Source code for ifrs17sim.ifrs17sim

"""The main module to build a simplelife model.

This module contains only one function :py:func:`build`,
which creates a model from source modules and return it.

If this module is run as a script, the :py:func:`build` function is called
and the created model is available as ``model`` global variable.
"""
import os
import modelx as mx

# %% Code block for overriding lapse logic.

[docs]def SurrRateMult_outer(t): """Surrender rate multiple for the outer projection (Default: 1)""" if t == 0: return 1 else: return SurrRateMult(t-1)
[docs]def SurrRateMult_inner(t): """Surrender rate multiple for the inner projection (Default: 1)""" if t == 0: return outer.SurrRateMult(t) elif t == t0: return _space.parent(t-1).SurrRateMult(t-1) else: return SurrRateMult(t-1)
[docs]def PolsSurr(t): """Number of policies: Surrender""" return PolsIF_Beg1(t) * asmp.SurrRate(t) * SurrRateMult(t)
[docs]def PolsIF_End_inner(t): """Number of policies: End of period""" if t == t0: return outer.PolsIF_End(t) else: return PolsIF_Beg1(t-1) - PolsDeath(t-1) - PolsSurr(t-1)
# %% Code block for overriding discounting logic.
[docs]def IntAccumCF_outer(t): """Intrest on accumulated cashflows""" return (AccumCF(t) + PremIncome(t) - ExpsTotal(t)) * DiscRate(t, 0)
[docs]def IntAccumCF_inner(t): """Intrest on accumulated cashflows""" return (AccumCF(t) + PremIncome(t) - ExpsTotal(t)) * DiscRate(t)
[docs]def DiscRateAdj(t): """Adjustment to the outer discount rates""" if t == 0: return 0 else: return DiscRateAdj(t-1)
[docs]def DiscRate_outer(t, dur): """Discount rates for the outer projection""" return scen.DiscRate(dur) + DiscRateAdj(t)
[docs]def DiscRate_inner(t): """Discount rates for the inner projection""" return outer.DiscRate(t0, t)
# %% Code block for build function
[docs]def build(load_saved=False): """Build a model and return it. Read input data from `input.xlsx`, create `Input` space and its subspace and cells and populate them with the data. Args: load_saved: If ``True``, input data is read from `ifrs17sim.mx` file instead of `input.xlsx`, which is saved when :py:func:`build_input <simplelife.build_input.build_input>` is executed last time. Defaults to ``False`` """ # Make sure the current directory is this folder os.chdir(os.path.abspath(os.path.dirname(__file__))) # ------------------------------------------------------------------------ # Build Input space from build_input import build_input if load_saved: model = mx.open_model('ifrs17sim.mx') input = model.Input else: model = mx.new_model(name='ifrs17sim') input = build_input(model, 'input.xlsx') model.save('ifrs17sim.mx') # ------------------------------------------------------------------------ # Build CommFunc space lifetable_refs = {'Input': input} def lifetable_params(Sex, IntRate, TableID): refs={'MortalityTable': Input.MortalityTables(TableID).MortalityTable} return {'refs': refs} lifetable = model.import_module( module='lifetable', name='LifeTable', formula=lifetable_params, refs=lifetable_refs) # ------------------------------------------------------------------------ # Build Policy space from policy import policy_attrs policy_refs = {'PolicyData': input.PolicyData, 'ProductSpec': input.ProductSpec, 'LifeTable': lifetable, 'PolicyAttrs': policy_attrs} def policy_params(PolicyID): refs = {attr: PolicyData[PolicyID].cells[attr] for attr in PolicyAttrs} alias = {'PremTerm': refs['PolicyTerm'], 'x': refs['IssueAge'], 'm': refs['PolicyTerm'], 'n': refs['PolicyTerm']} refs.update(alias) return {'refs': refs} policy = model.import_module( module='policy', name='Policy', formula=policy_params, refs=policy_refs) # ------------------------------------------------------------------------ # Build Assumption space asmp_refs = {'Policy': policy, 'ProductSpec': input.ProductSpec, 'MortalityTables': input.MortalityTables, 'asmp': input.Assumption, 'asmp_tbl': input.AssumptionTables} def asmp_params(PolicyID): refs = {'pol': Policy[PolicyID]} alias = {'prod': refs['pol'].Product, 'polt': refs['pol'].PolicyType, 'gen': refs['pol'].Gen} refs.update(alias) return {'refs': refs} asmp = model.import_module( module='assumption', name='Assumption', formula=asmp_params, refs=asmp_refs) asmp.allow_none = True # ------------------------------------------------------------------------ # Build Assumption space def econ_params(ScenID): refs = {'Scenario': Input.Scenarios[ScenID]} return {'refs': refs} economic = model.import_module( module='economic', name='Economic', formula=econ_params, refs={'asmp': asmp, 'Input': input}) # ------------------------------------------------------------------------ # Build Projection space # Model tree structure # # lifelib --+ # +--BaseProj # +--OuterProj[PolicyID] <--- BaseProj # +--InnerProj[t] <-- BaseProj proj_refs = {'Pol': policy, 'Asmp': asmp, 'Scen': economic} def proj_params(PolicyID, ScenID=1): refs = {'pol': Pol[PolicyID], 'asmp': Asmp[PolicyID], 'scen': Scen[ScenID]} return {'refs': refs} baseproj = model.import_module( module='projection', name='BaseProj') ifrs = model.import_module( module='ifrs', name='IFRS') outerproj = model.new_space( bases=[ifrs, baseproj], name='OuterProj', formula=proj_params, refs=proj_refs) def innerproj_params(t0): refs = {'pol': _space.parent.pol, 'asmp': _space.parent.asmp, 'scen': _space.parent.scen, 'outer': _space.parent} return {'refs': refs} innerproj = outerproj.new_space( bases=baseproj, name='InnerProj', formula=innerproj_params) pvs = innerproj.import_module( module='present_value', name='PresentValue') def pvs_params(t_rate): refs = {'last_t': _space.parent.last_t, 'InsurIF_Beg1': _space.parent.InsurIF_Beg1, 'InsurIF_End': _space.parent.InsurIF_End, 'PremIncome': _space.parent.PremIncome, 'BenefitSurr': _space.parent.BenefitSurr, 'BenefitDeath': _space.parent.BenefitDeath, 'BenefitTotal': _space.parent.BenefitTotal, 'ExpsCommTotal': _space.parent.ExpsCommTotal, 'ExpsAcq': _space.parent.ExpsAcq, 'ExpsMaint': _space.parent.ExpsMaint, 'ExpsTotal': _space.parent.ExpsTotal, 'DiscRate': _space.parent.parent[t_rate].DiscRate} return {'refs': refs} pvs.set_formula(pvs_params) # Add or override functions. baseproj.new_cells(name='SurrRateMult', formula=SurrRateMult_outer) baseproj.PolsSurr.set_formula(PolsSurr) outerproj.IntAccumCF.set_formula(IntAccumCF_outer) outerproj.new_cells(name='DiscRate', formula=DiscRate_outer) outerproj.new_cells(formula=DiscRateAdj) innerproj.new_cells(name='DiscRate', formula=DiscRate_inner) innerproj.SurrRateMult.set_formula(SurrRateMult_inner) innerproj.IntAccumCF.set_formula(IntAccumCF_inner) innerproj.PolsIF_End.set_formula(PolsIF_End_inner) return model
if __name__ == '__main__': model = build()