes#best-estimate) future cashflows are shown here in an Analysis of Change report.", "\n", "\nThe granularity of the reported figures can be modified by changing the Column Slices options.", "\nFor example one can add
\"GroupOfContract\" to separate the contributions of the individual Group of Contracts.",
@@ -85,16 +84,18 @@
"source": [
"# Risk Adjustment",
"\n",
- "\nPresent values of the [risk adjustment](https://portal.systemorph.cloud/project/ifrs17ce/env/dev/Report/ReportScopes#risk-adjustment) future cashflows are shown here.",
+ "\nPresent values of the [risk adjustment](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Report/ReportScopes#risk-adjustment) future cashflows are shown here.",
"\n",
- "\nFilters can be applied to report to isolate a sub-set of the data. They can be used in conjuction to the Slice options. For example, filtering **EconomicBasis** Locked-in together with a slice on the **GroupOfContract** allows to analyse the risk adjustment figures computed with the yield curve at inception for all Group of Contracts."
+ "\nThe additional ColumnSlices are added to the view as the inner column. This can dicrease the readability of the report. For example, adding the slice by \"GroupOfContract\" leaves the lock-in and current rate contributions far apart and difficult to compare. The re-order of default slices with custom slices is achieved by esplicitly add the default slice among the custom slices. In our case, you can try entering both \"GroupOfContract\" and \"EconomicBasis\" separated by a comma in the ColumnSlices."
]
},
{
"cell_type": "code",
"source": [
"var raReport = ifrs17Report.RiskAdjustments;",
- "\nraReport.ColumnSlices = new string[]{};//\"GroupOfContract\"",
+ "\nraReport.ReportingNode = \"CH\";",
+ "\nraReport.ReportingPeriod = (2021, 3);",
+ "\nraReport.ColumnSlices = new string[]{};//\"GroupOfContract\", \"EconomicBasis\"",
"\nraReport.DataFilter = null;//new [] {(\"GroupOfContract\", \"DT1.2\")};",
"\n(await raReport.ToReportAsync) with {Height = 800}"
]
@@ -104,15 +105,18 @@
"source": [
"# Written Actuals",
"\n",
- "\n[Written Actuals](https://portal.systemorph.cloud/project/ifrs17ce/env/dev/Report/ReportScopes#written-accrual-deferral) are shown here. ",
+ "\n[Written Actuals](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Report/ReportScopes#written-accrual-deferral) are shown here. ",
"\n",
- "\nIn this case, the analysis of change view is replaced with a default slice by the **AmountTypes**. Only the amount type with non zero value are displayed. "
+ "\nIn this case, the analysis of change view is replaced with a default slice by the **AmountTypes**. Only the amount type with non zero value are displayed. ",
+ "\nFilters can be applied to report to isolate a sub-set of the data, by selecting the dimension to filter and the system value desired. For example, to investigate the contribution of a single Group of Contract the following filter can be applied: new [] {(\"GroupOfContract\", \"DT1.1\")}."
]
},
{
"cell_type": "code",
"source": [
"var writtenActualReport = ifrs17Report.WrittenActuals;",
+ "\nwrittenActualReport.ReportingNode = \"CH\";",
+ "\nwrittenActualReport.ReportingPeriod = (2021, 3);",
"\nwrittenActualReport.ColumnSlices = new string[]{};//\"GroupOfContract\"",
"\nwrittenActualReport.DataFilter = null; //new [] {(\"GroupOfContract\", \"DT1.1\")};",
"\n(await writtenActualReport.ToReportAsync) with {Height = 400}"
@@ -123,16 +127,20 @@
"source": [
"## Advance, Overdue Actuals",
"\n",
- "\nActuals payed in [Advance](https://portal.systemorph.cloud/project/ifrs17ce/env/dev/Report/ReportScopes#written-accrual-deferral)",
- "\nor [Overdue](https://portal.systemorph.cloud/project/ifrs17ce/env/dev/Report/ReportScopes#written-accrual-deferral) are shown here together in a simplified Analysis of Change. "
+ "\nActuals payed in [Advance](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Report/ReportScopes#written-accrual-deferral)",
+ "\nor [Overdue](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Report/ReportScopes#written-accrual-deferral) are shown here together in a simplified Analysis of Change. ",
+ "\n",
+ "\nCombining Filters and ColumnSlices facilitate the report analysis. For example, you can select \"GroupOfContract\" as column slices with a Filter on EstimateType \"AA\" to analyse the Advance Actuals for all Group of Contract. "
]
},
{
"cell_type": "code",
"source": [
"var accrualActualReport = ifrs17Report.AccrualActuals;",
+ "\naccrualActualReport.ReportingNode = \"CH\";",
+ "\naccrualActualReport.ReportingPeriod = (2021, 3);",
"\naccrualActualReport.ColumnSlices = new string[]{};//\"GroupOfContract\", \"AmountType\"",
- "\naccrualActualReport.DataFilter = null;//new [] {(\"GroupOfContract\", \"DT2.1\")};",
+ "\naccrualActualReport.DataFilter = null; //new [] {(\"EstimateType\", \"AA\")};",
"\n(await accrualActualReport.ToReportAsync) with {Height = 400}"
]
},
@@ -141,13 +149,15 @@
"source": [
"## Deferrable Actuals",
"\n",
- "\n[Deferrable Actuals](https://portal.systemorph.cloud/project/ifrs17ce/env/dev/Report/ReportScopes#written-accrual-deferral) are shown here. Amortization of the deferrable amount is computed using the Coverage Unit pattern. "
+ "\n[Deferrable Actuals](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Report/ReportScopes#written-accrual-deferral) are shown here. Amortization of the deferrable amount is computed using the Coverage Unit pattern. "
]
},
{
"cell_type": "code",
"source": [
"var deferrableActualReport = ifrs17Report.DeferralActuals;",
+ "\ndeferrableActualReport.ReportingNode = \"CH\";",
+ "\ndeferrableActualReport.ReportingPeriod = (2021, 3);",
"\ndeferrableActualReport.ColumnSlices = new string[]{};//\"GroupOfContract\", \"AmountType\"",
"\ndeferrableActualReport.DataFilter = null;//new [] {(\"GroupOfContract\", \"DT1.1\")};",
"\n(await deferrableActualReport.ToReportAsync) with {Height = 400}"
@@ -158,14 +168,19 @@
"source": [
"# Fulfilment Cashflow",
"\n",
- "\nPresent Value of the [Fulfilment Cashflow](https://portal.systemorph.cloud/project/ifrs17ce/env/dev/Report/ReportScopes#fulfillment-cashflows) are shown here. ",
- "\nThe individual contributions from Best Estimate and Risk Adjustment can be visualized slicing by **EstimateType**" + "\nPresent Value of the [Fulfilment Cashflow](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Report/ReportScopes#fulfillment-cashflows) are shown here. ", + "\n
The individual contributions from Best Estimate and Risk Adjustment can be visualized slicing by **EstimateType**.", + "\n", + "\nFilters can be applied to report to isolate a sub-set of the data. For example you can Filter by a specific Group of Contract using its system name using : new [] {(\"GroupOfContract\", \"DT1.1\")}.", + "\n" ] }, { "cell_type": "code", "source": [ "var fulfillmentCashflowsReport = ifrs17Report.FulfillmentCashflows;", + "\nfulfillmentCashflowsReport.ReportingNode = \"CH\";", + "\nfulfillmentCashflowsReport.ReportingPeriod = (2021, 3);", "\nfulfillmentCashflowsReport.ColumnSlices = new string[]{};//\"EstimateType\"", "\nfulfillmentCashflowsReport.DataFilter = null;// new [] {(\"GroupOfContract\", \"DT1.1\")};", "\n(await fulfillmentCashflowsReport.ToReportAsync) with {Height = 750}" @@ -176,13 +191,15 @@ "source": [ "# Actuarial Experience Adjustment", "\n", - "\nA comparison between [Written Actual](#written-actual) and the Releases of the [Best Estimate](#present-value) is reported in the [Actuarial Experience Adjustment](https://portal.systemorph.cloud/project/ifrs17ce/env/dev/Report/ReportScopes#experience-adjustment)." + "\nA comparison between [Written Actual](#written-actual) and the Releases of the [Best Estimate](#present-value) is reported in the [Actuarial Experience Adjustment](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Report/ReportScopes#experience-adjustment)." ] }, { "cell_type": "code", "source": [ "var experienceAdjustmentsReport = ifrs17Report.ExperienceAdjustments;", + "\nexperienceAdjustmentsReport.ReportingNode = \"CH\";", + "\nexperienceAdjustmentsReport.ReportingPeriod = (2021, 3);", "\nexperienceAdjustmentsReport.ColumnSlices = new string[]{};//\"GroupOfContract\", \"AmountType\"", "\nexperienceAdjustmentsReport.DataFilter = null; //new [] {(\"GroupOfContract\", \"DT1.1\")};", "\n(await experienceAdjustmentsReport.ToReportAsync) with {Height = 300}" @@ -193,7 +210,7 @@ "source": [ "# LRC Technical Margin", "\n", - "\nIn the [Technical Margin](https://portal.systemorph.cloud/project/ifrs17ce/env/dev/Report/ReportScopes#technical-margin) report we present a unified view on the figures that are allocated to either Contractual Service Margin or to Loss Component. ", + "\nIn the [Technical Margin](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Report/ReportScopes#technical-margin) report we present a unified view on the figures that are allocated to either Contractual Service Margin or to Loss Component. ", "\n
The Analysis of Change is expanded with few more steps such as **Experience Adjustment** and **Amortization**." ] }, @@ -201,6 +218,8 @@ "cell_type": "code", "source": [ "var technicalMarginsReport = ifrs17Report.TechnicalMargins;", + "\ntechnicalMarginsReport.ReportingNode = \"CH\";", + "\ntechnicalMarginsReport.ReportingPeriod = (2021, 3);", "\ntechnicalMarginsReport.ColumnSlices = new string[]{};//\"GroupOfContract\", \"AmountType\"", "\ntechnicalMarginsReport.DataFilter = null; //new [] {(\"GroupOfContract\", \"DT1.1\")};", "\n(await technicalMarginsReport.ToReportAsync) with {Height = 600}" @@ -211,7 +230,7 @@ "source": [ "# Contractual Service Margin / Loss Component / Loss Recovery Component", "\n", - "\nThe Contractual Service Margin (CSM) / Loss Component (LC) / Loss Recovery Component (LR) [report](https://portal.systemorph.cloud/project/ifrs17ce/env/dev/Report/ReportScopes#technical-margin) are here shown side by side as the allocation to profit or loss is done at each step of the Analysis of Change. ", + "\nThe Contractual Service Margin (CSM) / Loss Component (LC) / Loss Recovery Component (LR) [report](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Report/ReportScopes#technical-margin) are here shown side by side as the allocation to profit or loss is done at each step of the Analysis of Change. ", "\n", "\nA default slice by EstimateType - which distinguish between CSM, LC and LR contributions - is automatically enforced. " ] @@ -220,6 +239,8 @@ "cell_type": "code", "source": [ "var allocatedTechnicalMarginsReport = ifrs17Report.AllocatedTechnicalMargins;", + "\nallocatedTechnicalMarginsReport.ReportingNode = \"CH\";", + "\nallocatedTechnicalMarginsReport.ReportingPeriod = (2021, 3);", "\nallocatedTechnicalMarginsReport.ColumnSlices = new string[]{\"GroupOfContract\", \"EstimateType\"};//\"GroupOfContract\", \"AmountType\"", "\nallocatedTechnicalMarginsReport.DataFilter = null; //new [] {(\"GroupOfContract\", \"DT1.1\")};", "\n(await allocatedTechnicalMarginsReport.ToReportAsync) with {Height = 700}" @@ -228,13 +249,17 @@ { "cell_type": "markdown", "source": [ - "# LRC Actuarial" + "# LRC Actuarial", + "\n", + "\nThe [Actuarial Liability for Remaining Coverage](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Report/ReportScopes#lrc-actuarial-actuarial-liability-for-remaining-coverage) report shows figures from Fulfilment Cashflow discounted with current yield curve, and the allocated techinical margin. " ] }, { "cell_type": "code", "source": [ "var actuarialLrcReport = ifrs17Report.ActuarialLrc;", + "\nactuarialLrcReport.ReportingNode = \"CH\";", + "\nactuarialLrcReport.ReportingPeriod = (2021, 3);", "\nactuarialLrcReport.ColumnSlices = new string[]{};//\"GroupOfContract\", \"AmountType\"", "\nactuarialLrcReport.DataFilter = null; //new [] {(\"GroupOfContract\", \"DT1.1\")};", "\n(await actuarialLrcReport.ToReportAsync) with {Height = 750}" @@ -243,13 +268,17 @@ { "cell_type": "markdown", "source": [ - "# LRC" + "# LRC", + "\n", + "\nThe [Liability for Remaining Coverage](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Report/ReportScopes#lrc-liability-for-remaining-coverage) report adds to the [Actuarial Liability for Remaining Coverage](#lrc-actuarial) the contribution of and accrual actuals. A simplified Aoc Chain is used to allow comparison of the balance change between Actuals and Present Values. " ] }, { "cell_type": "code", "source": [ "var lrcReport = ifrs17Report.Lrc;", + "\nlrcReport.ReportingNode = \"CH\";", + "\nlrcReport.ReportingPeriod = (2021, 3);", "\nlrcReport.ColumnSlices = new string[]{};//\"GroupOfContract\", \"AmountType\"", "\nlrcReport.DataFilter = null; //new [] {(\"GroupOfContract\", \"DT1.1\")};", "\n(await lrcReport.ToReportAsync) with {Height = 250}" @@ -258,13 +287,17 @@ { "cell_type": "markdown", "source": [ - "# LIC Actuarial" + "# LIC Actuarial", + "\n", + "\nThe [Actuarial Liability of Incurred Claims](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Report/ReportScopes#lic-actuarial-actuarial-liability-for-incurred-claims) report shows figures from Fulfilment Cashflow discounted with current yield curve. " ] }, { "cell_type": "code", "source": [ "var actuarialLicReport = ifrs17Report.ActuarialLic;", + "\nactuarialLicReport.ReportingNode = \"CH\";", + "\nactuarialLicReport.ReportingPeriod = (2021, 3);", "\nactuarialLicReport.ColumnSlices = new string[]{};//\"GroupOfContract\", \"AmountType\"", "\nactuarialLicReport.DataFilter = null; //new [] {(\"GroupOfContract\", \"DT1.1\")};", "\n(await actuarialLicReport.ToReportAsync) with {Height = 750}" @@ -273,13 +306,17 @@ { "cell_type": "markdown", "source": [ - "# LIC" + "# LIC", + "\n", + "\nThe [Liability for Incurred Claims](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Report/ReportScopes#lic-liability-for-incurred-claims) adds to the [Actuarial Liability for Incurred Claims](#lic-actuarial) the contribution of and accrual actuals." ] }, { "cell_type": "code", "source": [ "var licReport = ifrs17Report.Lic;", + "\nlicReport.ReportingNode = \"CH\";", + "\nlicReport.ReportingPeriod = (2021, 3);", "\nlicReport.ColumnSlices = new string[]{};//\"GroupOfContract\", \"AmountType\"", "\nlicReport.DataFilter = null; //new [] {(\"GroupOfContract\", \"DT1.1\")};", "\n(await licReport.ToReportAsync) with {Height = 250}" @@ -290,6 +327,8 @@ "source": [ "# Financial Performance", "\n", + "\nThe [Financial Performance](https://portal.systemorph.cloud/project/ifrs17/env/v1.0.0/Report/ReportScopes#ifrs-17-financial-performance) report discloses the Change in Estimate of the IFRS 17 balance sheet items ([LRC](#lrc) and [LIC](#lic)) and the relevant incurred cashflows (Premiums, Claims, Expenses, etc...) for the given period.", + "\n", "\nUse the expand and collapse buttons in the report rows to change the granularity of the figures displayed." ] }, @@ -297,6 +336,8 @@ "cell_type": "code", "source": [ "var financialPerformanceReport = ifrs17Report.FinancialPerformance;", + "\nfinancialPerformanceReport.ReportingNode = \"CH\";", + "\nfinancialPerformanceReport.ReportingPeriod = (2021, 3);", "\nfinancialPerformanceReport.ColumnSlices = new string[]{};//\"GroupOfContract\"", "\nfinancialPerformanceReport.DataFilter = null; //new [] {(\"GroupOfContract\", \"DT1.1\")};", "\n(await financialPerformanceReport.ToReportAsync) with { Height = 900, GroupDefaultExpanded = 3}" diff --git a/full-ifrs17-template/Test/SpecificationsFinancialPerformance.ipynb b/full-ifrs17-template/Test/SpecificationsFinancialPerformance.ipynb deleted file mode 100644 index 60dc3809..00000000 --- a/full-ifrs17-template/Test/SpecificationsFinancialPerformance.ipynb +++ /dev/null @@ -1,1461 +0,0 @@ -{ - "metadata": { - "authors": [], - "kernelspec": { - "display_name": "Formula Framework", - "language": "C#", - "name": "C#" - }, - "language_info": { - "file_extension": ".cs", - "mimetype": "text/plain", - "name": "C#" - }, - "toc-autonumbering": "True", - "toc-showcode": "False" - }, - "nbformat": 4, - "nbformat_minor": 5, - "cells": [ - { - "cell_type": "markdown", - "source": [ - "
Financial Performance Specifications
" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The aim of this notebook is to document the Financial Performance reporting system. The process is pictorially explained in the following flowchart. ", - "\n", - "\n", - "\n![](\"../Images/SpecificationsPL.PNG\")
",
- "\n",
- "\nThroughout this notebook we adopt the following variable notation: we use the words *computed* vs. *expected* to differentiate the results provided by the application vs. this test notebook, respectively."
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "In the following the Dimensions, Parameters, Nominal Cashflows, and Actuals are imported from the corresponding csv files in Initialization/Systemorph/"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "#!eval-notebook \"../Initialization/InitSystemorphToMemory\""
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "---"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "# Process Data"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "",
- "\n## Current Period, Reporting Node and Currency Type"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "Please select the target period (i.e. year and month) and Reporting Node based on the imported data:"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var year = 2021 ;",
- "\nvar month = 3 ;",
- "\nvar reportingNode = \"CH\" ;"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "and the type of Currency among Contractual, Functional, and Group"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var currencyType = CurrencyType.Functional ;"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "Import the Report definitions, initialize the Workspace and the Test Suite:"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "Workspace.InitializeFrom(DataSource);"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var period = (year, month) ;",
- "\nvar reportStorage = new ReportStorage(Workspace, Report) ;",
- "\nvar Test = Scopes.ForSingleton().WithStorage(reportStorage).ToScope", - "\n", - "\n# Report" - ] - }, - { - "cell_type": "markdown", - "source": [ - "Please select here below the target Data Node for executing the tests below:" - ] - }, - { - "cell_type": "code", - "source": [ - "var dataNode = \"DT1.1\";" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The Group of Contract selected is:" - ] - }, - { - "cell_type": "code", - "source": [ - "var groupOfContract = (await Workspace.Query
Default for contracts with non-zero OCI, and null otherwise, ",
- "\n- the **Liability Type** can be LRC for Liability for Remaining Coverage, and LIC for Liability of Incurred Claims,",
- "\n- the **Partner** can be null for Insurance contracts, or equal to the Partner System Name for Reinsurance contracts."
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "The summary of the Financial Performance report is shown below"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "Report.ForDataCube( Test.GetScopes", - "\n", - "\n# Inspection" - ] - }, - { - "cell_type": "markdown", - "source": [ - "## Fulfillment Cashflows" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The Fulfillment Cashflow (FCF) corresponds to the sum of the Best Estimate [Present Value](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/Import/ImportScopeCalculation#current-and-locked) (PV) and the [Risk Adjustment](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/Import/ImportScopeCalculation#risk-adjustment) (RA), both summed over Amounty Types, and both discounted with the Locked-In curve in the BBA valuation approach:", - "\n", - "\n$$", - "\n\\text{FCF}(\\text{AoC}) = \\text{PV Locked}(\\text{AoC})", - "\n\\bigg|_{\\substack{\\text{Non Attributable} \\\\ \\text{Amount Types} \\\\ \\text{excluded}}} ", - "\n+ \\text{RA Locked}(\\text{AoC}) ~.", - "\n$$" - ] - }, - { - "cell_type": "markdown", - "source": [ - "### Non Financial" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The computed value for the non financial contribution to the FCF is" - ] - }, - { - "cell_type": "code", - "source": [ - "var computedDeltaFCF_nonFinancial = Test.GetScopes
Default method to compute the OCI term is by subtracting the FCF computed with the *Locked-In* rates and the FCF computed with the *Current* rates. In this way the non insurance financial volatiliy of the economic input is relegated to the OCI. "
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var computedDeltaFCF_OCI = Test.GetScopesnull.",
- "\n",
- "\nThe computed value for the non financial change of the LoReCo is"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var computedDeltaLORECO_nonFinancial = Test.GetScopes", - "\n", - "\n# Reconciliation" - ] - }, - { - "cell_type": "markdown", - "source": [ - "Based on the results calculated in Section 3, we check here the consistency of the [Financial Performance Report](#report). ", - "\n", - "\nFiner granular reconciliations can be performed by following the datails of how each report contributes to the Financial Performance Report. Please, refer to the [Report documentation](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/Report/ReportScopes#financial-performance) for all the details. " - ] - }, - { - "cell_type": "markdown", - "source": [ - "## Insurance Revenue" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The Insurance Revenue (IR) contributions vary from Insurance to Re-Insurance and depend on the Liability Type of the [target Group of Contract](#report). This can be summarized by the formulas below", - "\n", - "\n$$", - "\n\\text{IR} = \\left\\{ ", - "\n\\begin{array}{ll}", - "\n\\Delta\\text{FCF Gross Non Financial} + \\Delta\\text{CSM Non Financial} + \\Delta\\text{CSM Release} \\\\", - "\n+ \\text{Incurred Incoming Cashflows} + \\text{Claims ICO} + \\text{Incurred Deferrals} \\\\", - "\n+ \\text{Exc. Experience Adjustment on Premiums} ~~,", - "\n& \\text{for LRC Insurance contracts} \\\\[0.2cm]", - "\n\\Delta\\text{CSM Non Financial} + \\Delta\\text{CSM Release} \\\\", - "\n+ \\text{Incurred Incoming Cashflows} + \\text{Claims ICO} + \\text{Incurred Deferrals} ~~,", - "\n& \\text{for LIC Insurance contracts} \\\\[0.2cm]", - "\n\\text{Claims ICO} + \\text{Incurred Deferrals} ~~,", - "\n& \\text{for Re-Insurance contracts}", - "\n\\end{array}", - "\n\\right.", - "\n$$", - "\n", - "\nHere below we recompute the IR term:" - ] - }, - { - "cell_type": "code", - "source": [ - "var expectedDeltaCSM_release = deltaCSM.Filter((\"VariableType\", \"AM\")).Aggregate()?.Value?? 0;" - ] - }, - { - "cell_type": "code", - "source": [ - "var expectedIncurredIncomingCashflows = Test.GetScopes
Oci Type = Default.",
- "\n",
- "\n$$",
- "\n\\text{OCI} = \\Delta\\text{FCF} \\big|_{\\text{Locked-in}} - \\Delta\\text{FCF} \\big|_{\\text{Current}} ~~.",
- "\n$$",
- "\n",
- "\nHere below we recompute the OCI term:"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var OCI = expectedDeltaFCF_OCI + expectedFxFCF_OCI;"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "OCI"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- ""
- ]
- }
- ]
-}
\ No newline at end of file
diff --git a/full-ifrs17-template/Test/SpecificationsImportActuals.ipynb b/full-ifrs17-template/Test/SpecificationsImportActuals.ipynb
deleted file mode 100644
index 8993aa5c..00000000
--- a/full-ifrs17-template/Test/SpecificationsImportActuals.ipynb
+++ /dev/null
@@ -1,507 +0,0 @@
-{
- "metadata": {
- "authors": [],
- "kernelspec": {
- "display_name": "Formula Framework",
- "language": "C#",
- "name": "C#"
- },
- "language_info": {
- "file_extension": ".cs",
- "mimetype": "text/plain",
- "name": "C#"
- },
- "toc-autonumbering": "True",
- "toc-showcode": "False"
- },
- "nbformat": 4,
- "nbformat_minor": 5,
- "cells": [
- {
- "cell_type": "markdown",
- "source": [
- "Import Actuals Specifications
" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The aim of this notebook is to document the calculations taking place when importing the Actuals. For this documentation notebook the Data is imported from the corresponding csv files located in the following pathInitialization/Systemorph/. The process is pictorially explained in the following flowchart. ",
- "\n",
- "\n",
- "\n![](\"../Images/SpecificationsImportActuals.PNG\")
",
- "\n",
- "\nThroughout this notebook we adopt the following variable notation: we use the words *computed* vs. *expected* to differentiate the results provided by the application vs. this test notebook, respectively."
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "# Import Data"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "",
- "\n## Current Period"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "Please select the target period (i.e. year and month), Reporting Node, Economic Basis, and Data Node based on the imported data:"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var year = 2021 ;",
- "\nvar month = 3 ;",
- "\nvar reportingNode = \"CH\" ;",
- "\nvar economicBasis = \"L\" ;",
- "\nvar dataNode = \"DT1.1\";"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "Import the Dimensions, Yield Curves and Nominal Cashflows from the corresponding csv files in Initialization/Systemorph/"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "#!eval-notebook \"../Initialization/InitSystemorphToMemory\""
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "---"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "[Setup IFRS17 Calculation Engine](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/Import/ImportScopeCalculation):"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "#!import \"SpecificationsSetup\""
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "---"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "Initialization of the Test Suite: the data loaded from csv files are ready to be used by the Scopes for the calculations"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var Test = await StartCalculatorAsync(reportingNode, year, month, economicBasis, Periodicity.Quarterly, ImportFormats.Actual);"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "",
- "\n## View imported Actuals"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "Here the imported Actuals from csv are visualized "
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "Test.GetStorage().GetIfrsVariables(dataNode)",
- "\n .Where(x => new string[] {EstimateTypes.A, EstimateTypes.AA, EstimateTypes.OA}.Contains(x.EstimateType))",
- "\n .Where(x => x.AocType != \"EOP\")"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "where the filter is selecting only those *estimate types* associated to the imported Actuals, hence excluding the IFRS variables calculated when [importing the cashflows](SpecificationsImportCashflows)."
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "", - "\n", - "\n# Base Actuals" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The following simplified AoC Chain applies for Advance and Overdue Actuals:", - "\n1. Beginning of Period (BOP)", - "\n2. Cash flow (CF)", - "\n3. Amortization (AM) ", - "\n4. End of Period (EOP) ", - "\n", - "\nWe consider 4 types of Actual values, which are distinguished through their [Estimate Type](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/DataModel/DataStructure#estimate-type):", - "\n- Actuals (A)", - "\n- Advance Actuals (AA)", - "\n- Overdue Actuals (OA)", - "\n- Deferrable Actuals (DA)", - "\n", - "\nwith the Estimate Type's system name shown between parenthesis above.", - "\nThey are computed by the so-called Actual Base **Scope**", - "\n", - "\n$$", - "\n\\text{Actual Base} (\\text{AoC}) = \\left\\{", - "\n\\begin{array}{cl}", - "\n0 & \\text{if AoC step is AM,} \\\\", - "\n\\text{Actual Base}(\\rm{BOP}) + \\text{Actual Base}(\\rm{CF}) + \\text{Actual Base}(\\rm{WO}) & \\text{if AoC step is EOP and Estimate Type is not A,} \\\\", - "\n\\text{Imported Actual} & \\text{otherwise.}", - "\n\\end{array}", - "\n\\right.", - "\n$$", - "\n", - "\nWe start by selecting one of the [imported Actual](#view-imported-actuals) and we pick up an available data node, novelty, and amount type. Then, we can retrieve the corresponding actual (if any) with AoC type BOP, R, and WO. ", - "\n", - "\nNote that the **Identity** for Actual Base contains information about the target data node, AoC type, novelty, amount type and estimate type." - ] - }, - { - "cell_type": "markdown", - "source": [ - "## End of Period" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The imported actuals for the AoC steps BOP, CF, and WO are:" - ] - }, - { - "cell_type": "code", - "source": [ - "var actualBaseBOP = Test.GetScope
", - "\n", - "\n# Deferrable Actuals" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The Deferrable Actuals (DA) are computed as follows", - "\n", - "\n$$", - "\n\\text{Deferrable Actual} (\\text{AoC}) = \\left\\{", - "\n\\begin{array}{cl}", - "\n\\text{Actual Base}_{\\substack{\\text{Estimate Type}=\\text{A} \\\\ \\text{Amount Type}=\\text{ACA}}} (\\text{CF})", - "\n +\\text{Actual Base}_{\\substack{\\text{Estimate Type}=\\text{A} \\\\ \\text{Amount Type}=\\text{AEA}}} (\\text{CF}) & \\text{if AoC step is CF } \\\\", - "\n-\\text{AMF} \\cdot \\big( \\text{Deferrable Actual}(\\rm{BOP}) + \\text{Deferrable Actual}(\\rm{CF}) \\big) & \\text{if AoC step is AM } \\\\", - "\n\\text{Deferrable Actual}(\\rm{BOP}) + \\text{Deferrable Actual}(\\rm{CF}) + \\text{Deferrable Actual}(\\rm{AM}) & \\text{if AoC step is EOP } \\\\", - "\n\\text{Input Actual}_{\\text{Estimate Type}=\\text{DA}} (\\text{BOP}) & \\text{if AoC step is BOP } \\\\", - "\n\\end{array}", - "\n\\right.", - "\n$$", - "\n", - "\nwhere ACA and AEA are *Aquisition* Amount Types from *Attributable Commission* and *Attributable Expenses*, respectively.", - "\n", - "\nNote that the **Identity** of Deferrable Actual is encompassing solely data node, Aoc type, and novelty." - ] - }, - { - "cell_type": "markdown", - "source": [ - "## Beginning of Period" - ] - }, - { - "cell_type": "code", - "source": [ - "var computedDeferrableActualBOP = Test.GetScope
Import Cashflows Specifications
" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The aim of this notebook is to document the calculation of the Present Values and Amortization Factors starting from the nominal Cashflows and the Yearly Yield Curve. These starting data is imported from the corresponding csv files located in the following pathInitialization/Systemorph/. The process is pictorially explained in the following flowchart. ",
- "\n",
- "\n",
- "\n![](\"../Images/SpecificationsImportCashflows.PNG\")
",
- "\n",
- "\nThroughout this notebook we adopt the following variable notation: we use the words *computed* vs. *expected* to differentiate the results provided by the application vs. this test notebook, respectively."
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "# Import Data"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "",
- "\n## Current Period"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "Please select the target period (i.e. year and month), Reporting Node, Economic Basis, and Data Node based on the imported data:"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var year = 2021 ;",
- "\nvar month = 3 ;",
- "\nvar reportingNode = \"CH\" ;",
- "\nvar economicBasis = \"C\" ;"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "Import the Dimensions, Yield Curves and Nominal Cashflows from the corresponding csv files in Initialization/Systemorph/"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "#!eval-notebook \"../Initialization/InitSystemorphBaseToMemory\""
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "Workspace.InitializeFrom(DataSource);"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "---"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "[Setup IFRS17 Calculation Engine](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/Import/ImportScopeCalculation):"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "#!import \"SpecificationsSetup\""
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "---"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "At this point reference data are loaded. Import now a cashfow file with a 720 elements."
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var groupOfContract = \"GricComplex\";",
- "\nawait Import.FromFile(\"Data/CashflowComplex.csv\").WithFormat(ImportFormats.Cashflow).WithTarget(DataSource).ExecuteAsync()"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "Initialization of the Test suite: the data loaded from csv files are ready to be used by the Scopes for the calculations"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var Test = await StartCalculatorAsync(reportingNode, year, month, economicBasis, Periodicity.Quarterly, ImportFormats.Cashflow);"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "",
- "\n## View loaded Data Nodes"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "The imported active Data Nodes from Initialization/Systemorph/DataNodes.csv are "
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "Test.GetStorage().DataNodeDataBySystemName"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "",
- "\n## View loaded Yearly Yield Curve"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "Here the correct Yield Curve is chosen among those imported from Initialization/Systemorph/Data.csv according to the [current period](#year-and-period) and the Aoc Step according the [Aoc Configuration](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/DataModel/DataStructure#aoc-configuration). In the following we retrieve the desired identity."
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var aocType = \"CL\";",
- "\nvar novelty = \"C\";"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var id = Test.GetIdentity(groupOfContract, aocType, novelty);"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var yearlyYieldCurve = Test.GetStorage().GetYearlyYieldCurve(id, economicBasis);"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "yearlyYieldCurve"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "",
- "\n## View loaded Nominal Cashflows"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "The nominal Cashflows for the current period are loaded together with last period Cashflows for Group of Contract that were already existent. ",
- "\n",
- "\nThe relative files are located in: Files/.",
- "\n",
- "\nThe result is showed in the following list to be compared with the entries of the csv files"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "Test.GetStorage().GetRawVariables(groupOfContract)"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "", - "\n", - "\n# Interest and Discount Rates" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The Yield Curve ${\\text{YC}_i}$ associated to the the [selected period](#year-and-period) and target currency of the Group of Contract Reporting Node is [displayed above](#view-loaded-yearly-yield-curve) and used in this section to calculate the Interest and Discount factors", - "\n", - "\n$$", - "\n\\text{Interest}_i = \\big( 1 + \\text{YC}_i \\big) ^{\\frac{1}{12}} ~,", - "\n$$", - "\n", - "\nand", - "\n", - "\n$$", - "\n\\text{Discount}_i = \\big( 1 + \\text{YC}_i \\big) ^{-\\frac{1}{12}} ~.", - "\n$$" - ] - }, - { - "cell_type": "markdown", - "source": [ - "In the Scope named *MonthlyRate* the Interest and Discount factors are computed" - ] - }, - { - "cell_type": "code", - "source": [ - "var computedMonthlyRates = Test.GetScope
", - "\n# Cashflows" - ] - }, - { - "cell_type": "markdown", - "source": [ - "This section deals with the calculation of the *Cumulated Discounted Cashflows* (CDC) starting from the nominal Cashflows. " - ] - }, - { - "cell_type": "markdown", - "source": [ - "## Choose identity" - ] - }, - { - "cell_type": "markdown", - "source": [ - "Each loaded nominal Cashflows is assigned to a so-called *Identity* which uniquely identifies it based on the *Data Node*, *Aoc Type*, and *Novelty*. In the following cells we retrieve the desired Identity:" - ] - }, - { - "cell_type": "code", - "source": [ - "var aocType = \"CL\";", - "\nvar novelty = \"C\";" - ] - }, - { - "cell_type": "code", - "source": [ - "var id = Test.GetIdentity(groupOfContract, aocType, novelty);" - ] - }, - { - "cell_type": "markdown", - "source": [ - "", - "\n## Nominal Cashflow" - ] - }, - { - "cell_type": "markdown", - "source": [ - "Consider the two Amount Type *PR* and *NIC*, with Transaction Period being *Beginning of Period* (BOP) and *End of Period* (EOP), respectively. The corresponding nominal Cashflows are deposited in the Scopes named *NominalCashflow* with the Identity provided above, Calculation Type *BE*, and the aforementioned Amount Types. These nominal Cashflows correspond with those [loaded from the csv files](#view-loaded-nominal-cashflows). " - ] - }, - { - "cell_type": "code", - "source": [ - "var amountTypePR = \"PR\";", - "\nvar amountTypeNIC = \"NIC\";", - "\nvar estimateType = \"BE\";", - "\nvar accidentYear = (int?)null;" - ] - }, - { - "cell_type": "code", - "source": [ - "var nominalPR = Test.GetScope
", - "\n", - "\n# Present Values" - ] - }, - { - "cell_type": "markdown", - "source": [ - "For an implementation of these formulas refer to the [ImportScopeCalculation notebook](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/Import/ImportScopeCalculation). " - ] - }, - { - "cell_type": "markdown", - "source": [ - "The company portfolio value in one period is given by the following Analysis of Change AoC steps:", - "\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):", - "\n4. Interest Accretion (IA): ", - "\n5. Assumption Update (AU): ", - "\n6. Yield Curve Update (YCU): impact of yield curve update occured during the reporting period,", - "\n7. Credit Risk Update (CRU): impact of credit default rate update occured during the reporting period,", - "\n8. Experience Variance (EV): value adjustments following insurance related events which took place (e.g. mortality),", - "\n9. Combined Liabilities (CL):", - "\n10. End of Period (EOP): portfolio value at the end of the current period.", - "\n", - "\nNote: the AoC steps WO, EA and AM are not included in the Present Value calculation, hence their values if inquired is zero." - ] - }, - { - "cell_type": "markdown", - "source": [ - "The Present Value Base (PVB) values are valid for all [Economic Basis](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/DataModel/DataStructure#economic-basis) and depends on the corresponding [AoCType](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/DataModel/DataStructure#aoc-type):", - "\n", - "\n$$", - "\n\\text{PVB}_t \\big(\\text{AoC}\\big) = ", - "\n\\left\\{", - "\n\\begin{array}{cl}", - "\n\\text{CDC}_t & \\text{if AoC is Beginning of Period (BOP) } \\\\", - "\n-\\text{Nominal}_t(\\text{Parent AoC}) & \\text{if AoC is Expected Cashflow (CF) } \\\\", - "\n\\text{InterestAccretion}_t & \\text{if AoC is Interest Accretion (IA) } \\\\", - "\n\\text{CDC}_t(\\text{Parent AoC}) & \\text{if AoC is End of Period (EOP) } \\\\", - "\n\\text{CDC}_{t}(\\text{current AoC}) - \\text{CDC}_{t}(\\text{parent AoC}) & \\text{otherwise}", - "\n\\end{array}", - "\n\\right.", - "\n$$", - "\n", - "\nand the Projected Present Value (PPV) reads", - "\n", - "\n$$", - "\n\\text{PPV} \\big(\\text{AoC},\\text{TS},\\text{S}\\big) = \\left\\{", - "\n\\begin{array}{cll}", - "\n\\text{PVB}_{S} & \\text{if AoC Valuation Period is Beginning of Period } & \\text{ (e.g. BOP, MC) } \\\\", - "\n\\text{PVB}_{S+TS/2 -1} & \\text{if AoC Valuation Period is Mid of Period } & \\text{ (no examples in current data model) } \\\\", - "\n\\sum_{i=S}^{S + TS -1}\\text{PVB}_{i} & \\text{if AoC Valuation Period is Delta } & \\text{ (e.g. CF, IA) } \\\\", - "\n\\text{PVB}_{S + TS} & \\text{if AoC Valuation Period is End of Period } & \\text{ (e.g. YCU, CRU, EV, CL, EOP) } \\\\", - "\n\\end{array}", - "\n\\right.", - "\n$$", - "\n", - "\nwhere the Shift (S) and Time Step (TS) are derived from the current [Year and Period](#year-and-period)" - ] - }, - { - "cell_type": "code", - "source": [ - "var projectionPeriod = 0;" - ] - }, - { - "cell_type": "code", - "source": [ - "Test.GetStorage().GetShift(projectionPeriod)" - ] - }, - { - "cell_type": "code", - "source": [ - "Test.GetStorage().GetTimeStep(projectionPeriod)" - ] - }, - { - "cell_type": "markdown", - "source": [ - "## Load Cashflow Data" - ] - }, - { - "cell_type": "code", - "source": [ - "#!eval-notebook \"../Initialization/InitSystemorphToMemory\"" - ] - }, - { - "cell_type": "code", - "source": [ - "Workspace.InitializeFrom(DataSource);" - ] - }, - { - "cell_type": "markdown", - "source": [ - "At this point standard Cashflows are loaded." - ] - }, - { - "cell_type": "markdown", - "source": [ - "Initialization of the Test suite: the data loaded from csv files are ready to be used by the Scopes for the calculations" - ] - }, - { - "cell_type": "code", - "source": [ - "var Test = await StartCalculatorAsync(reportingNode, year, month, economicBasis, Periodicity.Quarterly, ImportFormats.Cashflow);" - ] - }, - { - "cell_type": "markdown", - "source": [ - "## Select Group of Contract", - "\n", - "\nHere, it is possible to select the Group of Contract used to run the next section of this Notebook." - ] - }, - { - "cell_type": "code", - "source": [ - "groupOfContract = \"DTR1.1\" ;" - ] - }, - { - "cell_type": "markdown", - "source": [ - "## Beginning of Period" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The computed Present Value for Aoc type Beginning of Period is:" - ] - }, - { - "cell_type": "code", - "source": [ - "var idBoP = Test.GetIdentity(groupOfContract, \"BOP\", \"I\");", - "\nidBoP" - ] - }, - { - "cell_type": "code", - "source": [ - "var computedPresentValueBoP_PR = Test.GetScope
", - "\n", - "\n# Amortization Factors" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The amortization factors (AMF) are calculated from the corresponding Nominal and Discounted Cashflows with Calculation Type being *Coverage Units* (CU). ", - "\nThe monthly AMF is", - "\n", - "\n$$", - "\n\\text{AMF}^{\\text{Monthly}}_t = 1 - \\frac{ \\text{Nominal}^{\\text{Coverage Units}}_t } { \\text{CDC}^{\\text{Coverage Units}}_t } ~,", - "\n$$", - "\n", - "\nwhile the AMF related to the current period is", - "\n", - "\n$$", - "\n\\text{AMF} = 1 - \\prod _{t = \\text{S}}^{\\text{S}+\\text{TS}-1} \\text{AMF}^{\\text{Monthly}}_t ~.", - "\n$$", - "\n", - "\nwhere the shift S and Time Step TS for the [current period](#year-and-period) are" - ] - }, - { - "cell_type": "code", - "source": [ - "var projectionPeriod = 0;" - ] - }, - { - "cell_type": "code", - "source": [ - "var shift = Test.GetStorage().GetShift(projectionPeriod);", - "\nshift" - ] - }, - { - "cell_type": "code", - "source": [ - "var timeStep = Test.GetStorage().GetTimeStep(projectionPeriod);", - "\ntimeStep" - ] - }, - { - "cell_type": "markdown", - "source": [ - "## Monthly Amortization" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The computed monthly and current period Amortization Factors derived from a non-zero [imported](#year-and-period) nominal cashflows and its corresponding discounted are shown in the following" - ] - }, - { - "cell_type": "code", - "source": [ - "var idAM = Test.GetIdentity(groupOfContract, \"CL\", \"C\");", - "\nidAM" - ] - }, - { - "cell_type": "code", - "source": [ - "var nominalCashflowAmortizationFactorTest = Test.GetScope
", - "\n", - "\n# Results persisted" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The last step during the Cashflow import is to save, namely *persist* the Present Values computed with *locked* (L) and *current* (C) economic basis, and calculation type being *Best Estimate* (BE). ", - "\n", - "\nThese data is the starting point of the [Contractual Service Margin calculation](\"SpecificationsCSM\")." - ] - }, - { - "cell_type": "code", - "source": [ - "" - ] - } - ] -} \ No newline at end of file diff --git a/full-ifrs17-template/Test/SpecificationsSetup.ipynb b/full-ifrs17-template/Test/SpecificationsSetup.ipynb deleted file mode 100644 index b9f1e2f4..00000000 --- a/full-ifrs17-template/Test/SpecificationsSetup.ipynb +++ /dev/null @@ -1,125 +0,0 @@ -{ - "metadata": { - "authors": [], - "kernelspec": { - "display_name": "Formula Framework", - "language": "C#", - "name": "C#" - }, - "language_info": { - "file_extension": ".cs", - "mimetype": "text/plain", - "name": "C#" - }, - "toc-autonumbering": "True", - "toc-showcode": "False" - }, - "nbformat": 4, - "nbformat_minor": 5, - "cells": [ - { - "cell_type": "markdown", - "source": [ - "
Specifications Setup
" - ] - }, - { - "cell_type": "code", - "source": [ - "public interface Universe : IMutableScopeWithStorageTechnical Margin Specifications
" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The aim of this notebook is to document the Technical Margin (TM) and its allocation to the Contractual Service Margin (CSM), Loss Component (LC), or Loss Recovery Component (LoReCo). The process is pictorially explained in the following flowchart. ", - "\n", - "\n", - "\n![](\"../Images/SpecificationsCSM.PNG\")
",
- "\n",
- "\nThroughout this notebook we adopt the following variable notation: we use the words *computed* vs. *expected* to differentiate the results provided by the application vs. this test notebook, respectively."
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "# Import Data"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "",
- "\n## Current Period"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "Please select the target period (i.e. year and month) and Reporting Node based on the imported data:"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var year = 2021 ;",
- "\nvar month = 3 ;",
- "\nvar reportingNode = \"CH\" ;",
- "\nvar economicBasis = \"L\" ;"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "Import the Dimensions, Parameters, Nominal Cashflows, and Actuals from the corresponding csv files in Initialization/Systemorph/"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "#!eval-notebook \"../Initialization/InitSystemorphToMemory\""
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "---"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "[Setup IFRS17 Calculation Engine](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/Import/ImportScopeCalculation):"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "#!import \"SpecificationsSetup\""
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "---"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "Initialization of the Test Suite: the data loaded from csv files are ready to be used by the Scopes for the calculations"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var Test = await StartCalculatorAsync(reportingNode, year, month, economicBasis, Periodicity.Quarterly, ImportFormats.Cashflow);"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "",
- "\n## View loaded Data Nodes"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "The imported active Data Nodes from Initialization/Systemorph/DataNodes.csv are "
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "Test.GetStorage().DataNodeDataBySystemName"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "whereas the Data Nodes of your imported Cashflows are"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "Test.GetStorage().DataNodesByImportScope[ImportScope.Primary]"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "Please select here below the target Data Node for executing the tests below:"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var dataNode = \"DT1.1\";"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "## View list of Identities"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "Based on the Cashflows imported, the list of all possible identities, i.e. combinations of valid Data Nodes, Aoc steps, and Novelties, is contructed and reported here below:"
- ]
- },
- {
- "cell_type": "code",
- "source": [
- "var allIdentities = Test.GetScopes", - "\n", - "\n# Present Value" - ] - }, - { - "cell_type": "markdown", - "source": [ - "Projected Present Values (PPVs) are calculated for each Amount Type (AT) either with the *locked-in* (L) and with the *current* (C) Yield Curves. While the former is the latest available as per end of the DataNode's inception year, the latter is the latest available as per the current period. ", - "\nPPVs for both Economic Basis L and C have been defined [here](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/Import/ImportScopeCalculation#present-value) and tested [here](SpecificationsImportCashflows#present-values). ", - "\n", - "\nAccording to the BBA methodology, the CSM calculation uses the PV with locked-in Yield Curve simply defined as", - "\n", - "\n$$", - "\n\\text{PV Locked}(\\text{AoC}, \\text{AT}) = \\text{PPV}(\\text{AoC}, \\text{AT}) \\big|_{\\substack{ \\text{Calculation Type = BE} \\\\ \\text{Economic Base = L} } }", - "\n$$" - ] - }, - { - "cell_type": "code", - "source": [ - "var pvsLocked = allIdentities.SelectMany(id => Test.GetScope
", - "\n", - "\n# Risk Adjustment" - ] - }, - { - "cell_type": "markdown", - "source": [ - "The CSM calculation also uses locked-in Risk Adjustment (RA Locked) which is retrieved from the corresponding Present Value with [Calculation Type](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/DataModel/DataStructure#calculation-type) being RA defined [here](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/Import/ImportScopeCalculation#present-value) and tested [here](SpecificationsImportCashflows#present-values). ", - "\n", - "\nRisk Adjustment values can be written as", - "\n", - "\n$$", - "\n\\text{RA Locked Value}(\\text{AoC}) = \\text{PV}(\\text{AoC})|_{\\substack{ \\text{Calculation Type = RA} \\\\ \\text{Economic Base = L} }}", - "\n$$", - "\n", - "\nwhere the imported Cashflows for the RA Calculation Type are already aggregated over all [Amount Types](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/DataModel/DataStructure#amount-type)." - ] - }, - { - "cell_type": "markdown", - "source": [ - "Here below an example" - ] - }, - { - "cell_type": "code", - "source": [ - "var id_BoP_I = Test.GetIdentity(dataNode, \"BOP\", \"I\");" - ] - }, - { - "cell_type": "code", - "source": [ - "id_BoP_I" - ] - }, - { - "cell_type": "code", - "source": [ - "Test.GetScope
", - "\n", - "\n# Technical Margin" - ] - }, - { - "cell_type": "markdown", - "source": [ - "For the computation of the CSM or LC components for each AoC step, it is convenient to introduce the notion of technical margin (TM).", - "\n", - "\nFirstly, it is useful to define the so-called Aggregated Technical Margin (ATM)", - "\n", - "\n$$", - "\n\\text{ATM} (\\text{AoC}) = \\sum_{s\\in\\text{previous AoC steps}} \\text{TM}(s) ~,", - "\n$$", - "\n", - "\nand the Interest Accretion Factor (IAF) ", - "\n", - "\n$$", - "\n\\text{IAF} = \\prod_{i=1}^{\\text{TS}} (1 + \\text{YC}_i) - 1 ~.", - "\n$$", - "\n", - "\nThe TM is defined as", - "\n", - "\n$$", - "\n\\text{TM}(\\text{AoC}) = \\left\\{", - "\n\\begin{array}{rl}", - "\n\\text{TM}(\\rm{EOP}) \\text{ of the previous period} ~ & \\text{if }s = \\text{BOP and Novelty is In-Force}. \\\\", - "\n0 ~ & \\text{if }s = \\text{CF}. \\\\", - "\n\\text{IAF} \\cdot ~ \\text{ATM}(\\text{AoC}) ~ & \\text{if }s = \\text{IA}. \\\\", - "\n\\rm{Premiums} + \\text{Attributable Expense and Commissions} + \\text{Investment Claims} ~ & \\text{if }s = \\text{EA}. \\\\", - "\n-\\text{AMF} \\cdot ~ \\text{ATM}(\\text{AoC}) ~ & \\text{if }s = \\text{AM}. \\\\", - "\n\\text{PV Locked Value}(\\text{AoC}) ", - "\n\\bigg|_{\\substack{\\text{Non Attributable} \\\\ ", - "\n \\text{Amount Types} \\\\ ", - "\n \\text{excluded}}} ", - "\n+ \\text{RA Locked Value}(\\text{AoC}) ~ & \\text{otherwise} ", - "\n\\end{array}", - "\n\\right.", - "\n$$", - "\n", - "\nwhere AMF is the Amortization Factor that is defined [here](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/Import/ImportScopeCalculation#amortization-factor) and tested [here](SpecificationsImportCashflows#amortization-factor), with YC being the [Yield Curve](#yield-curves) and TS is the Time-Step, ", - "\nand the Premiums, Attributable Expense and Commissions and Investment Claims terms are given by:", - "\n", - "\n$$", - "\n\\begin{array}{lcl}", - "\n\\rm{Premiums} &=& \\text{Premium Allocation Factor} \\cdot \\sum_{\\text{Amount Type}\\in\\{\\text{PR and its children}\\}}", - "\n \\big(\\text{PV}_{\\text{Novelty = I}} + \\text{PV}_{\\text{Novelty = N}} \\big) - ", - "\n \\big(\\text{Actual}_{\\text{Novelty=C}} + \\text{Advance Actual}_{\\text{Novelty=C}} + \\text{Overdue Actual}_{\\text{Novelty=C}} \\big) ~, \\\\", - "\n\\text{Attributable Expense and Commissions} &=& \\sum_{\\text{Amount Type}\\in\\{\\rm{ACA}, \\rm{AEA}\\}}", - "\n \\big(\\text{PV}_{\\text{Novelty = I}} + \\text{PV}_{\\text{Novelty = N}} \\big) - \\text{Actual}_{\\text{Novelty=C}} ~, \\\\", - "\n\\text{Investment Claims } &=& \\sum_{\\text{Amount Type}\\in\\{\\text{ICO and its children}\\}}", - "\n \\big(\\text{PV}_{\\text{Novelty = I}} + \\text{PV}_{\\text{Novelty = N}} \\big) - ", - "\n \\big( \\text{Actual}_{\\text{Novelty=C}} + \\text{Advance Actual}_{\\text{Novelty=C}} + \\text{Overdue Actual}_{\\text{Novelty=C}} \\big) ~.", - "\n\\end{array}", - "\n$$", - "\n", - "\nThe AoC Type **CF** is implicit for all formulas, PV is the [present value](#present-value) with Calculation Type **BE**, and Actuals have Estimate Types **A**, **OA** and **AA** (see details [here](https://portal.stage.systemorph.cloud/project/ifrs17ce/env/dev/Import/ImportScopeCalculation#actual-base))." - ] - }, - { - "cell_type": "markdown", - "source": [ - "## Beginning of Period" - ] - }, - { - "cell_type": "code", - "source": [ - "var id_BoP_I = Test.GetIdentity(dataNode, \"BOP\", \"I\");" - ] - }, - { - "cell_type": "code", - "source": [ - "id_BoP_I" - ] - }, - { - "cell_type": "code", - "source": [ - "var computedTM_BoP_I = Test.GetScope
", - "\n", - "\n# Switch Logic " - ] - }, - { - "cell_type": "markdown", - "source": [ - "The CSM and LC figures are allocated for each AoC step based on the sign of the ATM. Specifically, for positive (negative) ATM, the TM of the current step is allocated to the LC (CSM), unless the TM flips the sign of the ATM. This special circumstance is named **switch**. It can happen at any AoC step with the only exception of Amortization where there is no switch from the previous step.", - "\nWhen a switch occurs the total contribution to the CSM (LC) prior the switching step is brought to 0 and the remaing amount is allocated to LC (CSM).", - "\n", - "\nIn the following the AoC chain is investigated." - ] - }, - { - "cell_type": "markdown", - "source": [ - "## Beginning of Period", - "\n", - "\nFor the BOP, the last period is considered, which dictates that the corresponding EOP figures considered have necessarily Novelty of type *In-Force*.", - "\n", - "\n$$", - "\n\\begin{array}{rcl}", - "\n\\text{CSM}(\\text{BOP}) &=& \\text{CSM}(\\text{EOP}) \\text{ of the previous period, for Novelty In-Force} \\\\", - "\n\\text{LC}(\\text{BOP}) &=& \\text{LC}(\\text{EOP}) \\text{ of the previous period, for Novelty In-Force}", - "\n\\end{array}", - "\n$$" - ] - }, - { - "cell_type": "code", - "source": [ - "var id_BoP_I = Test.GetIdentity(dataNode, \"BOP\", \"I\");" - ] - }, - { - "cell_type": "code", - "source": [ - "id_BoP_I" - ] - }, - { - "cell_type": "code", - "source": [ - "var computedCSM_BoP_I = Test.GetScope
In case the one of last Aoc step of the novelties (I, NB) has the sign of the CL ATM opposite to the CL ATM, the CL AocStep is used to introduce a balancing item to bring the ATM of the novelty with opposite sign to 0. ", - "\n
This is equivalent to execute the switch logic with a balancing item = ATM of the last AocStep having opposite sign to CL ATM. ", - "\n
Note that if CL TM is zero this results in allocating the same amount with opposite sign to CSM(note that the sign of the CSM componet is flipped) and LC." - ] - }, - { - "cell_type": "code", - "source": [ - "double expectedCSM_CL_C; ", - "\ndouble expectedLC_CL_C; " - ] - }, - { - "cell_type": "code", - "source": [ - "var balancingItem = aggregatedCombined < 0 ? aggregatedNewBusiness : aggregatedInForce;", - "\nbalancingItem" - ] - }, - { - "cell_type": "code", - "source": [ - "", - "\nif(aggregatedCombined > 0) {", - "\n expectedCSM_CL_C = balancingItem ;", - "\n expectedLC_CL_C = TM_Combined.Value + balancingItem;", - "\n} else {", - "\n expectedLC_CL_C = - balancingItem ;", - "\n expectedCSM_CL_C = TM_Combined.Value - balancingItem ;", - "\n}" - ] - }, - { - "cell_type": "code", - "source": [ - "(expectedCSM_CL_C, expectedLC_CL_C)" - ] - }, - { - "cell_type": "code", - "source": [ - "expectedCSM_CL_C.CheckEquality(computedCSM_CL_C).Should().Be(true);", - "\nexpectedLC_CL_C.CheckEquality(computedLC_CL_C).Should().Be(true);" - ] - }, - { - "cell_type": "markdown", - "source": [ - "## End Of Period", - "\n", - "\nFor the last AoC step, the EOP is the sum of all previous steps", - "\n", - "\n$$", - "\n\\begin{array}{rcl}", - "\n\\text{CSM}(\\text{EOP}) &=& \\sum_{s~\\in~\\text{previous AoC steps}} \\text{CSM}(s) ~, \\\\", - "\n\\text{LC}(\\text{EOP}) &=& \\sum_{s~\\in~\\text{previous AoC steps}} \\text{LC}(s) ~.", - "\n\\end{array}", - "\n$$" - ] - }, - { - "cell_type": "code", - "source": [ - "var id_EoP_C = Test.GetIdentity(dataNode, \"EOP\", \"C\");" - ] - }, - { - "cell_type": "code", - "source": [ - "id_EoP_C" - ] - }, - { - "cell_type": "code", - "source": [ - "var computedCSM_EoP_C = Test.GetScope
", - "\n
",
- "\nFor the reinsurance case, the switch logic is identical to the one described above, except that it uses the corresponding gross case TM to allocate the figure either to CSM or to LoReCo. The reinsurance gross TM multiplied by the weights coming from the Reinsurance Coverage Parameter (Data Node Parameters). In case a GRIC has multiple GICs, then these weighted TMs are aggregated.",
- "\n
"
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- ""
- ]
- },
- {
- "cell_type": "markdown",
- "source": [
- "", - "\n", - "\n# Contractual Service Margin and Loss Component" - ] - }, - { - "cell_type": "markdown", - "source": [ - "Here below a view of the CSM and Loss Component results are shown. ", - "\n", - "\nNote: the Data Nodes with LiabilityType being *LIC* are excluded." - ] - }, - { - "cell_type": "code", - "source": [ - "var allIdentitiesWoLic = allIdentities.Where(id => Test.GetStorage().DataNodeDataBySystemName[id.DataNode].LiabilityType != \"LIC\").ToArray();" - ] - }, - { - "cell_type": "code", - "source": [ - "var csm = allIdentitiesWoLic.SelectMany(id => Test.GetScope
Export Configuration
" + ] + }, { "cell_type": "code", "source": [ diff --git a/ifrs17/Images/BigPicture.PNG b/ifrs17/Images/BigPicture.PNG index 9e7bfe68..d4a66991 100644 Binary files a/ifrs17/Images/BigPicture.PNG and b/ifrs17/Images/BigPicture.PNG differ diff --git a/ifrs17/Import/ImportScopeCalculation.ipynb b/ifrs17/Import/ImportScopeCalculation.ipynb index 6a5269f3..f930054f 100644 --- a/ifrs17/Import/ImportScopeCalculation.ipynb +++ b/ifrs17/Import/ImportScopeCalculation.ipynb @@ -571,9 +571,9 @@ "\n### Telescoping Difference", "\n", "\n", - "\nPresent Value figures for a specific period are typically reported through an analysis of change, where for each [AocStep](#aoc-steps-structure) the variation with respect to the preceding AocStep is shown.", + "\nPresent Value figures for a specific period are typically reported through an analysis of change, where for each [AocStep](#aoc-step-structure) the variation with respect to the preceding AocStep is shown.", "\n", - "\nThe Telescoping Difference is basically the delta between two adjacent AoC steps, whereby the [ParentAocStep](#aoc-steps-structure) is used to determine the AoC step. ", + "\nThe Telescoping Difference is basically the delta between two adjacent AoC steps, whereby the [ParentAocStep](#aoc-step-structure) is used to determine the AoC step. ", "\n", "\nIt is defined as follows:", "\n", @@ -1061,10 +1061,10 @@ "\n## Actual Values", "\n", "\nWe consider 4 types of Actual values, which are distinguished through their [Estimate Type](../DataModel/DataStructure#estimate-type):", - "\n- Actuals (A)", - "\n- Advance Actuals (AA)", - "\n- Overdue Actuals (OA)", - "\n- Deferrable Actuals (DA)", + "\n- [Actuals](#actuals) (A)", + "\n- [Advance Actuals](#advance-actuals) (AA)", + "\n- [Overdue Actuals](#overdue-actuals) (OA)", + "\n- [Deferrable Actuals](#deferrable-actuals) (DA)", "\n", "\nwith the Estimate Type's system name shown between parenthesis above.", "\n", @@ -1778,7 +1778,7 @@ { "cell_type": "markdown", "source": [ - "The scopes below are simply used to set the appropriate Estimate Type (C for $CSM$, L for $LC$ and LR for $LCR$), as well as to set $CSM$ values to be positive:" + "The scopes below are simply used to set the appropriate Estimate Type (C for $CSM$, L for $LC$ and LR for $LoReCo$), as well as to set $CSM$ values to be positive:" ] }, { @@ -1982,11 +1982,7 @@ "\n Value = x.Value,", "\n Partition = GetStorage().TargetPartition", "\n });", - "\n", - "\n /*private double validateSingleEoP => Math.Abs(ValueCsm) > Precision && Math.Abs(ValueLc) > Precision ", - "\n ? (double)ApplicationMessage.Log(Error.MultipleEoP)", - "\n : default;", - "\n */", + "\n ", "\n IEnumerableCash flows are firstly mapped into [RawVariables](../DataModel/DataStructure#raw-variables-cashflows). These are then used as input for the [calculation](ImportScopeCalculation) of the IFRS 17 business logic which computes [IfrsVariables](../DataModel/DataStructure#ifrs-variable).", + "\n
Actuals are directly mapped into [IfrsVariables](../DataModel/DataStructure#ifrs-variable). ", + "\n", + "\nSome computed variables depend on both cash flow and actual input, requiring recalculation at each new import. ", + "\n
In order to improve performance and maximize computational efficiency, we only (re)compute the set of variables that are expected to change given the underlying business logic. " ] }, { @@ -820,7 +849,7 @@ "\n ", "\n // Filter out cashflows for DataNode that were created in the past and are still active and come with AocType = BOPI", "\n if(dataNodeData.Year < args.Year && aocType == AocTypes.BOP && novelty == Novelties.I) {", - "\n ApplicationMessage.Log(Warning.ActiveDataNodeWithCashflowBOPI);", + "\n ApplicationMessage.Log(Warning.ActiveDataNodeWithCashflowBOPI, dataNode);", "\n return null;", "\n }", "\n ", @@ -990,7 +1019,12 @@ { "cell_type": "markdown", "source": [ - "# Simple Value Import" + "# Simple Value Import", + "\n", + "\nSimple Value import is a special import that imports [IfrsVariables](../DataModel/DataStructure#ifrs-variable).", + "\n
It can be used in two very different scenarios: ", + "\n- Simple Value : to import final figures as computed by an independent tool. In this case our IFRS 17 calculation is not applied and variable are stored in the Database for being consumed in reports with our powerful reporting tooling. ", + "\n- Opening value : in the **fair value approach** this importer allows the import of in force opening values (Aoc step BOP and novelty I) for EstimateTypes C, L, LR, AA, OA, DA." ] }, { diff --git a/ifrs17/OverviewCalculationEngine.ipynb b/ifrs17/OverviewCalculationEngine.ipynb index 866c5502..651ab74b 100644 --- a/ifrs17/OverviewCalculationEngine.ipynb +++ b/ifrs17/OverviewCalculationEngine.ipynb @@ -28,11 +28,11 @@ "source": [ "# Introduction", "\n", - "\nSystemorph's IFRS 17 Calculation Engine is a tool and a solution to conduct all the essential IFRS 17 calculations based on some key input: modeled future **cashflows** and actual amounts for **groups of insurance contracts** and other relevant parameters (Yield Curve, FX rates, etc...). The output is a set of calculated results (CSM, Loss Component, Financial Performance, etc...) that are needed for IFRS 17 reporting, analysis, accounting, steering and other management information.", + "\nSystemorph's IFRS 17 Calculation Engine is a tool and a solution to conduct all the essential IFRS 17 calculations based on some key input: modeled future **cashflows** and actual amounts for **groups of insurance contracts** and other relevant parameters (Yield Curve, FX rates, etc...). The output is a set of calculated results (Contractual Service Margin, Loss Component, Financial Performance, etc...) that are needed for IFRS 17 reporting, analysis, accounting, steering and other management information.", "\n", "\nThis notebook provides an **overview** of Systemorph's IFRS 17 Calculation Engine with brief introductions to all the main steps.", "\n", - "\nThere are numerous **links** to several notebooks of the Calculation Engine. These notebooks contain specifications, code and also some detailed explanations with formulas in markdown blocks. The most important ones in this respect are [DataModel/DataStructure](./DataModel/DataStructure#data-structure), [ImportScopes](./Import/ImportScopeCalculation#import-scope-calculation) and [ReportScopes](./Report/ReportScopes#report-scopes)." + "\nThere are numerous **links** to several notebooks of the Calculation Engine. These notebooks contain specifications, code and also some detailed explanations with formulas in markdown blocks. The most important ones in this respect are [DataStructure](./DataModel/DataStructure#data-structure), [ImportScopes](./Import/ImportScopeCalculation#import-scope-calculation) and [ReportScopes](./Report/ReportScopes#report-scopes)." ] }, { @@ -43,7 +43,7 @@ "\n", "\nIFRS 17 is a new accounting standard for insurance contracts. The previous standard IFRS 4, which is based on nominal accounting, is replaced by the economic accounting standard IFRS 17.", "\n", - "\nExplanatory **videos** on **IFRS 17** and a **demo application** can be found on Systemorph's website. Some key points are repeated here briefly.", + "\nSome key points are repeated here briefly.", "\n", "\nIFRS 17 deals with insurance contracts which are on the liability side of the balance sheet. Other accounting standards deal with other parts of the business, primarily IFRS 9 for invested assets.", "\n", @@ -74,7 +74,7 @@ "", "\n# Data Model, Data Import", "\n", - "\nThe IFRS 17 calculations are based on a well-defined **data model**. The data input files are set up according to the data model, and the data import and all the ensuing calculations up to the final report generation respect the data model.", + "\nThe IFRS 17 calculations are based on a well-defined [DataModel](./DataModel/DataStructure#data-structure). The data input files are set up according to the data model, and the data import and all the ensuing calculations up to the final report generation respect the data model.", "\n", "\nThe IFRS 17 calculations start by importing data input files, and the more complex IFRS 17 Business Logic is defined in the [ImportScopes](./Import/ImportScopeCalculation#import-scope-calculation) notebook. This basis will later be used to calculate and generate different reports." ] @@ -87,9 +87,9 @@ "\n", "\nThe data model includes the definition of reporting nodes and dimensions to be used, including identities, amount types, group of insurance contracts and many more.", "\n", - "\nThe notebook [DataModel/DataStructure](./DataModel/DataStructure#data-structure) defines the data records, dimensions and interfaces of the data model. There is a long section on the many [dimensions](./DataModel/DataStructure#dimensions) used to characterize the business and its IFRS 17 model.", + "\nThe notebook [DataStructure](./DataModel/DataStructure#data-structure) defines the data records, dimensions and interfaces of the data model. There is a long section on the many [dimensions](./DataModel/DataStructure#dimensions) used to characterize the business and its IFRS 17 model.", "\n", - "\nThe [input files](#data-input-dim-nodes) ReportingNodes and especially DimensionsAndPartitions provide an overview of data structures actually used. Some dimensions are hierarchical, so some entries have parent entries.", + "\nThe [input files](#data-input-dim-nodes) for ReportingNodes and especially Dimensions provide an overview of data structures actually used. Some dimensions are hierarchical, so some entries have parent entries.", "\n", "\nMany abbreviations and acronyms used later in the documentation and the code are the **system names**, where the corresponding display names can be found in the corresponding input files together with the attributes." ] @@ -100,13 +100,11 @@ "", "\n## Data import and related calculations", "\n", - "\nSeveral notebooks organize the data import. Methods for importing and accessing data are in the class [ImportStorage](./Import/ImportStorage#import-storage). Methods for further calculations to be done upon import are in [ImportScopeCalculation](./Import/ImportScopeCalculation#import-scope-calculation).", + "\nSeveral notebooks organize the data import. Methods for importing and accessing data are in the [Importers](./Import/Importers) notebook. The [ImportStorage](./Import/ImportStorage#import-storage) prepare the data to perfom the calculation required. Finally, methods for the calculations are in [ImportScopeCalculation](./Import/ImportScopeCalculation#import-scope-calculation).", "\n", - "\nHowever, the import as such is conducted by other notebooks which use the methods of ImportStorage and ImportScopeCalculation in a chain of notebook imports:", + "\nHowever, the import as such is conducted by other notebooks which use the methods of Importers, ImportStorage and ImportScopeCalculation in a chain of notebook imports:", "\n", - "\nImportStorage --> ImportScopeCalculation --> [Importers](./Import/Importers#importers) --> [InitSystemorphBaseToMemory](./Initialization/InitSystemorphBaseToMemory#init-base-to-memory) --> [InitSystemorphToMemory](./Initialization/InitSystemorphToMemory#init-base-to-memory).", - "\n", - "\nThe latter two notebooks initialize and store the imported and derived data in memory for further usage. To store the data in a physical database, [InitSystemorphToDatabase](./Initialization/InitSystemorphToDatabase#init-to-database) can be employed.", + "\nImportStorage --> ImportScopeCalculation --> Importers", "\n", "\nThe calculations of ImportScopeCalculation cover a large part of the IFRS 17 methodology and are explained in the section below." ] @@ -121,20 +119,33 @@ "\n", "\nThe main concepts and parts of ImportScopeCalculation are listed here, with links.", "\n- Structure and sequence of the **[Analysis of Change (AoC)](./Import/ImportScopeCalculation#aoc-step-structure)** steps for the given period", + "\n$$", + "\n$$", "\n- **[Discounting](./Import/ImportScopeCalculation#discounting-calculation)** projected cash flows using [yield curves](#data-input-parameters) (current or locked in)", + "\n$$", + "\n$$", "\n- **[Nominal](./Import/ImportScopeCalculation#nominal-values)** cash flow amounts per AoC step", + "\n$$", + "\n$$", "\n- **[Present Values (PV)](./Import/ImportScopeCalculation#present-values)** of cash flow amounts for all AoC steps:", "\n - [Cumulated discounted](./Import/ImportScopeCalculation#cumulated-discounted-cashflows) cash flow amounts for all AoC steps", "\n - [Telescoping difference](./Import/ImportScopeCalculation#telescopic-difference) calculation of cumulated discounted cashflows per AoC step, where the total PV change over the period is the telescoping sum of all these differences", - "\n - [Present Value calculation](./Import/ImportScopeCalculation#present-value) at the beginning and end of the period, with its underlying [PV base](./Import/ImportScopeCalculation#present-value-base) calculations for different AoC types and for [current and locked-in](./Import/ImportScopeCalculation#current-and-locked) yield curves", + "\n - [Present Value calculation](./Import/ImportScopeCalculation#present-value) at the beginning and end of the period, with its underlying [Present value base](./Import/ImportScopeCalculation#present-value-base) calculations for different AoC types and for [current and locked-in](./Import/ImportScopeCalculation#current-and-locked) yield curves", "\n - [Interest accretion](./Import/ImportScopeCalculation#interest-accretion) cash flow calculation (one of the AoC steps)", "\n- **[Risk Adjustment (RA)](./Import/ImportScopeCalculation#risk-adjustment)** calculation, a requirement of the IFRS 17 standard", + "\n$$", + "\n$$", "\n- **[Amortization](./Import/ImportScopeCalculation#amortization)**, the AoC step dealing with the reduction of the remaining exposure over the period:", "\n - [Coverage Unit (CU)](./Import/ImportScopeCalculation#coverage-units), the quantity of services provided by a given GIC, considering one period (reflecting the run-off pattern of the GIC)", "\n - [Amortization factor](./Import/ImportScopeCalculation#amortization-factor), the relative size of the amortization of a GIC, monthly and for a longer time interval", + "\n$$", + "\n$$", "\n- **[Actuals](./Import/ImportScopeCalculation#actual-values)**, treatment of actual values per GIC or GRIC, distinguished according to by their Estimate Type: Ordinary Actuals, Advance Actuals, Overdue Actuals and Deferrable Actuals", "\n - Calculation of [Actuals Base](./Import/ImportScopeCalculation#actual-base) values for a given GIC and per Estimate Type and Amount Type", "\n - Different Estimate Types of Actuals and their calculations: Ordinary [Actuals](./Import/ImportScopeCalculation#actuals), [Advance Actuals](./Import/ImportScopeCalculation#advance-actuals) paid before the due date which is inside the AoC period, [Overdue Actuals](./Import/ImportScopeCalculation#overdue-actuals) paid after the AoC period, [Deferrable Actuals](./Import/ImportScopeCalculation#overdue-actuals) whose recognition is deferred (typically used for expenses of different kinds)", + "\n", + "\n$$", + "\n$$", "\n- **[Contractual Service Margin (CSM), Loss Component LC) and Loss Recovery Component (LRC)](./Import/ImportScopeCalculation#csm)**, modeling the treatment of unearned profits (CSM) and losses (LC, LRC) as required by the IFRS 17 standard, per GIC or GRIC:", "\n - [Fulfillment Cashflow (FCF)](./Import/ImportScopeCalculation#fulfillment-cashflow), same as the aforementioned cumulated discounted cashflow, now adding the risk adjustment component as a basis for CSM and LC calculations", "\n - [Technical Margin](./Import/ImportScopeCalculation#technical-margin), which is the FCF with special rules for different AoC steps including the Amortization step, also using and calculating the Interest Accretion Factor, Premiums, Deferrals and Investment Claims", @@ -153,13 +164,7 @@ "\n", "\nSome reports of ReportScopes just present existing data from the database, namely the imported data and the results already calculated using the methods of [ImportScopes](#model-calc).", "\n", - "\nSome other reports related to **[Financial Performance](./Report/ReportScopes#financial-performance)** (profit & loss) require further calculations provided by ReportScopes. An IFRS 17 financial performance report has at least four sections: Insurance Revenue, Insurance Service Expense, Insurance Finance Income/Expense and Other Comprehensive Income. Formulas are provided [here](./Report/ReportScopes#financial-performance)." - ] - }, - { - "cell_type": "code", - "source": [ - "" + "\nSome other reports related to **[Financial Performance](./Report/ReportScopes#ifrs-17-financial-performance)** (profit & loss) require further calculations provided by ReportScopes. An IFRS 17 financial performance report has at least four sections: Insurance Revenue, Insurance Service Expense, Insurance Finance Income/Expense and Other Comprehensive Income. Formulas are provided [here](./Report/ReportScopes#ifrs-17-financial-performance)." ] } ] diff --git a/ifrs17/README.md b/ifrs17/README.md index 9891b004..10015d5e 100644 --- a/ifrs17/README.md +++ b/ifrs17/README.md @@ -1,7 +1,8 @@ - +
+
+
IFRS 17 Calculation Engine
Systemorph's IFRS 17 Calculation Engine is a tool to conduct all the essential IFRS 17 calculations given some key figures, future cashflows and actual amounts, for groups of insurance contracts and other basic information. The result is a set of reports needed for IFRS 17 accounting and management information. @@ -9,21 +10,24 @@ Systemorph's IFRS 17 Calculation Engine is a tool to conduct all the essential I Systemorph portal allows Users to create their own projects powered by the Vertex 10 technology. -## Overview +# Overview - +
+
+
Extention Methods Import Calculation Methods Queries Test Helper Methods